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Analysis of Internal Factors Affecting CDS Premiums of Turkish Treasuries

Author

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  • Murat Akkaya

    (İstanbul Arel University)

Abstract

Credit Default Swaps (CDS) is one of the most widely used credit derivatives in financial markets. In finance literature, there are few studies on factors affecting CDS premiums of Turkish bonds. The aim of the study is to determine the internal variables affecting Turkish bonds’ credit risk premiums in the period of the global crisis. The study covers January 2008 to March 2016 period. Istanbul Stock Exchange return index and the price of gold is exogenous variables on Turkey USD 5 Term Bond CDS and lagged values of these variables are the cause of the dependent variable.

Suggested Citation

  • Murat Akkaya, 2017. "Analysis of Internal Factors Affecting CDS Premiums of Turkish Treasuries," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 32(107), pages 130-145, April.
    • Handle: RePEc:acc:malfin:v:32:y:2017:i:107:p:130-145
    DOI: https://doi.org/10.33203/mfy.307177
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