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Analysis of the Responses of Turkey’s Ratings and Credit Default Swap Spreads to Economic and Social Events

Author

Listed:
  • Bekir Kaya

    (Gazi University)

  • Emine Öner Kaya

    (Gazi University)

  • Kürşat Yalçıner

    (Gazi University)

Abstract

Credit ratings and credit default swap spreads are two main indicators for the measurement of a country’s credit risk. Measu¬rement of the response to the economic and social events provide the opportunity to test which indicator is more effective to reflect country risk. By using multiple linear regression method and daily data, it was determined that ratings and credit default swaps are not always give the same response to the same events for the peri-od between January 1, 2007 and April 22, 2014 in Turkey.

Suggested Citation

  • Bekir Kaya & Emine Öner Kaya & Kürşat Yalçıner, 2015. "Analysis of the Responses of Turkey’s Ratings and Credit Default Swap Spreads to Economic and Social Events," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 30(103), pages 85-111, April.
    • Handle: RePEc:acc:malfin:v:30:y:2015:i:103:p:85-111
    DOI: https://doi.org/10.33203/mfy.307953
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