Multi-scale interactions between Turkish lira exchange rates and sovereign CDS in Europe and Asia

doi:10.1080/13504851.2020.1765961

CASISD OpenIR

	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
DOI	10.1080/13504851.2020.1765961
语种	英语
引用统计
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
推荐引用方式 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).