Turkish credit default swap and relationship with financial indicators
Yükleniyor...
Tarih
2011
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
İstanbul Bilgi Üniversitesi
Erişim Hakkı
Attribution-NonCommercial-NoDerivs 3.0 United States
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
Özet
The credit default swap (CDS) is the building stone of hedging strategies for credit exposures, and basis of more advanced credit derivative products. The CDS market has appeared to become a major asset class in the capital markets. One largely confined to banks, to market participants have expanded to include insurance companies, hedge funds, mutual funds, pension funds, and other investors looking for yield enhancement or credit risk transference. The literature review presents the recent work on interactions of credit default swap and other variables. The scope of this study is to find out if there is a relationship separately between CDS spreads and financial indicators as Eurobond, Dow Jones Index, Istanbul Stock Exchange Index (ISE–100), Foreign exchange currency (Fx) rates. In our empirical work, we collect CDS, Eurobond and Dow Jones data from Bloomberg data provider, ISE–100 closing price data from ISE web site and Fx –TRY currency rates from web site of Central Bank of the Republic of Turkey for dates from March 3rd, 2002 to January 22nd, 2010. E-views 5 program is used for One Variable and Multivariable Regression, Correlation, Granger Causality Tests and Vector Autoregression Tests . Dow Jones rates, and the way of the interaction runs from Eurobond and Dow Jones to CDS. Results enable to interpret the relationship between CDS–ISE 100 and CDS–currency rates. Causality runs for both variables from CDS.
