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- Title
VOLATILITY SPILLOVER EFFECTS FROM GLOBAL AND NATIONAL VARIABLES TO SOVEREIGN CDS SPREADS: EVIDENCE FROM TURKEY.
- Authors
KURT CİHANGİR, Çiğdem
- Abstract
In this study global and national variables that affect the sovereign Credit Default Swaps (CDS) spreads for Turkey are examined. The study utilises monthly time-series data, spanning from August of 2009 to September 2018. Empirical analysis is done in two steps: In the first step, the causality relationships between related variables are investigated by the Granger causality test. In the second step, the effect of symmetric and asymmetric spillover effects on sovereign CDS spread is determined. The findings show that both national and global shocks are relevant for Turkey' sovereign CDS spreads volatility, but national variables tend to have a greater impact. Furthermore, there exist mean asymmetric effects for external fragility, domestic interest rate and the VIX variables. It is tested that sovereign CDS spreads react more sharply to domestic interest rates and VIX bad news than a positive shock of equal size. Generally, both uncertainties in global conditions and the relatively high need for external borrowing of Turkey necessitates a multi-faceted policy-making and management process.
- Subjects
TURKEY; CREDIT default swaps; GRANGER causality test; INTEREST rates; GLOBAL studies
- Publication
Visionary E-Journal / Vizyoner Dergisi, 2020, Vol 11, Issue 26, p45
- ISSN
1308-9552
- Publication type
Article
- DOI
10.21076/vizyoner.654420