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Multi-scale interactions between Turkish lira exchange rates and sovereign CDS in Europe and Asia
Liu, Chang; Li, Jianping; Sun, Xiaolei; Chen, Jianming
发表期刊APPLIED ECONOMICS LETTERS
摘要This article examined the multi-scale correlations between Turkish lira exchange rates and sovereign credit default swap (CDS) in Turkey, Europe, and Asia by implementing a combined quantile regression (QR) and wavelet approach. The results showed that a severe depreciation of the lira will increase the sovereign risk in Turkey at different time scales. In addition, the results revealed stronger and quicker responses from Asia's sovereign CDS than Europe's to the shocks of the lira, which provides important implications for Asian countries and especially Asian emerging markets to prevent external risk contagion and guide the domestic monetary policy.
2020
DOI10.1080/13504851.2020.1765961
语种英语
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文献类型期刊论文
条目标识符http://ir.casisd.cn/handle/190111/9749
专题中国科学院科技战略咨询研究院
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GB/T 7714
Liu, Chang,Li, Jianping,Sun, Xiaolei,et al. Multi-scale interactions between Turkish lira exchange rates and sovereign CDS in Europe and Asia[J]. APPLIED ECONOMICS LETTERS,2020.
APA Liu, Chang,Li, Jianping,Sun, Xiaolei,&Chen, Jianming.(2020).Multi-scale interactions between Turkish lira exchange rates and sovereign CDS in Europe and Asia.APPLIED ECONOMICS LETTERS.
MLA Liu, Chang,et al."Multi-scale interactions between Turkish lira exchange rates and sovereign CDS in Europe and Asia".APPLIED ECONOMICS LETTERS (2020).
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