Kar, MuhsinBayat, TayfurKayhan, Selim2024-08-042024-08-0420162227-7072https://doi.org/10.3390/ijfs4030014https://hdl.handle.net/11616/99934In 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.eninfo:eu-repo/semantics/openAccessCDS premiumasymmetric causalityrolling windows causalityImpacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of EuroArticle4310.3390/ijfs40300142-s2.0-85106042621Q3WOS:000382740100002N/A