Impacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euro
dc.authorid | KAR, Muhsin/0000-0002-9235-963X | |
dc.authorwosid | Kar, Muhsin/Q-7268-2019 | |
dc.contributor.author | Kar, Muhsin | |
dc.contributor.author | Bayat, Tayfur | |
dc.contributor.author | Kayhan, Selim | |
dc.date.accessioned | 2024-08-04T20:50:14Z | |
dc.date.available | 2024-08-04T20:50:14Z | |
dc.date.issued | 2016 | |
dc.department | İnönü Üniversitesi | en_US |
dc.description.abstract | In 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.doi | 10.3390/ijfs4030014 | |
dc.identifier.issn | 2227-7072 | |
dc.identifier.issue | 3 | en_US |
dc.identifier.scopus | 2-s2.0-85106042621 | en_US |
dc.identifier.scopusquality | Q3 | en_US |
dc.identifier.uri | https://doi.org/10.3390/ijfs4030014 | |
dc.identifier.uri | https://hdl.handle.net/11616/99934 | |
dc.identifier.volume | 4 | en_US |
dc.identifier.wos | WOS:000382740100002 | en_US |
dc.identifier.wosquality | N/A | en_US |
dc.indekslendigikaynak | Web of Science | en_US |
dc.indekslendigikaynak | Scopus | en_US |
dc.language.iso | en | en_US |
dc.publisher | Mdpi | en_US |
dc.relation.ispartof | International Journal of Financial Studies | en_US |
dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
dc.rights | info:eu-repo/semantics/openAccess | en_US |
dc.subject | CDS premium | en_US |
dc.subject | asymmetric causality | en_US |
dc.subject | rolling windows causality | en_US |
dc.title | Impacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euro | en_US |
dc.type | Article | en_US |