The effect of credit default swap premiums on developing markets’ economies: The case of exchange rates

Yunus Açci, Selim Kayhan and Tayfur Bayat
Additional contact information
Yunus Açci: Iskenderun Technical University, Iskenderun, Turkey
Selim Kayhan: Necmettin Erbakan University, Konya, Turkey
Tayfur Bayat: Inonu University, Malatya, Turkey

Theoretical and Applied Economics, 2018, vol. XXV, issue 4(617), Winter, 235-252

Abstract: In the literature of economics, risk perception is an important issue and it is some hard to measure. In this study, we test the relationship between CDS premiums as a variable indicating risk perception in ‘fragile five’ economies and nominal exchange rates of each ‘fragile five’ economy after the global crisis. The possible interaction between variables would make possible to predict exchange rates change in the future. Results obtained from both time series co-integration tests and panel data co-integration tests indicate that CDS premiums are one of the most important factor affecting nominal exchange rates in fragile five countries and it is concluded that the causation linkage between CDS premiums and exchange rate for Turkish, Brazilian, South African, Indonesian and Indian national currencies is valid in the longer time periods.

Keywords: CDS premiums; fragile five; DOLS; FMOLS. (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://store.ectap.ro/articole/1370.pdf (application/pdf)
http://www.ectap.ro/articol.php?id=1370&rid=133 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:4(617):y:2018:i:4(617):p:235-252

Access Statistics for this article

Theoretical and Applied Economics is currently edited by Mircea Dinu

More articles in Theoretical and Applied Economics from Asociatia Generala a Economistilor din Romania / Editura Economica Contact information at EDIRC.
Bibliographic data for series maintained by Mircea Dinu ().