Analysis of Internal Factors Affecting CDS Premiums of Turkish Treasuries

Murat Akkaya
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Murat Akkaya: İstanbul Arel University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2017, vol. 32, issue 107, 130-145

Abstract: Credit Default Swaps (CDS) is one of the most widely used credit derivatives in financial markets. In finance literature, there are few studies on factors affecting CDS premiums of Turkish bonds. The aim of the study is to determine the internal variables affecting Turkish bonds’ credit risk premiums in the period of the global crisis. The study covers January 2008 to March 2016 period. Istanbul Stock Exchange return index and the price of gold is exogenous variables on Turkey USD 5 Term Bond CDS and lagged values of these variables are the cause of the dependent variable.

Keywords: Turkish bonds; CDS; VAR; Endegenous variables (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:32:y:2017:i:107:p:130-145

DOI: 10.33203/mfy.307177

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