The Relationship Between Geopolitical Risk and Credit Default Swap Premium: Evidence from Turkey
| dc.contributor.author | Soyu Yıldırım, Esra | |
| dc.contributor.author | Ilıkkan Özgür, Munise | |
| dc.date.accessioned | 2023-10-11T07:28:39Z | |
| dc.date.available | 2023-10-11T07:28:39Z | |
| dc.date.issued | 2023 | |
| dc.department | Sosyal Bilimler Meslek Yüksekokulu | |
| dc.description.abstract | 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. | |
| dc.identifier.endpage | 101 | en_US |
| dc.identifier.issue | 1 | en_US |
| dc.identifier.scopusquality | Q3 | |
| dc.identifier.startpage | 80 | en_US |
| dc.identifier.uri | https:/dx.doi.org10.15388/Ekon.2023.102.1.5 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.12451/11131 | |
| dc.identifier.volume | 102 | en_US |
| dc.indekslendigikaynak | Scopus | |
| dc.language.iso | en | |
| dc.publisher | Vilnius University Press | |
| dc.relation.ispartof | Ekonomika | |
| dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | |
| dc.rights | info:eu-repo/semantics/openAccess | |
| dc.subject | ARDL | |
| dc.subject | CDS | |
| dc.subject | Geopolitical Risk | |
| dc.subject | Time Varying Causality | |
| dc.subject | Turkey | |
| dc.title | The Relationship Between Geopolitical Risk and Credit Default Swap Premium: Evidence from Turkey | |
| dc.type | Article |
