{"title":"日本CDS溢价与经济、金融和政治风险关系的实证分析","authors":"Esra SOYU, Munise ILIKKAN ÖZGÜR","doi":"10.17233/sosyoekonomi.2023.04.04","DOIUrl":null,"url":null,"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.","PeriodicalId":42679,"journal":{"name":"Sosyoekonomi","volume":"24 1","pages":"0"},"PeriodicalIF":0.3000,"publicationDate":"2023-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"An Empirical Analysis of the Relationship Between Türkiye’s CDS Premium and Economic, Financial and Political Risk\",\"authors\":\"Esra SOYU, Munise ILIKKAN ÖZGÜR\",\"doi\":\"10.17233/sosyoekonomi.2023.04.04\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":42679,\"journal\":{\"name\":\"Sosyoekonomi\",\"volume\":\"24 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.3000,\"publicationDate\":\"2023-10-26\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Sosyoekonomi\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.17233/sosyoekonomi.2023.04.04\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Sosyoekonomi","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.17233/sosyoekonomi.2023.04.04","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"ECONOMICS","Score":null,"Total":0}
An Empirical Analysis of the Relationship Between Türkiye’s CDS Premium and Economic, Financial and Political Risk
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.
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