Examination of the Relationship between Turkey's Credit Default Swap (CDS) Points and Unemployment

Cumhur Şahin () and Hüseyin Altay ()
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Cumhur Şahin: Bilecik Şeyh Edebali Bozüyük MYO
Hüseyin Altay: *Bilecik Şeyh Edebali Uygulamalı Bilimler Yüksekokulu

Eurasian Business & Economics Journal, 2016, vol. 4, issue 4, 52-67

Abstract: In this study, the relationship between Turkey's credit default swap points and the unemployment figures were examined. Within the scope of this investigation, the iam of the study is to reveal whether Turkey's credit default swap points is a leading indicator describing the changes in the unemployment figures. The study discussing 2005M01 - 2015 M 07 periods was conducted in four stages. In the first stage, the stability of the series was tested by Carrion-i-Silvestre (2009) multiple structural break unit root method. In the second stage, the cointegration relationship between variables were tested by Maki (2012) multiple structural break cointegration method. For the variables defined to have cointegration correlation, long-term cointegration coefficients were estimated by dynamic least squares method in the third stage of the study. In the last stage of the analysis, short-term correlation analysis was performed between variables by error correctionmodel. According to the findings, it was concluded that Turkey's credit default swap points could be taken as a leading indicator describing the changes in unemployment figures in Turkey.

Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eas:buseco:v:4:y:2016:i:4:p:52-67

DOI: 10.17740/eas.econ.2016.V4-05

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