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Journals / Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi / 2026 / Cilt: 22 Sayı: 41

LONG TERM RELATIONSHIP BETWEEN CDS AND CURRENCY EXCHANGE RATES: THE TURKISH CASE

CDS İLE DÖVİZ KURLARI ARASINDAKİ UZUN DÖNEMLİ İLİŞKİ: TÜRKİYE ÖRNEĞİ

Sezer Bozkuş Kahyaoğlu0000-0003-2865-3399
Pages
219–236
Publication Date
2019-06-15
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Policy recommendations are made for Turkey based on the empirical findings to contribute to the relevant literature.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The main objective of this study is to analyze the long-term relationship between exchange rate and credit default swaps (CDS) based on high frequency time series as representative of Turkey's risk premium.
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Key Findings & Data:Hence, the relationship between variables, namely exchange rates and Turkey's CDS, are analyzed by using non-linear causality tests.
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Conclusion & Impact:Policy recommendations are made for Turkey based on the empirical findings to contribute to the relevant literature.
🔬Design:Araştırma Makalesi
📍Scope:Comprehensive Sample
⚙️Variables:Risk Primi · Kredi Temerrüt Takası (CDS) · Doğrusal Olmayan Granger Nedensellik Testi

Abstract

The main objective of this study is to analyze the long-term relationship between exchange rate and credit default swaps (CDS) based on high frequency time series as representative of Turkey's risk premium. In general, the long-term relationship describes a long period of time in the literature. However, although the time periods used in the testing of financial and economic hypotheses have taken a long period of time, the use of new techniques is needed due to the high frequencies. In the analysis of long-term relationships with high-frequency time series, the transition and the continuity of the shocks should be considered together. Therefore, in this study, partial integration method considering these two features was used as an analysis tool. The most important feature of the analysis is that it gives information about the long term relationship based on these properties. This information is a random process based on the tendency to revert to the mean in the period covered and is the result of the applied test. Hence, the relationship between variables, namely exchange rates and Turkey's CDS, are analyzed by using non-linear causality tests. Thus, it is also analyzed whether the effects such as jump and break on these variables change over time. Policy recommendations are made for Turkey based on the empirical findings to contribute to the relevant literature.

Özet

Bu çalışmanın temel amacı, Türkiye'nin risk primlerini temsil eden "kredi temerrüt takası" (CDS- credit default swap) ve döviz kurları arasındaki uzun dönemli ilişkinin analizini yüksek frekanslı zaman verilerine dayalı olarak analiz etmektir. Genel olarak uzun dönemli ilişki literatürde uzun bir zaman dönemini tanımlamaktadır. Oysa günümüzde finansal ve iktisadi hipotezlerin testinde kullanılan zaman dönemleri uzun bir dönemi almış olsalar bile, frekansların yüksek olmasından dolayı, yeni tekniklerin kullanımına ihtiyaç duyulmaktadır. Uzun dönemli ilişkilerin yüksek frekanslı zaman serileri ile analizinde şokların geçişgenliği ile sürekliliği birlikte dikkate alınmalıdır. Bundan dolayı bu çalışmada bu iki özelliği dikkate alan kısmi tümleşme yöntemi analiz aracı olarak kullanılmıştır. Analizin en önemli özelliği belirtilen özelliğe dayalı uzun dönemli ilişki hakkında bilgi vermesidir. Bu bilgi ele alınan dönemde ortalamaya dönme eğilimine göre bir rastsal süreç olup uygulanan testin bir sonucu olmaktadır. Bu çalışmada kullanılan yaklaşım ile Türkiye’nin CDS ile döviz kurları arasındaki uzun dönemli ilişki yüksek frekanslı zaman serileriyle analizi yapılmıştır. Elde edilen ampirik bulgulara dayalı olarak Türkiye için politika önerileri sunulmuştur.

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Cite This Article

Kahyaoğlu, S. B. (2019). LONG TERM RELATIONSHIP BETWEEN CDS AND CURRENCY EXCHANGE RATES: THE TURKISH CASE. Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, Cilt: 22 Sayı: 41, 219–236. https://doi.org/10.31795/baunsobed.580572

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