{"title":"FİNANSAL PİYASALAR VE RİSK ALGISI: TÜRKİYE ÜZERİNE BİR İNCELEME","authors":"Nazan Şak","doi":"10.14784/marufacd.976470","DOIUrl":null,"url":null,"abstract":"CDS is an important indicator for measuring risk for countries or markets. In this study, the relationship between CDS and USD, EURO, CALTIN, BIST SANAYI and active bond index (ATE) variables were investigated by Diks and Panchenko (2006) nonlinear causality test and Fourier Toda Yamamoto causality test. As a result of the analysis, according to Diks and Panchenko (2006) test, no nonlinear causality relationship was found between CDS, BIST SANAYI index and Euro. The test results show that there is a nonlinear relationship from CDS to active bond index (ATE) at the 5th lag and from CALTIN to CDS at the 1st, 2nd and 7th lag. In addition, * Dr. Öğr. Üyesi, Osmaniye Korkut Ata Üniversitesi, İktisadi ve İdari Bilimler Fakültesi Ekonometri Bölümü, e-mail: nazansak@osmaniye.edu.tr, ORCID ID: 0000-0002-7155-2940","PeriodicalId":440701,"journal":{"name":"Finansal Araştırmalar ve Çalışmalar Dergisi","volume":"41 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Finansal Araştırmalar ve Çalışmalar Dergisi","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.14784/marufacd.976470","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
摘要
CDS是衡量国家或市场风险的重要指标。本研究采用Diks和Panchenko(2006)非线性因果检验和Fourier Toda Yamamoto因果检验，研究CDS与USD、EURO、CALTIN、BIST SANAYI和主动债券指数(ATE)变量之间的关系。分析结果表明，根据Diks和Panchenko(2006)检验，CDS、BIST SANAYI指数与欧元之间不存在非线性因果关系。测试结果表明，CDS与活性键指数(ATE)在第5个滞后，CALTIN与CDS在第1、2和7个滞后存在非线性关系。此外，*博士Öğr。Üyesi, Osmaniye Korkut Ata Üniversitesi， İktisadi ve İdari Bilimler fak ltesi Ekonometri Bölümü， e-mail: nazansak@osmaniye.edu.tr, ORCID ID: 0000-0002-7155-2940
FİNANSAL PİYASALAR VE RİSK ALGISI: TÜRKİYE ÜZERİNE BİR İNCELEME
CDS is an important indicator for measuring risk for countries or markets. In this study, the relationship between CDS and USD, EURO, CALTIN, BIST SANAYI and active bond index (ATE) variables were investigated by Diks and Panchenko (2006) nonlinear causality test and Fourier Toda Yamamoto causality test. As a result of the analysis, according to Diks and Panchenko (2006) test, no nonlinear causality relationship was found between CDS, BIST SANAYI index and Euro. The test results show that there is a nonlinear relationship from CDS to active bond index (ATE) at the 5th lag and from CALTIN to CDS at the 1st, 2nd and 7th lag. In addition, * Dr. Öğr. Üyesi, Osmaniye Korkut Ata Üniversitesi, İktisadi ve İdari Bilimler Fakültesi Ekonometri Bölümü, e-mail: nazansak@osmaniye.edu.tr, ORCID ID: 0000-0002-7155-2940
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