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Journals / Maliye Dergisi / 2022 / Cilt: 0 - Sayı: 182

The Relationship Between Country Risk Premium and its Volatility: Turkish Case

Ülke Risk Primi ile Değişkenliği Arasındaki İlişkinin İncelenmesi: Türkiye Örneği

Aykut EKİCİ HTTPS ORCİD.ORG
İlknur EKİNCİ
Pages
51–63
Publication Date
2023-10-16
DOI
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AI Summary & Key Takeaways

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

Empirical findings robustly suggest that (i) the CDS premium volatility significantly increases the CDS premium; (ii) an increase in Stock Exchange and appreciation in Turkish lira decreases the CDS premium; (iii) Turkish CDS premium volatility has a strong long memory effect; (iv) the asymmetric effect has been found statistically insignificant; and (v) CDS premium volatility is positively associated with VIX and negatively associated with oil price.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study investigates the relationship between credit default swap (CDS) premium and its volatility using the EGARCH-M model for the Turkish economy.
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Key Findings & Data:This study investigates the relationship between credit default swap (CDS) premium and its volatility using the EGARCH-M model for the Turkish economy.
💡
Conclusion & Impact:Empirical findings robustly suggest that (i) the CDS premium volatility significantly increases the CDS premium; (ii) an increase in Stock Exchange and appreciation in Turkish lira decreases the CDS premium; (iii) Turkish CDS premium volatility has a strong long memory effect; (iv) the asymmetric effect has been found statistically insignificant; and (v) CDS premium volatility is positively associated with VIX and negatively associated with oil price.
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Domain Parameters

Abstract

This study investigates the relationship between credit default swap (CDS) premium and its volatility using the EGARCH-M model for the Turkish economy. Empirical findings robustly suggest that (i) the CDS premium volatility significantly increases the CDS premium; (ii) an increase in Stock Exchange and appreciation in Turkish lira decreases the CDS premium; (iii) Turkish CDS premium volatility has a strong long memory effect; (iv) the asymmetric effect has been found statistically insignificant; and (v) CDS premium volatility is positively associated with VIX and negatively associated with oil price.

Özet

Bu çalışma, kredi temerrüt takası (CDS) prim değişkenliği ile CDS primi arasındaki ilişkiyi EGARCH-M modeli ile Türkiye ekonomisi için incelemektedir. Çalışmanın temel bulguları; (i) CDS prim değişkenliğindeki artış CDS primini artırmaktadır; (ii) borsadaki artış ve TL’deki değerlenme CDS primini azaltmaktadır; (iii) Türkiye CDS prim değişkenliği uzun dönem hafıza etkisine sahiptir; (iv) asimetrik etki istatistiksel olarak anlamsız bulunmuştur; (v) CDS prim değişkenliği, VIX ile pozitif ve petrol fiyatları ile negatif ilişkilidir.

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Cite This Article

ORCİD.ORG, A. E. H., EKİNCİ, İ. (2023). The Relationship Between Country Risk Premium and its Volatility: Turkish Case. Maliye Dergisi, Cilt: 0 - Sayı: 182, 51–63. https://ajindex.com/articles/967565

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