2017
DOI: 10.25287/ohuiibf.310704
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Kredi̇ Temerrüt Swaplari İle Dövi̇z Kurlari Arasindaki̇ İli̇şki̇: Türki̇ye İçi̇n Ampri̇k Bi̇r Anali̇z

Abstract: Bu çalışmada, Türkiye'nin kredi temerrüt swapları ile döviz kurları arasındaki ilişki 4 Ocak 2010-31 Ağustos 2015 dönemi için zaman serileri analizleri ile incelenmektedir. Bu amaç doğrultusunda ilk olarak değişkenlerin durağanlık süreci Augmented Dickey Fuller (ADF) ve Phillips Perron (PP) birim kök testleri ile incelenmiş olup, değişkenlerin birinci farklarında durağan oldukları saptanmıştır. Değişkenler arasında uzun dönemli ilişkinin varlığını tespit etmek amacıyla Johansen Eşbütünleşme (Koentegrasyon) tes… Show more

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Cited by 20 publications
(8 citation statements)
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“…Conversely, there is significant evidence of causal linkages concentrated in the higher frequency bands, corresponding with cycles of 2.21 and 2 months for CDS5⟺USDTRY and with cycles of 2.25 and 3.23 months for CDS5⇐USDTRY at monthly observations. From these findings, we may conclude that the changes in CDS spread (USDTRY) could be used to predict the USDTRY (CDS) movements in the future and this is partially in line with the most recent studies including Akkaya (2017), Gün et al (2016), andZhang et al (2010) with CDS⇒FX and Aksoylu and Görmüş (2018), Çonkar andVergili (2017), andÖzpınar et al (2018) [2.44, 3.214], implying a feedback mechanism but temporary causality between the return series with a periodicity shorter than 3.41 months.…”
Section: Empirical Results and Discussionsupporting
confidence: 84%
See 1 more Smart Citation
“…Conversely, there is significant evidence of causal linkages concentrated in the higher frequency bands, corresponding with cycles of 2.21 and 2 months for CDS5⟺USDTRY and with cycles of 2.25 and 3.23 months for CDS5⇐USDTRY at monthly observations. From these findings, we may conclude that the changes in CDS spread (USDTRY) could be used to predict the USDTRY (CDS) movements in the future and this is partially in line with the most recent studies including Akkaya (2017), Gün et al (2016), andZhang et al (2010) with CDS⇒FX and Aksoylu and Görmüş (2018), Çonkar andVergili (2017), andÖzpınar et al (2018) [2.44, 3.214], implying a feedback mechanism but temporary causality between the return series with a periodicity shorter than 3.41 months.…”
Section: Empirical Results and Discussionsupporting
confidence: 84%
“…Further, no evidence of symmetric and asymmetric causal linkage from financial variables to CDS spreads is found for the few countries, including Brazil, Mexico, the Philippines, and Turkey. Virtually similar findings were obtained by Çonkar and Vergili (2017), who investigated the CDS-exchange relationship through cointegration and causality tests during the 2010M01-2015M08 period in Turkey. On the other hand, Ozer and Kamisli (2016) found a unilateral short-run causality from interest rates to EURTRY and a reverse but long-run linkage in Turkey.…”
Section: Literature Reviewsupporting
confidence: 82%
“…If non-stationary series are used, the regression analysis results can be unreliable and lead to incorrect conclusions. On the other hand, a stationary series does not have a unit root, and its mean, variance, and covariance do not change over time (Enders, 2004: 171;Gujarati, 2004, p.713;Çonkar and Vergili, 2017).…”
Section: Stationarity Analysismentioning
confidence: 99%
“…Analiz sonucunda elde edilen bulgulara göre BIST banka endeksi, BIST Tüm, tahvil faizleri ve CDS primlerinin granger nedeni olarak ortaya çıkmaktadır. Elde edilen nedensellik ilişkileri literatürdeki çalışmaları desteklemektedir (Liu & Morley, 2012;Başarır & Keten, 2016;Sadeghzadeh, 2018;Akkaya, 2016;Çonkar & Vergili, 2017;Şahin & Özkan, 2018;Sarıgül & Şengelen, 2020). Ancak literatürde CDS primlerinin BIST 100 endeksinin granger nedeni olduğuna yönelik çalışmalarda bulunmaktadır (Bektur & Malcıoğlu, 2017;Sarıgül & Şengelen, 2020).…”
Section: Sonuçunclassified