期刊名称：Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
印刷版ISSN：1301-3688
电子版ISSN：2630-6409
出版年度：2021
期号：60
页码：25-41
DOI：10.18070/erciyesiibd.880540
语种：Turkish
出版社：Erciyes University
摘要：The risk and uncertainty situations of countries are very effective in making investment decisions. Therefore, in the study the relationship between CDS, indicative of Turkey's credit risk premium, and the financial and macroeconomic indicators were investigated. In January 2012 - Noverber 2020 periods, Toda Yamamoto causality analysis was applied using monthly data of CDS, BIST 100 Index , Economic Confidence Index, Industrial Production Index, Exchange Rate, CBOE Volatility Index, Economic Policy Uncertainty Index, Turkey Geopolitical Risk Index in this study. As a result of the study, one-way causality relationship from CDS to Economic Confidence Index, Exchange Rate and Industrial Production Index was determined, while one-way causality relationship from BIST 100 Index and Economic Policy Uncertainty Index to CDS was determined.
关键词：CDS;EPU;Economic Confidence Index;VIX;BIST 100 Index
