Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167810
Authors: 
Kar, Muhsin
Bayat, Tayfur
Kayhan, Selim
Year of Publication: 
2016
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 4 [Year:] 2016 [Issue:] 3 [Pages:] 1-18
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.
Subjects: 
CDS premium
asymmetric causality
rolling windows causality
JEL: 
F31
G10
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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