DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH
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 pr...
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| Format: | Article |
| Language: | English |
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Sakarya University
2020-04-01
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| Series: | Akademik İncelemeler Dergisi |
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| Online Access: | https://dergipark.org.tr/tr/download/article-file/1092529 |
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| author | Esra N. Kılcı Burcu Kıran |
| author_facet | Esra N. Kılcı Burcu Kıran |
| author_sort | Esra N. Kılcı |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-9ddf4db58b35423cad2f659ff33b3b2d |
| institution | Kabale University |
| issn | 1306-7885 |
| language | English |
| publishDate | 2020-04-01 |
| publisher | Sakarya University |
| record_format | Article |
| series | Akademik İncelemeler Dergisi |
| spelling | doaj-art-9ddf4db58b35423cad2f659ff33b3b2d2024-12-19T13:27:06ZengSakarya UniversityAkademik İncelemeler Dergisi1306-78852020-04-0115111313210.17550/akademikincelemeler.63207828DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACHEsra N. KılcıBurcu KıranA 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.https://dergipark.org.tr/tr/download/article-file/1092529kısa vadeli dış borçcds primlerishort-term external debtcds premiumsasymmetric threshold cointegration |
| spellingShingle | Esra N. Kılcı Burcu Kıran DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH Akademik İncelemeler Dergisi kısa vadeli dış borç cds primleri short-term external debt cds premiums asymmetric threshold cointegration |
| title | DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH |
| title_full | DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH |
| title_fullStr | DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH |
| title_full_unstemmed | DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH |
| title_short | DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH |
| title_sort | do private sector short term external debt have impact on credit default swap premiums in turkey an analysis with asymmetric threshold cointegration approach |
| topic | kısa vadeli dış borç cds primleri short-term external debt cds premiums asymmetric threshold cointegration |
| url | https://dergipark.org.tr/tr/download/article-file/1092529 |
| work_keys_str_mv | AT esrankılcı doprivatesectorshorttermexternaldebthaveimpactoncreditdefaultswappremiumsinturkeyananalysiswithasymmetricthresholdcointegrationapproach AT burcukıran doprivatesectorshorttermexternaldebthaveimpactoncreditdefaultswappremiumsinturkeyananalysiswithasymmetricthresholdcointegrationapproach |