SOVEREIGN CREDIT DEFAULT SWAP (CDS) SPREADS CHANGES IN VARIOUS ECONOMIC CONJUNCTURES: EVIDENCE FROM TURKEY BY MACHINE LEARNING ALGORITHMS

Mustafa Tevfik KARTAL; Serpil KILIÇ DEPREN; Özer DEPREN

doi:https://doi.org/10.11611/yead.1076897

Makale detayları

SOVEREIGN CREDIT DEFAULT SWAP (CDS) SPREADS CHANGES IN VARIOUS ECONOMIC CONJUNCTURES: EVIDENCE FROM TURKEY BY MACHINE LEARNING ALGORITHMS

Yazarlar:

Mustafa Tevfik KARTAL | Serpil KILIÇ DEPREN | Özer DEPREN

Yayıncı:

Bandirma Onyedi Eylul University

Ana Başlıklar:

Genel yönetim

Dergi:

Journal of Management and Economics Research 2022 Vol.20 Issue 1, pp.354-374

Belge Tipi:

Makale

Yayın Tarihi:

3/2022

Belge Dili:

İngilizce

Document ID (Org No.):

2000643014

Sıklık:

Üç Aylık

eISSN:

2148-029X

pISSN:

2148-029X

DOI:

https://doi.org/10.11611/yead.1076897

Özet:

 

The study aims to define the sources of Turkey’s sovereign CDS spread changes to develop policies that stabilize CDS spreads since they have a volatile and increasing trend, especially in the last two years. In this context, monthly data of 13 factors related to international, macroeconomic, and market between 2011/1 and 2019/12 are used by dividing the dataset into three periods as the full period (2011-2019), the stability period (2011-2017), and the macroeconomic turbulent period (2018-2019) and performing 4 different machine learning algorithms. The empirical results prove that (i) Treasury bond interest rate should be lower than 8% in the stability period and gold prices should be lower than TL 5.500 in the macroeconomic turbulent period to have low-level CDS spreads; (ii) NPL volume has no significant effect on in any period examined; (iii) the significance of factors on sovereign CDS spreads vary over the periods.

Makale detayları

SOVEREIGN CREDIT DEFAULT SWAP (CDS) SPREADS CHANGES IN VARIOUS ECONOMIC CONJUNCTURES: EVIDENCE FROM TURKEY BY MACHINE LEARNING ALGORITHMS

Yazarlar: Mustafa Tevfik KARTAL | Serpil KILIÇ DEPREN | Özer DEPREN

Yayıncı: Bandirma Onyedi Eylul University

Ana Başlıklar: Genel yönetim

Dergi: Journal of Management and Economics Research 2022 Vol.20 Issue 1, pp.354-374

Belge Tipi: Makale

Yayın Tarihi: 3/2022

Belge Dili: İngilizce

Document ID (Org No.): 2000643014

Sıklık: Üç Aylık

eISSN: 2148-029X

pISSN: 2148-029X

DOI: https://doi.org/10.11611/yead.1076897

Sayı

Yazarlar:

Mustafa Tevfik KARTAL | Serpil KILIÇ DEPREN | Özer DEPREN

Yayıncı:

Bandirma Onyedi Eylul University

Ana Başlıklar:

Genel yönetim

Dergi:

Journal of Management and Economics Research 2022 Vol.20 Issue 1, pp.354-374

Belge Tipi:

Makale

Yayın Tarihi:

3/2022

Belge Dili:

İngilizce

Document ID (Org No.):

2000643014

Sıklık:

Üç Aylık

eISSN:

2148-029X

pISSN:

2148-029X

DOI:

https://doi.org/10.11611/yead.1076897