Analysis of the Responses of Turkey’s Ratings and Credit Default Swap Spreads to Economic and Social Events

Bekir Kaya, Emine Öner Kaya and Kürşat Yalçıner
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Bekir Kaya: Gazi University
Emine Öner Kaya: Gazi University
Kürşat Yalçıner: Gazi University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2015, vol. 30, issue 103, 85-111

Abstract: Credit ratings and credit default swap spreads are two main indicators for the measurement of a country’s credit risk. Measu¬rement of the response to the economic and social events provide the opportunity to test which indicator is more effective to reflect country risk. By using multiple linear regression method and daily data, it was determined that ratings and credit default swaps are not always give the same response to the same events for the peri-od between January 1, 2007 and April 22, 2014 in Turkey.

Keywords: KCredit Default Swap Spread; Credit Rating; Multiple Linear Regression (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:30:y:2015:i:103:p:85-111

DOI: 10.33203/mfy.307953

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