The Impact of Financial Drivers on Credit Default Swap (CDS) in Turkey: The Cointegration with Structural Breaks and FMOLS Approach

The CDS premium is considered to be an important criterion in the risk premiums of countries with emerging markets and it also provides information about credibility these for investors. Decreasing level developing helps investors work country smoothes way investments financial assets. Hence, determining factors which can affect changes has beco me crucial their economies. Thus, relationship between Turkey’s 5 years have been analyzed through monthly data period 2012 2020. For this purpose, existence long-run series was investigated by Gregory-Hansen (1996) Hatemi-J (2008) seen that are cointegrated. Afterwards, coefficients were estimated FMOLS. results indicate BIST100 index liquid liabilities a positive effect on domestic credit volume banking sector negative CDS. Furthermore, break dates suggest significant events occurring Turkish economy.