Knowledge Management System of Institutes of Science and Development ,CAS
| Multi-scale interactions between Turkish lira exchange rates and sovereign CDS in Europe and Asia | |
Liu, Chang; Li, Jianping; Sun, Xiaolei ; Chen, Jianming
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| Source Publication | APPLIED ECONOMICS LETTERS
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| Abstract | 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 | |
| DOI | 10.1080/13504851.2020.1765961 |
| Language | 英语 |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.casisd.cn/handle/190111/9749 |
| Collection | 中国科学院科技战略咨询研究院 |
| Recommended Citation 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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