The Macroeconomic Effects Of Sovereign Risk Premium Shock: A Case Study For Turkey
| dc.contributor.author | Varlık, Nimet | |
| dc.contributor.author | Gebeşoğlu, Fulya | |
| dc.date.accessioned | 2024-05-08T08:26:35Z | |
| dc.date.available | 2024-05-08T08:26:35Z | |
| dc.date.issued | 2018 | |
| dc.department | Çankaya Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü | en_US |
| dc.description.abstract | The macroeconomic effects of sovereign risk premium shocks in Turkey are investigated by employing Structural Vector Autoregression Model for the period 2005:12 - 2017:3. The model includes emerging market bond index plus Turkey (EMBI + TR) as an indicator of sovereign risk premium for Turkey. The empirical results of our analysis indicate that structural shocks in sovereign risk premium affect macroeconomic variables negatively in Turkey. One standard deviation shock in EMBI+TR results in devaluation of Turkish Lira, increase in price level, contraction in credit volume, decline in industrial production index and increase in current account balance. The impact of the negative changes in the sovereign risk premium on the exchange rate and the credit is higher compared to the other variables. It is concluded that results of variance decomposition analysis are consistent with the results of the impulse - response analysis and the impact of structural shocks in sovereign risk premium on credit is higher compared to other variables. | en_US |
| dc.identifier.citation | Varlık, Nimet; Gebeşoğlu, F. (2018). "The Macroeconomic Effects Of Sovereign Risk Premium Shock: A Case Study For Turkey", Yönetim ve Ekonomi Araştırmaları Dergisi, Vol.16, No.2, pp.236-246. | en_US |
| dc.identifier.doi | 10.11611/yead.420440 | |
| dc.identifier.endpage | 246 | en_US |
| dc.identifier.issn | 2148-029X | |
| dc.identifier.issue | 2 | en_US |
| dc.identifier.startpage | 236 | en_US |
| dc.identifier.uri | https://hdl.handle.net/20.500.12416/8192 | |
| dc.identifier.volume | 16 | en_US |
| dc.language.iso | en | en_US |
| dc.relation.ispartof | Yönetim ve Ekonomi Araştırmaları Dergisi | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Sovereign Risk Premium | en_US |
| dc.subject | Structural Vector Autoregression Model | en_US |
| dc.subject | Emerging Market Bond Index | en_US |
| dc.title | The Macroeconomic Effects Of Sovereign Risk Premium Shock: A Case Study For Turkey | tr_TR |
| dc.title | The Macroeconomic Effects of Sovereign Risk Premium Shock: a Case Study for Turkey | en_US |
| dc.type | Article | en_US |
| dspace.entity.type | Publication |