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  • Küçük Resim Yok
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    Asymmetric dynamics in sovereign credit default swaps pricing: evidence from emerging countries
    (Emerald Group Publishing Ltd, 2023) Simonyan, Serdar; Bayraktar, Sema
    Purpose This paper examines the relationship between sovereign credit default swaps (CDS) and several macroeconomic factors in an asymmetric setting and distinguishes between short-run and long-run impacts. Country-specific factors (e.g. equity index, international reserves, interest rate and industrial production) and global factors (e.g. US stock volatility [VIX], geopolitical risk and oil price) are the main explanatory variables. Design/methodology/approach This analysis uses a nonlinear autoregressive distributed lag approach that enables us to study both long-run and short-run dynamics. Findings This study results show that two country-specific factors (equity index and international reserves) and two global factors (VIX and oil price) are the most important factors and affect CDS asymmetrically. Research limitations/implications The asymmetric relationships between sovereign CDS and variables in bull and bear markets can also be studied. Consideration of asymmetries in the variance could also be a fruitful step taken for further research. Practical implications The findings imply that investors and portfolio managers should design their investment and hedging decisions related to government bonds by taking into account the existence of an asymmetric relationship. Social implications Moreover, policymakers can benefit from this asymmetric information in the timing of debt issuance. Originality/value This paper examines the relationship between sovereign CDS and several macroeconomic factors in an asymmetric setting and distinguishes between short-run and long-run impacts.
  • Küçük Resim
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    A vector error correction model (VECM) approach in explaining the relationship between interest rate and inflation towards exchange rate volatility in Turkey
    (İstanbul Bilgi Üniversitesi, 2019) Simonyan, Serdar; Öztürk, Serda Selin
    The main drivers of a country’s economic health is the real Exchange rate. Exchange rate is a very crucial determinant in a country’s trade, which is very imporant in free markets. On the other hand, the interest rate also plays a vital role in the economy. These two variables together are affected by the variations in the exchange rate. The attempt of this paper is to investigate the relation between inflation rate, interest rate and the Exchange rate volatility in Turkey between the time period 2010-2017. First, the business cycles of the macroeconomic variables of Turkey will be presented and commented. Then the model will be build and the long-run and the short-run relationship between interest rate, exchange rate and inflation rate will be analysed. At the last stage of the paper, it is aimed to search the economic intiutions and possible reasonings of the results found. Through the research, the approaches which are going to be used while analyzing the series is the Vector Error Correction Model(VECM), cointegration test, Granger causality test and stability test. If any shock is founded, then Impulse Response Function(IRF) will be used to understand the response to shock through the model’s variables.