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Examination of the Relationship between Turkey’s Credit Default Swap (CDS) Points and Unemployment

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  • Cumhur ÞAHÝN
  • Hüseyin ALTAY

    (Bilecik Þeyh Edebali Bozüyük MYO
    Bilecik Þeyh Edebali Uygulamalý Bilimler Yüksekokulu)

Abstract

In this study, the relationship between Turkey's credit default swap points and the unemployment figures were examined. Within the scope of this investigation, the iam of the study is to reveal whether Turkey's credit default swap points is a leading indicator describing the changes in the unemployment figures. The study discussing 2005M01 - 2015 M 07 periods was conducted in four stages. In the first stage, the stability of the series was tested by Carrion-i-Silvestre (2009) multiple structural break unit root method. In the second stage, the cointegration relationship between variables were tested by Maki (2012) multiple structural break cointegration method. For the variables defined to have cointegration correlation, long-term cointegration coefficients were estimated by dynamic least squares method in the third stage of the study. In the last stage of the analysis, short-term correlation analysis was performed between variables by error correctionmodel. According to the findings, it was concluded that Turkey's credit default swap points could be taken as a leading indicator describing the changes in unemployment figures in Turkey.

Suggested Citation

  • Cumhur ÞAHÝN & Hüseyin ALTAY, 2016. "Examination of the Relationship between Turkey’s Credit Default Swap (CDS) Points and Unemployment," Eurasian Business & Economics Journal, Eurasian Academy Of Sciences, vol. 4(4), pages 52-67, January.
    • Handle: RePEc:eas:buseco:v:4:y:2016:i:4:p:52-67
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    Cited by:

    1. Mustafa Tevfik KARTAL, 2022. "The Role of Macroeconomic and Market Indicators in Explaining Sovereign Credit Default Swaps (CDS) Spread Changes: Evidence from Türkiye," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 145-164, April.

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    More about this item

    Keywords

    Unemployment; Credit Default Swap; Multiple Structural Breaks Cointegration; Credit Risk; Credit Rating;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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