DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH
Künye
Bektur, Ç., & Aydin, M. (2019). BORSA İSTANBUL VE ALT ENDEKSLERİNDE ZAYIF FORMDA PİYASA ETKİNLİĞİNİN ANALİZİ: FOURIER YAKLAŞIMI. Akademik İncelemeler Dergisi, 14(2), 59-76.Özet
A country’s capacity to pay short-term external debt, which reflects the fiscal
strenght of an economy against adverse shocks, is significantly taken into
consideration by international investors in their decision making process. It has
been seen that Turkey has experienced a gradually increasing private sector
short-term external debt especially in the last twenty-year period. The objective
of this study is to investigate the long-run relationship between private sector
short-term external debt and CDS (credit default swap) premiums in Turkey for
the period of 2000:Q4-2017:Q4 by using asymmetric threshold autoregressive
(TAR) and momentum threshold autoregressive (M-TAR) procedures of Enders
and Siklos (2001). The results indicate that CDS premiums and private sector
short-term external debt in Turkey are cointegrated. After finding cointegration,
the null hypothesis of symmetric adjustment is tested against the alternative of
asymmetric adjustment and the evidence of symmetric adjustment is found,
suggesting that the relationship between the private sector short-term external
debt and CDS premiums has the same effect in expansion and contraction
periods.
Kaynak
Akademik İncelemeler DergisiCilt
15Sayı
1Bağlantı
https://doi.org/10.17550/akademikincelemeler. 632078https://hdl.handle.net/20.500.12294/3700