DSpace Repository

The Macroeconomic Effects Of Sovereign Risk Premium Shock: A Case Study For Turkey

Show simple item record

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.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. tr_TR
dc.identifier.issn 2148-029X
dc.identifier.uri http://hdl.handle.net/20.500.12416/8192
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. tr_TR
dc.language.iso eng tr_TR
dc.relation.isversionof 10.11611/yead.420440 tr_TR
dc.rights info:eu-repo/semantics/openAccess tr_TR
dc.subject Sovereign Risk Premium tr_TR
dc.subject Structural Vector Autoregression Model tr_TR
dc.subject Emerging Market Bond Index tr_TR
dc.title The Macroeconomic Effects Of Sovereign Risk Premium Shock: A Case Study For Turkey tr_TR
dc.type article tr_TR
dc.relation.journal Yönetim ve Ekonomi Araştırmaları Dergisi tr_TR
dc.identifier.volume 16 tr_TR
dc.identifier.issue 2 tr_TR
dc.identifier.startpage 236 tr_TR
dc.identifier.endpage 246 tr_TR
dc.contributor.department Çankaya Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü tr_TR


Files in this item

This item appears in the following Collection(s)

Show simple item record