The Impact of Financial Drivers on Credit Default Swap (CDS) in Turkey: The Cointegration with Structural Breaks and FMOLS Approach

Mehmet Levent ERDAŞ

doi:https://doi.org/10.26650/ibr.2022.51.895637

Makale detayları

The Impact of Financial Drivers on Credit Default Swap (CDS) in Turkey: The Cointegration with Structural Breaks and FMOLS Approach

Yazarlar:

Mehmet Levent ERDAŞ

Yayıncı:

Istanbul University

Ana Başlıklar:

Yönetim

Dergi:

Istanbul Business Research 2022 Vol.51 Issue 1, pp.25-46

Belge Tipi:

Makale

Yayın Tarihi:

4/2022

Belge Dili:

İngilizce

Document ID (Org No.):

2000479855

Sıklık:

İki Yıllık

eISSN:

2630-5488

DOI:

https://doi.org/10.26650/ibr.2022.51.895637

Özet:

 

The CDS premium is considered to be an important criterion in the risk premiums of countries with emerging markets and it also provides important information about the credibility of these countries for investors. Decreasing the level of CDS for developing countries helps investors to work with the country and smoothes the way for investments in financial assets. Hence, determining the factors which can affect changes in the CDS of these countries has beco me crucial for their economies. Thus, the relationship between Turkey’s CDS for 5 years and financial factors have been analyzed throughthe monthly data for the period between 2012 and 2020. For this purpose, the existence of the long-run relationship between the series was investigated by Gregory-Hansen (1996) and Hatemi-J (2008) and it was seen that the series are cointegrated. Afterwards, the long-run coefficients between the series were estimated by FMOLS. The results indicate that the BIST100 index and liquid liabilities have a positive effect on CDS and that the domestic credit volume of the banking sector has a negative effect on CDS. Furthermore, the estimated break dates suggest that significant events are occurring in the Turkish economy.

Makale detayları

The Impact of Financial Drivers on Credit Default Swap (CDS) in Turkey: The Cointegration with Structural Breaks and FMOLS Approach

Yazarlar: Mehmet Levent ERDAŞ

Yayıncı: Istanbul University

Ana Başlıklar: Yönetim

Dergi: Istanbul Business Research 2022 Vol.51 Issue 1, pp.25-46

Belge Tipi: Makale

Yayın Tarihi: 4/2022

Belge Dili: İngilizce

Document ID (Org No.): 2000479855

Sıklık: İki Yıllık

eISSN: 2630-5488

DOI: https://doi.org/10.26650/ibr.2022.51.895637

Sayı

Yazarlar:

Mehmet Levent ERDAŞ

Yayıncı:

Istanbul University

Ana Başlıklar:

Yönetim

Dergi:

Istanbul Business Research 2022 Vol.51 Issue 1, pp.25-46

Belge Tipi:

Makale

Yayın Tarihi:

4/2022

Belge Dili:

İngilizce

Document ID (Org No.):

2000479855

Sıklık:

İki Yıllık

eISSN:

2630-5488

DOI:

https://doi.org/10.26650/ibr.2022.51.895637