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Int. J. Financial Stud. 2016, 4(3), 14;

Impacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euro

Department of Economics, Yıldırım Beyazıt University, Ankara 06680; Turkey
Department of Economics, İnönü University, Malatya 44280, Turkey
Department of Economics and Finance, University of New Orleans, New Orleans, LA 70148, USA
Author to whom correspondence should be addressed.
Academic Editor: Nikolaos Apergis
Received: 15 April 2016 / Revised: 26 May 2016 / Accepted: 31 May 2016 / Published: 1 July 2016
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In this study, we aim to investigate the impacts of credit default swaps (CDS) premium as a risk financial indicator on the fluctuations of value of the Turkish lira against the Euro. We try to answer the following questions: Is the CDS premium change among the drivers of EUR/TL exchange rate and what are the possible effects of CDS premium volatility on EUR/TL exchange rate stability in different conditions? In this regard, we developed a MS-VAR regime change model and asymmetric, frequency domain and rolling windows causality analysis methods. Results obtained from all tests imply that risk premium is partially a driver of the EUR/TL exchange rate between the years 2009 and 2015. View Full-Text
Keywords: CDS premium; asymmetric causality; rolling windows causality CDS premium; asymmetric causality; rolling windows causality

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Kar, M.; Bayat, T.; Kayhan, S. Impacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euro. Int. J. Financial Stud. 2016, 4, 14.

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Int. J. Financial Stud. EISSN 2227-7072 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
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