Determinants of CDS Spreads: An Empirical Investigation on Turkey
Chapter from the book:
Eroğlu Sevinç,
D.
&
Yüce Akıncı,
G.
(eds.)
2023.
Studies on Economic and Financial Policies.
Synopsis
There are two main goals in this study. The first one determines the short- and long-term macroeconomic determinants of Credit Default Swap (CDS) premiums in the Turkish economy in the sample period of 2010:Q2-2020:Q3. The second goal is to test the relevant determinants with FMOLS, DOLS and CCR estimators, as well as ARDL bounds test, and compare the results. In line with these objectives, in this study, econometric analyzes of the Turkish economy's CDS premiums, real effective exchange rate, interest rate, international investment position, foreign exchange reserves, consumer price index, current account deficit and growth rate variables were made. According to the results of the empirical analysis, the variables are statistically significant at the 5% level of significance in the short and long term. On the other hand, it was concluded that both ARDL and FMOLS, DOLS, CCR estimator results were generally compatible with each other.
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This work is licensed under a Creative Commons Attribution 4.0 International License.
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Copyright (c) 2023 Hayriye Esra Akyüz- Güven Güney- Serhat Alpağut- Deniz Sevinç- Aylin Koca- Merter Akıncı- Haktan Sevinç- Ömer Yılmaz- Nermin Güney- Sertaç Hopoğlu- Sefa Özbek- Ali Çelik- Ayşe Arı- Ahmet Gökçe Akpolat- Hasan Tansoy- İsmail Hakkı Kofoğlu- Adem Türkmen- İkram Yusuf Yarbaşı- Mehmet Öksüz- İlkay Badurlar- Arife Özdemir Höl- Hasan Alpago- Tuğba Dayıoğlu- Gönül Yüce Akıncı- Fatma Mumcu Küçükçaylı- Demet Eroğlu Sevinç- Behçet Doğan Oktaş; Demet Eroğlu Sevinç- Gönül Yüce Akıncı