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Examination of the Macroeconomic Variables affecting Credit Default Swaps

Journal of Economics Bibliography

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Title Examination of the Macroeconomic Variables affecting Credit Default Swaps
 
Creator BALTACI, Nuri; Gümüşhane University, FEAS, Department of Economics, Gumushane, Turkey.
. + 90 456 2331200 - 2222
. nbaltaci@gmail.com
AKYOL, Hikmet; Post Graduate, Economics USA and Disaster Management USA, Institute of Social Science, Gumushane University, Turkey.
. +90506 606 29 66
. hikmetakyol76@gmail.com
 
Subject Credit Default Swaps (CDS); Country risk; Loan costs; Developing countries.
G24; O40; O52.
 
Description Abstract. Many investors, money authority and reputable institutions closely follow credit default swaps while they regard them as reliable tool of measuring country credibility, since credit default swaps (CDS) come into prominence as an important indicator for country risks in recent years. Therefore, this phenomenon creates itself an area in academics, and examination of countries’ default spreads and determining the macroeconomic variables affecting them become an important academic area.  For these reasons, there are lots of researches have been made in this subject in Turkey and world recently. In this research, the macroeconomic variables, which affect country default swaps of developing countries, including Turkey, are determined and examined; moreover, the effects of chosen macroeconomic variables on country default swaps are analyzed. The subject of the research is not a static case, thus Generalized Method of Moments (GMM) estimator method from dynamic panel data methods and Residual Linear Regression Model are used. According to the results of the analyses, it is found out that the selected variables which are (i) increase in current account balance, (ii) real interest rates, (iii) GDP growth rates, (iv) inflation rates and (v) annual positive changes in S&P Global Reit Index have important effects on CDS spreads.Keywords. Credit Default Swaps (CDS), Country risk, Loan costs, Developing countries.JEL. G24, O40, O52.
 
Publisher Journal of Economics Bibliography
 
Contributor —
 
Date 2016-12-18
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.kspjournals.org/index.php/JEB/article/view/1136
10.1453/jeb.v3i4.1136
 
Source Journal of Economics Bibliography; Vol 3, No 4 (2016): December; 610-625
2149-2387
 
Language eng
 
Relation http://www.kspjournals.org/index.php/JEB/article/view/1136/1161
 
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