- Yönetim ve Ekonomi Araştırmaları Dergisi
- Vol: 20 Issue: 1
- SOVEREIGN CREDIT DEFAULT SWAP (CDS) SPREADS CHANGES IN VARIOUS ECONOMIC CONJUNCTURES: EVIDENCE FROM ...
SOVEREIGN CREDIT DEFAULT SWAP (CDS) SPREADS CHANGES IN VARIOUS ECONOMIC CONJUNCTURES: EVIDENCE FROM TURKEY BY MACHINE LEARNING ALGORITHMS
Authors : Mustafa Tevfik Kartal, Serpil Kiliç Depren, Özer Depren
Pages : 354-374
Doi:10.11611/yead.1076897
View : 15 | Download : 4
Publication Date : 2022-03-22
Article Type : Research
Abstract :The study aims to define the sources of Turkey’s sovereign CDS spread changes to develop policies that stabilize CDS spreads since they have a volatile and increasing trend, especially in the last two years. In this context, monthly data of 13 factors related to international, macroeconomic, and market between 2011/1 and 2019/12 are used by dividing the dataset into three periods as the full period (2011-2019), the stability period (2011-2017), and the macroeconomic turbulent period (2018-2019) and performing 4 different machine learning algorithms. The empirical results prove that (i) Treasury bond interest rate should be lower than 8% in the stability period and gold prices should be lower than TL 5.500 in the macroeconomic turbulent period to have low-level CDS spreads; (ii) NPL volume has no significant effect on in any period examined; (iii) the significance of factors on sovereign CDS spreads vary over the periods.Keywords : Sovereign CDS Spreads, Machine Learning Algorithms, eXtreme Gradient Boosting, Turkey