FACTORS AFFECTING CDS PREMIUM AND FUTURES CONTRACT PRICES: EXAMPLE OF TÜRKİYE

Tolga Benli; Burcu Dinçergök

FACTORS AFFECTING CDS PREMIUM AND FUTURES CONTRACT PRICES: EXAMPLE OF TÜRKİYE

Abstract

This study examines the relationship between the Türkiye CDS premium and the prices of USD/TL and BIST30 futures contracts traded on BIST VIOP. In addition, the national and global variables affecting these three variables were analyzed. Based on the literature, four national and eight global variables were used to explain these variables. Inflation, industrial production index, central bank external debt, and reserve data are used at the national level. The VIX and MSCI ACWI indices and CDS premiums of the USA, China, Germany, Italy, the United Kingdom, and Brazil were used at the global level. Data were collected at a monthly frequency covering the period from August 2018 to December 2024. VAR model-based, Granger causality, impulse response, and variance decomposition analyses were conducted. The results reveal a relationship between CDS and BIST30 futures with both global and national variables, while USD/ TL futures are primarily influenced by national factors. The effect of the structural breaks was also significant.

Keywords

Ethical Statement

This study did not require approval from an ethics committee as it did not involve human participants, animals, or sensitive personal data. All data used in this research were obtained from publicly available sources.

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Details

Primary Language

English

Subjects

Economic Theory (Other)

Journal Section

Research Article

Authors

Tolga Benli ^*
Türkiye

Burcu Dinçergök
Türkiye

Publication Date

April 30, 2025

Submission Date

April 10, 2025

Acceptance Date

April 30, 2025

Published in Issue

Year 2025 Volume: 7 Number: 2

IZ

https://izlik.org/JA32PC55NF

Cite

RIS / Bibtex

APA

Benli, T., & Dinçergök, B. (2025). FACTORS AFFECTING CDS PREMIUM AND FUTURES CONTRACT PRICES: EXAMPLE OF TÜRKİYE. Eurasian Research Journal, 7(2), 153-180. https://izlik.org/JA32PC55NF

AMA

1.Benli T, Dinçergök B. FACTORS AFFECTING CDS PREMIUM AND FUTURES CONTRACT PRICES: EXAMPLE OF TÜRKİYE. ERJ. 2025;7(2):153-180. https://izlik.org/JA32PC55NF

Chicago

Benli, Tolga, and Burcu Dinçergök. 2025. “FACTORS AFFECTING CDS PREMIUM AND FUTURES CONTRACT PRICES: EXAMPLE OF TÜRKİYE”. Eurasian Research Journal 7 (2): 153-80. https://izlik.org/JA32PC55NF.

EndNote

Benli T, Dinçergök B (April 1, 2025) FACTORS AFFECTING CDS PREMIUM AND FUTURES CONTRACT PRICES: EXAMPLE OF TÜRKİYE. Eurasian Research Journal 7 2 153–180.

IEEE

[1]T. Benli and B. Dinçergök, “FACTORS AFFECTING CDS PREMIUM AND FUTURES CONTRACT PRICES: EXAMPLE OF TÜRKİYE”, ERJ, vol. 7, no. 2, pp. 153–180, Apr. 2025, [Online]. Available: https://izlik.org/JA32PC55NF

ISNAD

Benli, Tolga - Dinçergök, Burcu. “FACTORS AFFECTING CDS PREMIUM AND FUTURES CONTRACT PRICES: EXAMPLE OF TÜRKİYE”. Eurasian Research Journal 7/2 (April 1, 2025): 153-180. https://izlik.org/JA32PC55NF.

JAMA

1.Benli T, Dinçergök B. FACTORS AFFECTING CDS PREMIUM AND FUTURES CONTRACT PRICES: EXAMPLE OF TÜRKİYE. ERJ. 2025;7:153–180.

MLA

Benli, Tolga, and Burcu Dinçergök. “FACTORS AFFECTING CDS PREMIUM AND FUTURES CONTRACT PRICES: EXAMPLE OF TÜRKİYE”. Eurasian Research Journal, vol. 7, no. 2, Apr. 2025, pp. 153-80, https://izlik.org/JA32PC55NF.

Vancouver

1.Tolga Benli, Burcu Dinçergök. FACTORS AFFECTING CDS PREMIUM AND FUTURES CONTRACT PRICES: EXAMPLE OF TÜRKİYE. ERJ [Internet]. 2025 Apr. 1;7(2):153-80. Available from: https://izlik.org/JA32PC55NF