Abstract:

This study examines the causal relationship between the credit rate exchanges (CDS) and macroeconomic variables (inflation rates, growth rates, external debt) for the 2008:C1 - 2019:C2 period. In this context, the Extended Dickey-Fuller (ADF) unit root test was implemented in order to study the stages of the series and the variables were observed staging in the first differences. The long-term relationships between variables were then studied with the Johansen Integration Test and found that there was equalization between CDS primes and macroeconomic variables. To determine the direction of short-term relationships, the Granger Causal Test was used. The results of the test indicate the existence of one-way causality from inflation rates to CDS primes at a significant level of 5%. The results of the analysis also show that CDS primes are the cause of external debt Granger. On the other hand, there is no causal relationship between CDS primes and growth rates.

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