The relationship between credit default swaps and net portfolio investments: The case of Turkey
| dc.contributor.author | Nar, Mehmet | |
| dc.date.accessioned | 2021-06-23T10:25:54Z | |
| dc.date.available | 2021-06-23T10:25:54Z | |
| dc.date.issued | 2021 | |
| dc.department | AÇÜ, Hopa İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü | en_US |
| dc.description.abstract | The aim of this study was to analyze the relationship between credit default swaps and net portfolio investments. Since the series remained stationary at varied levels in the study, the ARDL limit test approach was employed. In the analysis, 10 years of periodical data from 2010 to 2020 were compared. During the implementation of the ARDL limit test, it agreed to add a dummy variable to the model for months 2018M4 and 2020M3 upon the analysis of the CUSUM and CUSUM2 graphics; hence, in the final model, a dummy variable was also included. By means of diagnostic tests administered to the ARDL model that was repeated after the inclusion of the dummy variable, it became evident that the final model met the required hypotheses for the ARDL limit test, and it was thus feasible to interpret the long- and short-term coefficients. As the coefficients of final model attained, it was detected that an increase by 1% in short term risk premiums reduced current period net portfolio investments by 2.87%. However, it was evident that in the long term credit risk premiums have a small but positive and significant (p<0,05) effect on net portfolio investments. . | |
| dc.identifier.citation | Nar, M. (2021). The relationship between credit default swaps and net portfolio investments: The case of Turkey, Universal Journal of Accounting and Finance, 9(2), 252- 261 | en_US |
| dc.identifier.doi | 10.13189/UJAF.2021.090215 | |
| dc.identifier.endpage | 261 | en_US |
| dc.identifier.issue | 2 | en_US |
| dc.identifier.scopusquality | N/A | |
| dc.identifier.startpage | 252 | en_US |
| dc.identifier.uri | https://hdl.handle.net/11494/3231 | |
| dc.identifier.volume | 9 | en_US |
| dc.indekslendigikaynak | Scopus | |
| dc.institutionauthor | Nar, Mehmet | |
| dc.language.iso | en | en_US |
| dc.publisher | Horizon Research Publishing | en_US |
| dc.relation.ispartof | Universal Journal of Accounting and Finance | |
| dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Financial Economy | en_US |
| dc.subject | Credit Default Swaps (CDS) | en_US |
| dc.subject | Portfolio Investments | en_US |
| dc.subject | Risk Management | en_US |
| dc.subject | Credit Risk | en_US |
| dc.title | The relationship between credit default swaps and net portfolio investments: The case of Turkey | en_US |
| dc.type | Article |
