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  Citation Number 12
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Impacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euro
2016
Journal:  
International Journal of Financial Studies
Author:  
DOI:  
10.3390/ijfs4030014
Abstract:

In this study, we aim to investigate the impacts of credit default swaps (CDS) premium as a risk financial indicator on the fluctuations of value of the Turkish lira against the Euro. We try to answer the following questions: Is the CDS premium change among the drivers of EUR/TL exchange rate and what are the possible effects of CDS premium volatility on EUR/TL exchange rate stability in different conditions? In this regard, we developed a MS-VAR regime change model and asymmetric, frequency domain and rolling windows causality analysis methods. Results obtained from all tests imply that risk premium is partially a driver of the EUR/TL exchange rate between the years 2009 and 2015.

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International Journal of Financial Studies

Field :   Sosyal, Beşeri ve İdari Bilimler

Journal Type :   Uluslararası

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Article : 647
Cite : 376
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International Journal of Financial Studies