Impacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euro

Kar, Muhsin; Bayat, Tayfur; Kayhan, Selim

doi:10.3390/ijfs4030014

Cited by 10 publications

(6 citation statements)

References 52 publications

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“…Finally, the asymmetric causality relationship from positive shocks in CDS to positive shocks in exchange rates is determined. In addition, Kar et al (2016), ), Münyas's (2020 analysis results are in line with our findings despite employing different econometric methods.…”

Section: Concluding Remarksupporting

confidence: 90%

Dynamics of Exchange Rate Fluctuations in Turkey: Evidence from Symmetric and Asymmetric Causality Analysis

Çelik

2022

ECO

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This study examines the factors affecting exchange rate fluctuations in Turkey by employing the quarterly data from 2008 to 2020. In this context, linear and nonlinear unit root tests were used to determine the stationarity levels of the variables. Then, symmetric and asymmetric causality analysis was preferred to ascertain the relationship between the variables. Symmetric causality analysis results indicated a causality relationship from the exchange rate to the long-term debt stock, from the credit default swap (CDS) to the exchange rate, and from the exchange rate to the uncertainty index. The asymmetric causality analysis showed a causality relationship from positive shocks in the short-term debt stock to negative shocks in the exchange rate. Also, it was proven that there exists a causality relationship from negative shocks in the short-term external debt stock to positive and negative shocks in the exchange rate. Another result demonstrated a causality relationship between positive shocks in the exchange rate to negative shocks in the long-term debt stock. In addition, it was found that negative shocks in net capital investment were the cause of negative shocks in the exchange rate, while it was determined that there was a causality relationship from positive shocks in the net reserves to positive shocks in the exchange rate. In conclusion, the asymmetric causality relationship from positive shocks in CDS to positive shocks in exchange rates was detected.

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Section: Concluding Remarksupporting

confidence: 90%

Dynamics of Exchange Rate Fluctuations in Turkey: Evidence from Symmetric and Asymmetric Causality Analysis

Çelik

2022

ECO

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“…With a sterilized exchange rate intervention, its effect on inflation will be minimized with the exchange rate transition effect. Kar et al (2016) the first asymmetric effects in exchange rate arise in the money supply.…”

Section: Emprical Resultsmentioning

confidence: 99%

Are central bank reserves an important instrument for stability in exchange rates

Açcı¹

2018

Pressacademia

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Purpose-In developing countries, the most important macroeconomic variable shaping individuals' expectations for economic stability is the nominal exchange rate. For this reason, the first impact of central banks monetary policy implementation results comes out at nominal exchange rate. In this study, the relationship between the nominal exchange rate and the gross foreign exchange reserves of the central bank has been investigated. Methodology-In this study, Dickey-Fuller (1981, ADF) and Phillips-Perron (1988, PP) unit root tests, asymmetrical causality test and lastly Bootstrap Rolling Window Causality tests developed by Balcılar et al. (2010) have been used.Findings-There is a causal relationship between the nominal exchange rate and central bank reserves. Central bank interfere in nominal exchange rate with its reserves rather than interest policy. Conclusion-As a result of the empirical analysis, causality has been found from positive shocks coming to nominal exchange rates to positive shocks in central bank gross foreign exchange reserves and from positive shocks formed in central bank gross foreign exchange reserves to negative shocks coming in nominal exchange rate.

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“…The current study utilized annual data from WDI, Canada National Statistical Agency, and S&P Dow Jones. There are several studies worldwide which incorporate these variables and found a negative relationship among CDS and stock market as well as volatility TXS 60 index (Shahzad, Aloui and Jammazi, 2019;Norden and Weber, 2004;Hkiri, Hammoudeh, Aloui and Shahbaz, 2018;Hammoudeh and Sari, 2011;Park, 2013;Mateev, 2019;Shahzad, Mensi, Hammoudeh, Balcilar and Shahbaz, 2018;Kar, Bayat and Kayhan, 2016).…”

Section: Discussionmentioning

confidence: 99%

“…The CDS market growth is a tool to understand the performance of the financial market. Any change in credit risk reflects CDS spread, which is ultimately linked to the microeconomic factors (Kar, Bayat and Kayhan, 2016;.…”

Section: Introductionmentioning

confidence: 99%

Empirical Evidence of Co-Movement between the Canadian CDS, Stock Market And TSX 60 Volatility Index

Ali

Butt

Khan

et al. 2020

SJOM

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Purpose- The prime objective of this study was to find the co-movement between the Canadian credit default swaps market, the Stock market and volatility index (TSX 60 Index) Design/ Methodology- To achieve this purpose, daily data containing 2870 observations starting from the 1st of January 2009 to the 30th of December 2019 were analyzed. This study employed the wavelet approach to present results in short-term, medium-term, long-term, and very long time. Findings- The findings of this study showed a negative correlation between the CDS market, stock market, and the TSX 60 index in the short-term as well as in the long-term term, while in medium-term and very long-term period correlation is strongly positive. The wavelet co-movement results in the short-term and long-term were negative, while this relationship in the medium-term and very long-term period was strongly positive. Practical Implications- This research provides simultaneous valuable information for investment decisions in the short, medium, and long term time horizons, as well as for the policymakers in the Canadian credit default swaps market, stock market, and the volatility index (TSX 60 Index).

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Impacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euro

Cited by 10 publications

References 52 publications

Dynamics of Exchange Rate Fluctuations in Turkey: Evidence from Symmetric and Asymmetric Causality Analysis

Dynamics of Exchange Rate Fluctuations in Turkey: Evidence from Symmetric and Asymmetric Causality Analysis

Are central bank reserves an important instrument for stability in exchange rates

Empirical Evidence of Co-Movement between the Canadian CDS, Stock Market And TSX 60 Volatility Index

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