地缘政治风险与信用违约互换溢价的关系——来自土耳其的证据*

Ekonomika Vilniaus Universitetas Pub Date : 2023-05-05 DOI:10.15388/ekon.2023.102.1.5

Esra Soyu Yıldırım, Munise Ilikkan Özgür

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引用次数: 0

摘要

本研究探讨2003:01-2020:06期间土耳其因战争和恐怖事件而产生的地缘政治风险与CDS溢价之间的关系。该评估采用两步方法，首先采用ARDL极限检验，然后应用时变对称和非对称因果关系检验来研究与子周期相关的可能因果关系。ARDL极限检验并不否定CDS溢价与地缘政治风险指数之间存在协整关系的假设。此外，时变对称和非对称检验还确定了CDS溢价与地缘政治风险之间的因果关系，并确定了后者以积极和消极的方式影响前者变量的时期。综上所述，无论是ARDL极限检验还是时变对称和非对称检验，都推导出了研究变量之间的因果关系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Relationship Between Geopolitical Risk and Credit Default Swap Premium: Evidence from Turkey*

This study investigates the relationship between the geopolitical risk in Turkey arising out of the war and terror incidents happened in the region during the period 2003:01-2020:06 with the CDS premium. A two-step approach is undertaken for this assessment, in which an ARDL limit test and then a time-varying symmetric and asymmetric causality test are applied to study the possible causality vis-a-vis the subperiods. The ARDL limit test does not reject the hypothesis that there is a co-integrated relationship between CDS premium and geopolitical risk index. In addition, the time-varying symmetric and asymmetric test also identifies causality between CDS premium and geopolitical risk, and establishes periods where the latter influences the former variable both in a positive and negative way. In summary, both the ARDL limit test and the time-varying symmetric and asymmetric test deduce a causal relationship between the studied variables.

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来源期刊

Ekonomika Vilniaus Universitetas Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

1.40

自引率

0.00%

发文量