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Credit Default Swap and Commodity Prices Relations: The Case of Turkey; [Kredi Temerrüt Takasları ve Emtia Fiyatları İlişkisi: Türkiye Örneği]

ArticleAçık Erişim

Özet

The aim of this study is to reveal the relationship between credit default swaps and commodity prices for Turkey. Additionally, Turkish CDS premiums are investigated in relation to the bond interest rates, BIST100 and VIX indexes. Regression analysis is conducted with daily time series data spanning through 2008-2018 within an ARDL framework and using Pesaran Bond Test. Results indicate a negative relationship between the commodity prices and CDS premiums in Turkey. © 2021, Sosyoekonomi Society. All rights reserved.

Anahtar Kelimeler

ARDL ModelCommodity PricesCredit Default SwapsCredit Risk
RDL Kalıcı Bağlantı (PID)
https://rdlopen.rawdatalibrary.net/r/ebyu/13119Resmi atıflarda kullanılan kalıcı adres
Tam Kayıt
AlanDeğerDil
dc.contributor.authorTanyildizi, Halil
dc.contributor.authorYiğiter, Şule Yüksel
dc.date.accessioned2026-10-18T20:27:57.646743346Z
dc.date.available2026-10-18T20:27:57.646743346Z
dc.date.issued2021
dc.description.abstractThe aim of this study is to reveal the relationship between credit default swaps and commodity prices for Turkey. Additionally, Turkish CDS premiums are investigated in relation to the bond interest rates, BIST100 and VIX indexes. Regression analysis is conducted with daily time series data spanning through 2008-2018 within an ARDL framework and using Pesaran Bond Test. Results indicate a negative relationship between the commodity prices and CDS premiums in Turkey. © 2021, Sosyoekonomi Society. All rights reserved.
dc.identifier.doi10.17233/sosyoekonomi.2021.01.09
dc.identifier.endpage200
dc.identifier.issn1305-5577
dc.identifier.issue47
dc.identifier.scopus2-s2.0-85193934041
dc.identifier.startpage181
dc.identifier.urihttps://rdlopen.rawdatalibrary.net/r/ebyu/13119
dc.identifier.volume29
dc.identifier.wosWOS:000613906500009
dc.language.isotr
dc.publisherSosyoekonomi Society
dc.relation.ispartofSosyoekonomi
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectARDL Model
dc.subjectCommodity Prices
dc.subjectCredit Default Swaps
dc.subjectCredit Risk
dc.titleCredit Default Swap and Commodity Prices Relations: The Case of Turkey; [Kredi Temerrüt Takasları ve Emtia Fiyatları İlişkisi: Türkiye Örneği]
dc.typeArticle
dspace.entity.typePublication
rdl.citation.scopus0
rdl.citation.trdizin7
rdl.citation.wos1
rdl.departmentAĞRI İBRAHİM ÇEÇEN ÜNİVERSİTESİ
rdl.departmentERZİNCAN BİNALİ YILDIRIM ÜNİVERSİTESİ
rdl.oa.statusgold
rdl.source.indexSCOPUS
rdl.source.indexWOS
rdl.source.indexTRDIZIN
rdl.wos.indexEmerging Sources Citation Index (ESCI)