Testing for Causality among CDS, Interest, and Exchange Rates: New Evidence from the Granger Coherence Analysis

Year 2021, , 427 - 445, 01.08.2021

Remzi Gök , Erkan Kara

https://doi.org/10.17153/oguiibf.854172

Cited By: 8

Abstract

We study the relationship between weekly and monthly observations of CDS, interest, and exchange rates (USDTRY) during 2005-2020 in Turkey. The findings suggest a positive relationship between the variables. The bivariate Granger Coherence approach indicates that the dynamic causal and reverse causal interactions mainly intensify in the short- and intermediate-term. Using a bootstrap time-varying causality approach with a fixed size of 37 weeks, the casual linkages are strong but not homogenous in both non-crisis and crisis periods. There is also a unidirectional causality running from interest rates to foreign exchange rates during the period of COVID-19, yielding important implications for investors and policymakers.

Keywords

Granger Coherence, Rolling Causality, CDS, Bond, COVID-19

CDS, Faiz ve Döviz Kuru Arasındaki Nedensellik İlişkisinin Analizi: Granger Coherence Metodundan Yeni Kanıtlar

Abstract

Bu çalışmada 2005 ve 2020 dönemi kapsamında haftalık ve aylık gözlemlerde CDS, faiz oranı ve USDTRY arasındaki ilişki incelenmiştir. Test sonuçlarına göre tüm değişkenler arasında pozitif yönlü bir ilişki bulunmuştur. Granger Coherence test sonucuna göre değişkenler arasında orta ve kısa döneme yoğunlaşan çift taraflı nedensellik sonucuna ulaşılmıştır. 37 pencere uzunluğundaki Boostraplı zamanla değişen nedensellik test bulgularına göre, değişkenler arasında hem kriz hem kriz dışı dönemlerde geçerli, ancak heterojen özellikler gösteren nedensellik bulunmuştur. Ayrıca, COVID-19 periyodunu içeren zaman aralığında, sadece faiz oranı ve döviz kuru arasında geçerli tek yönlü nedensellik bulgusuna rastlanmıştır. Bulgular hem yatırımcılar hem de politika yapıcılar için önemli sonuçlar doğurmaktadır.

Keywords

Granger Coherence, Zamanla Değişen Nedensellik, CDS, Tahvil, COVID-19

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