The Relationship Between Geopolitical Risk and Credit Default Swap Premium: Evidence from Turkey
| Autor: | Esra Soyu Yıldırım, Munise Ilikkan Özgür |
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| Jazyk: | angličtina |
| Rok vydání: | 2023 |
| Předmět: | |
| Zdroj: | Ekonomika, Vol 102, Iss 1 (2023) |
| Druh dokumentu: | article |
| ISSN: | 1392-1258 2424-6166 |
| DOI: | 10.15388/Ekon.2023.102.1.5 |
| Popis: | 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. |
| Databáze: | Directory of Open Access Journals |
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