The determinants of Turkish CDS volatility: An ARDL approach covering COVID period

IF 2.9 3区 经济学 Q1 ECONOMICS
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引用次数: 0

Abstract

The accuracy of CDS premiums has been questioned in many former studies. However, we intend to show that the volatilities of these spreads rather than their basis point levels indicate and signal the status of sovereign risk and credit worthiness as they tend to reveal sudden deteriorations in key sovereign and global economic indicators. In that respect we aim to reveal the determinants of Turkish CDS spread volatility by using an ARDL Bounds Test framework. In line with our expectations exchange rate, stock market indice and oil price volatility have significant positive coefficients in the long run whereas US 10-year bond spreads have short run effects up to three lags. Also, our results show that COVID pandemic has remarkably increased Turkish CDS volatility. Moreover, the unorthodox monetary policies adopted after COVID has also raised CDS volatility with persistently high spread levels where a long-term memory effect was prevalent.

土耳其 CDS 波动性的决定因素:覆盖 COVID 期间的 ARDL 方法
以前的许多研究都对 CDS 溢价的准确性提出过质疑。然而,我们打算说明的是,这些利差的波动率而不是其基点水平可以指示和表明主权风险和信用状况,因为它们往往会揭示主要主权和全球经济指标的突然恶化。在这方面,我们的目标是通过使用 ARDL 边界检验框架来揭示土耳其 CDS 利差波动的决定因素。与我们的预期一致,汇率、股市指数和油价波动在长期内具有显著的正系数,而美国 10 年期债券利差则具有长达三个滞后期的短期效应。我们的结果还显示,COVID 大流行显著增加了土耳其 CDS 的波动性。此外,在 COVID 之后采取的非正统货币政策也提高了 CDS 的波动性,利差水平持续走高,长期记忆效应十分普遍。
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来源期刊
CiteScore
6.00
自引率
2.90%
发文量
118
期刊介绍: The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.
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