Investigating Türkiye’s financial nexus: A wavelet coherence analysis of sovereign CDS spreads, bond yields, stock index, and FX rates

Basit Öğe Kaydı
dc.contributor.authorTüysüz, Şükriye
dc.contributor.authorGül, Mert
dc.date.accessioned2025-03-09T10:57:39Z
dc.date.available2025-03-09T10:57:39Z
dc.date.issued2024
dc.departmentİstanbul Beykent Üniversitesi
dc.description.abstractThis article investigates the intricate relationships between sovereign credit default swaps (CDS) and various Turkish financial assets, including the US Dollar to Turkish Lira exchange rate (USDTRY), the Borsa Istanbul 100 (XU100) stock index, and government bond yields. Employing a rigorous wavelet coherence analysis that captures the timefrequency domain, this study utilizes daily data from November 2008 to July 2022 period containing important financial, economic and global health crises, such as Great Recession, European Debt Crises, and COVID-19 pandemic. The wavelet coherence results uncover that the causality between variables is contingent on both the frequency domain and evolves dynamically over time, with the most significant interdependencies manifesting in the medium term. Moreover, the analysis reveals that government bond yields, and their respective volatilities positively impact CDS spread and its volatility. Similarly, the USDTRY rate leads to positive changes in the CDS spread. By contrast, the volatility of CDS spreads positively influences foreign exchange volatility and the XU100 index volatility. The CDS spread negatively affects the XU100 index. Overall, the findings elucidate the direction of causality between Turkish CDS spread and retained Turkish financial assets and then provide valuable information on the predictive power of those securities for investors, financial risk managers, and policymakers. © 2024 by the authors.
dc.identifier.doi10.53391/mmnsa.1455355
dc.identifier.endpage415
dc.identifier.issn2791-8564
dc.identifier.issue4
dc.identifier.scopus2-s2.0-85216331411
dc.identifier.scopusqualityQ1
dc.identifier.startpage395
dc.identifier.urihttps://doi.org/10.53391/mmnsa.1455355
dc.identifier.urihttps://hdl.handle.net/20.500.12662/4951
dc.identifier.volume4
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherMehmet Yavuz
dc.relation.ispartofMathematical Modelling and Numerical Simulation with Applications
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_Scopus_20250310
dc.subjectasset pricing
dc.subjectCredit default swap
dc.subjecttime-series models
dc.subjectwavelet coherence analysis
dc.titleInvestigating Türkiye’s financial nexus: A wavelet coherence analysis of sovereign CDS spreads, bond yields, stock index, and FX rates
dc.typeArticle

Dosyalar

Koleksiyon

Scopus İndeksli Yayınlar Koleksiyonu