Türkiye’de CDS Primlerinin Belirleyicilerinin Ekonometrik Analizi
Determinants of CDS Spreads: An Empirical Investigation on Turkey

Author(s): Sefa Özbek
Subject(s): National Economy, Economic history, Present Times (2010 - today)
Published by: Özgür Yayın Dağıtım Ltd. Şti.
Keywords: Turkey; Turkish economy; CDS Spreads;
Summary/Abstract: There are two main goals in this study. The first one determines the short- and long-term macroeconomic determinants of Credit Default Swap (CDS) premiums in the Turkish economy in the sample period of 2010:Q2-2020:Q3. The second goal is to test the relevant determinants with FMOLS, DOLS and CCR estimators, as well as ARDL bounds test, and compare the results. In line with these objectives, in this study, econometric analyzes of the Turkish economy's CDS premiums, real effective exchange rate, interest rate, international investment position, foreign exchange reserves, consumer price index, current account deficit and growth rate variables were made. According to the results of the empirical analysis, the variables are statistically significant at the 5% level of significance in the short and long term. On the other hand, it was concluded that both ARDL and FMOLS, DOLS, CCR estimator results were generally compatible with each other.

• Details
• Contents