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


Hassan M. K. , Kayhan S., BAYAT T.

BORSA ISTANBUL REVIEW, cilt.17, ss.1-9, 2017 (SSCI İndekslerine Giren Dergi) identifier identifier

  • Cilt numarası: 17 Konu: 1
  • Basım Tarihi: 2017
  • Doi Numarası: 10.1016/j.bir.2016.10.002
  • Dergi Adı: BORSA ISTANBUL REVIEW
  • Sayfa Sayıları: ss.1-9

Özet

We 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.