Multi-scale interactions between Turkish lira exchange rates and sovereign CDS in Europe and Asia
Abstract
This article examined the multi-scale correlations between Turkish lira exchange rates and sovereign credit default swap (CDS) in Turkey, Europe, and Asia by implementing a combined quantile regression (QR) and wavelet approach. The results showed that a severe depreciation of the lira will increase the sovereign risk in Turkey at different time scales. In addition, the results revealed stronger and quicker responses from Asia’s sovereign CDS...
Paper Details
Title
Multi-scale interactions between Turkish lira exchange rates and sovereign CDS in Europe and Asia
Published Date
May 15, 2020
Journal
Volume
28
Issue
7
Pages
599 - 607
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