Does credit default swap spread affect the value of the Turkish LIRA against the U.S. dollar?

Basit Öğe Kaydı
dc.contributor.authorHassan, M. Kabir
dc.contributor.authorKayhan, Selim
dc.contributor.authorBayat, Tayfur
dc.date.accessioned2024-02-23T14:02:20Z
dc.date.available2024-02-23T14:02:20Z
dc.date.issued2017
dc.departmentNEÜen_US
dc.description.abstractWe examine possible links between CDS spreads and the value of the Turkish lira against the U.S. dollar by using the recently developed rolling window causality method as well as the Markov Switching Vector Autoregressive method. Results show that credit default swap premiums drive the value of the Turkish lira against the U.S. dollar in the post crisis period. We conclude that market risk as a part of financial risk has become an important factor in determining exchange rate fluctuations in the Turkish economy during the post-crisis period. Copyright (C) 2016, Borsa Istanbul Anonim Sirketi. Production and hosting by Elsevier B.V.en_US
dc.identifier.doi10.1016/j.bir.2016.10.002
dc.identifier.endpage9en_US
dc.identifier.issn2214-8450
dc.identifier.issn2214-8469
dc.identifier.issue1en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage1en_US
dc.identifier.urihttps://doi.org/10.1016/j.bir.2016.10.002
dc.identifier.urihttps://hdl.handle.net/20.500.12452/11649
dc.identifier.volume17en_US
dc.identifier.wosWOS:000425013000001en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.ispartofBorsa Istanbul Reviewen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectCds Premiumen_US
dc.subjectMs-Varen_US
dc.subjectRolling Window Causalityen_US
dc.subjectExchange Rateen_US
dc.titleDoes credit default swap spread affect the value of the Turkish LIRA against the U.S. dollar?en_US
dc.typeArticleen_US

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