The Relationship Between Geopolitical Risk and Credit Default Swap Premium: Evidence from Turkey
Yükleniyor...
Tarih
2023
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Vilnius University Press
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
This study investigates the relationship between the geopolitical risk in Turkey arising out of the war and terror incidents happened in the region during the period 2003:01-2020:06 with the CDS premium. A two-step approach is undertaken for this assessment, in which an ARDL limit test and then a time-varying symmetric and asymmetric causality test are applied to study the possible causality vis-a-vis the subperiods. The ARDL limit test does not reject the hypothesis that there is a co-integrated relationship between CDS premium and geopolitical risk index. In addition, the time-varying symmetric and asymmetric test also identifies causality between CDS premium and geopolitical risk, and establishes periods where the latter influences the former variable both in a positive and negative way. In summary, both the ARDL limit test and the time-varying symmetric and asymmetric test deduce a causal relationship between the studied variables.
Açıklama
Anahtar Kelimeler
ARDL, CDS, Geopolitical Risk, Time Varying Causality, Turkey
Kaynak
Ekonomika
WoS Q Değeri
Scopus Q Değeri
Q3
Cilt
102
Sayı
1
