Gezi Parkı Olaylarının Türkiye Kredi Temerrüt Swapları (CDS) Üzerine Etkisi
The Effects of Gezi Park Protests on Turkey’s Credit Default Swaps (CDS)
Author(s): Musa Gün, Melih Kutlu, Osman KaramustafaSubject(s): Economy, Evaluation research, Financial Markets
Published by: Orhan Sağçolak
Keywords: CDS; VAR Analysis; Granger Causality Test; Gezi Park Protests;
Summary/Abstract: Credit default swap is also referred to as a credit derivative contract where the counterparty of the swap makes payments up until the maturity date of a financial contract. In this study, whether Gezi Park events which happened in 2013 are on a significant impact on Turkey credit default swap spread or not tested with the VAR(Vector Auto-Regressive) method. In the analysis, investigated the long-term relationship with Johansen co-integration test and causality with Granger test. In addition, variance decomposition and impulse response analysis are performed. According to the results found significant correlations between Gezi Park events and CDS and also Eurobonds interest, the BIST 100 index, a basket of currencies with CDS spreads have been identified.
Journal: İşletme Araştırmaları Dergisi
- Issue Year: 8/2016
- Issue No: 1
- Page Range: 556-575
- Page Count: 20
- Language: Turkish
