An Assessment of the Relationship between CDS Spreads and Sovereign Credit Risk; Turkey Case

Esra N. Kılcı
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Esra N. Kılcı: Trakya University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2017, vol. 32, issue 108, 71-85

Abstract: It is essential that sovereign credit risk is adequately evalua¬ted in the decision making process of international investors in the form of foreign direct investment and portfolio investments. CDS spreads are significantly used in measuring the sovereign credit risk and evaluating the risk appetite of foreign investors against the country. In this study, the relationship between macroeconomic and financial indicators which lead to increase in sovereign credit risk of Turkey and CDS spreads is analyzed with the help of an econometric application and tested that the variables are cointeg¬rated or not.

Keywords: CCDS spreads; Sovereign Credit Risk; Johansen Cointegration Test (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:108:p:71-85

DOI: 10.33203/mfy.357664

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