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Erscheinungsjahr: 
2023
Quellenangabe: 
[Journal:] Ekonomika [ISSN:] 2424-6166 [Volume:] 102 [Issue:] 1 [Year:] 2023 [Pages:] 81-101
Verlag: 
Vilnius University Press, Vilnius
Zusammenfassung: 
This study investigates the relationship between the geopolitical risk in Turkey arising out of the war and terror incidents happened in the region during the period 2003:01-2020:06 with the CDS premium. A two-step approach is undertaken for this assessment, in which an ARDL limit test and then a time-varying symmetric and asymmetric causality test are applied to study the possible causality vis-a-vis the subperiods. The ARDL limit test does not reject the hypothesis that there is a co-integrated relationship between CDS premium and geopolitical risk index. In addition, the time-varying symmetric and asymmetric test also identifies causality between CDS premium and geopolitical risk, and establishes periods where the latter influences the former variable both in a positive and negative way. In summary, both the ARDL limit test and the time-varying symmetric and asymmetric test deduce a causal relationship between the studied variables.
Schlagwörter: 
CDS
Geopolitical Risk
ARDL
Time Varying Causality
Turkey
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