The Nexus between CDS Premiums and Exchange Rates: Evidence from BRICS Countries and Türkiye
This study investigates the long-term relationship between Credit Default Swap (CDS) premiums and exchange rates among the BRICS-T countries (Brazil, Russia, India, China, South Africa, and Turkey) known for their significant impacts on both regional and global dynamics, advanced industrialization,...
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Ekonomi ve Finansal Araştırmalar Derneği
2024-12-01
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| Series: | Ekonomi, Politika & Finans Araştırmaları Dergisi |
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| Online Access: | https://dergipark.org.tr/tr/download/article-file/4360699 |
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| author | Fatih Güzel Yüksel İltaş |
| author_facet | Fatih Güzel Yüksel İltaş |
| author_sort | Fatih Güzel |
| collection | DOAJ |
| description | This study investigates the long-term relationship between Credit Default Swap (CDS) premiums and exchange rates among the BRICS-T countries (Brazil, Russia, India, China, South Africa, and Turkey) known for their significant impacts on both regional and global dynamics, advanced industrialization, rapid economic growth, and considerable profit potential. Utilizing the RALS-LM unit root test and the RALS-EG cointegration test, and Hacker and Hatemi-J bootstrap causality test, this research circumvents the limitations commonly associated with traditional econometric approaches. A comprehensive and up-to-date dataset, reflecting intensive global and regional movements, was employed, consisting of daily data from January 2020 to June 2024. The findings indicate a long-term relationship between CDS premiums and exchange rates in all countries except Turkey. As the relationship is positive, it can be interpreted that an increase in the exchange rate will increase the CDS premium of countries. In terms of causality, strong evidence that the CDS premium is the cause of the exchange rate is only valid for Turkey. For Brazil, Russia, China and South Africa, we find that the exchange rate is the cause of the CDS premium. As a result, it is concluded that exchange rate movements may affect CDS premiums in these countries. |
| format | Article |
| id | doaj-art-ee9cd7cdca8343b185452517fe56df66 |
| institution | Kabale University |
| issn | 2587-151X |
| language | English |
| publishDate | 2024-12-01 |
| publisher | Ekonomi ve Finansal Araştırmalar Derneği |
| record_format | Article |
| series | Ekonomi, Politika & Finans Araştırmaları Dergisi |
| spelling | doaj-art-ee9cd7cdca8343b185452517fe56df662025-01-03T21:47:46ZengEkonomi ve Finansal Araştırmalar DerneğiEkonomi, Politika & Finans Araştırmaları Dergisi2587-151X2024-12-019479681110.30784/epfad.1583969957The Nexus between CDS Premiums and Exchange Rates: Evidence from BRICS Countries and TürkiyeFatih Güzel0https://orcid.org/0000-0002-4153-3933Yüksel İltaş1https://orcid.org/0000-0001-8853-838XKIRŞEHİR AHİ EVRAN ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ, İŞLETME BÖLÜMÜKIRŞEHİR AHİ EVRAN ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ, İŞLETME BÖLÜMÜThis study investigates the long-term relationship between Credit Default Swap (CDS) premiums and exchange rates among the BRICS-T countries (Brazil, Russia, India, China, South Africa, and Turkey) known for their significant impacts on both regional and global dynamics, advanced industrialization, rapid economic growth, and considerable profit potential. Utilizing the RALS-LM unit root test and the RALS-EG cointegration test, and Hacker and Hatemi-J bootstrap causality test, this research circumvents the limitations commonly associated with traditional econometric approaches. A comprehensive and up-to-date dataset, reflecting intensive global and regional movements, was employed, consisting of daily data from January 2020 to June 2024. The findings indicate a long-term relationship between CDS premiums and exchange rates in all countries except Turkey. As the relationship is positive, it can be interpreted that an increase in the exchange rate will increase the CDS premium of countries. In terms of causality, strong evidence that the CDS premium is the cause of the exchange rate is only valid for Turkey. For Brazil, Russia, China and South Africa, we find that the exchange rate is the cause of the CDS premium. As a result, it is concluded that exchange rate movements may affect CDS premiums in these countries.https://dergipark.org.tr/tr/download/article-file/4360699brics-tdöviz kurucds primlerirals-lm birim kök testirals-eg eşbütünleşme testibrics-texchange ratecds premiumsrals-lm unit root testrals-eg cointegration test |
| spellingShingle | Fatih Güzel Yüksel İltaş The Nexus between CDS Premiums and Exchange Rates: Evidence from BRICS Countries and Türkiye Ekonomi, Politika & Finans Araştırmaları Dergisi brics-t döviz kuru cds primleri rals-lm birim kök testi rals-eg eşbütünleşme testi brics-t exchange rate cds premiums rals-lm unit root test rals-eg cointegration test |
| title | The Nexus between CDS Premiums and Exchange Rates: Evidence from BRICS Countries and Türkiye |
| title_full | The Nexus between CDS Premiums and Exchange Rates: Evidence from BRICS Countries and Türkiye |
| title_fullStr | The Nexus between CDS Premiums and Exchange Rates: Evidence from BRICS Countries and Türkiye |
| title_full_unstemmed | The Nexus between CDS Premiums and Exchange Rates: Evidence from BRICS Countries and Türkiye |
| title_short | The Nexus between CDS Premiums and Exchange Rates: Evidence from BRICS Countries and Türkiye |
| title_sort | nexus between cds premiums and exchange rates evidence from brics countries and turkiye |
| topic | brics-t döviz kuru cds primleri rals-lm birim kök testi rals-eg eşbütünleşme testi brics-t exchange rate cds premiums rals-lm unit root test rals-eg cointegration test |
| url | https://dergipark.org.tr/tr/download/article-file/4360699 |
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