An Empirical Analysis of the Relationship Between Türkiye’s CDS Premium and Economic, Financial and Political Risk

Authors : Esra Soyu, Munise Ilikkan Özgür

Pages : 81-104

Doi:10.17233/sosyoekonomi.2023.04.04

View : 290 | Download : 424

Publication Date : 2023-10-26

Article Type : Research Paper

Abstract :This study investigates the causal relationship between Türkiye’s economic, financial, and political risk rates and CDS premiums. This assessment uses the Bootstrap TY and time-varying causality test to scrutinise the relationship between the risk rates and CDS premium between the periods 2000:10 and 2020:06. While the former analysis finds no causal relationship among the variables, the latter analysis deduces a significant causality. The Bootstrap TY asymmetric causality test findings discover causality arising from the negative shocks from political risk to CDS premium. The findings of the time-varying causality test identify periods in Türkiye in which a causal relationship is prevalent between economic, financial, and political risk with CDS premium.
Keywords : CDS Primi, Ekonomik Risk, Finansal Risk, Politik Risk, Nedensellik Analizi