Impacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euro

dc.authoridKAR, Muhsin/0000-0002-9235-963X
dc.authorwosidKar, Muhsin/Q-7268-2019
dc.contributor.authorKar, Muhsin
dc.contributor.authorBayat, Tayfur
dc.contributor.authorKayhan, Selim
dc.date.accessioned2024-08-04T20:50:14Z
dc.date.available2024-08-04T20:50:14Z
dc.date.issued2016
dc.departmentİnönü Üniversitesien_US
dc.description.abstractIn this study, we aim to investigate the impacts of credit default swaps (CDS) premium as a risk financial indicator on the fluctuations of value of the Turkish lira against the Euro. We try to answer the following questions: Is the CDS premium change among the drivers of EUR/TL exchange rate and what are the possible effects of CDS premium volatility on EUR/TL exchange rate stability in different conditions? In this regard, we developed a MS-VAR regime change model and asymmetric, frequency domain and rolling windows causality analysis methods. Results obtained from all tests imply that risk premium is partially a driver of the EUR/TL exchange rate between the years 2009 and 2015.en_US
dc.identifier.doi10.3390/ijfs4030014
dc.identifier.issn2227-7072
dc.identifier.issue3en_US
dc.identifier.scopus2-s2.0-85106042621en_US
dc.identifier.scopusqualityQ3en_US
dc.identifier.urihttps://doi.org/10.3390/ijfs4030014
dc.identifier.urihttps://hdl.handle.net/11616/99934
dc.identifier.volume4en_US
dc.identifier.wosWOS:000382740100002en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherMdpien_US
dc.relation.ispartofInternational Journal of Financial Studiesen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectCDS premiumen_US
dc.subjectasymmetric causalityen_US
dc.subjectrolling windows causalityen_US
dc.titleImpacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euroen_US
dc.typeArticleen_US

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