Credit Default Swap and Commodity Prices Relations: The Case of Turkey

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Tanyildizi H., Yiğiter Ş. Y.

SOSYOEKONOMI, cilt.29, sa.47, ss.181-200, 2021 (TRDizin)

• Yayın Türü: Makale / Tam Makale
• Cilt numarası: 29 Sayı: 47
• Basım Tarihi: 2021
• Doi Numarası: 10.17233/sosyoekonomi.2021.01.09
• Dergi Adı: SOSYOEKONOMI
• Derginin Tarandığı İndeksler: TR DİZİN (ULAKBİM)
• Sayfa Sayıları: ss.181-200
• Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
• Erzincan Binali Yıldırım Üniversitesi Adresli: Evet

Özet

The aim of this study is to reveal the relationship between credit default swaps and commodity prices for Turkey. Additionally, Turkish CDS premiums are investigated in relation to the bond interest rates, BIST100 and VIX indexes. Regression analysis is conducted with daily time series data spanning through 2008-2018 within an ARDL framework and using Pesaran Bond Test. Results indicate a negative relationship between the commodity prices and CDS premiums in Turkey.