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

Chang Liu,Jianping Li,Xiaolei Sun,Jianming Chen

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

2020

Chang Liu
Jianping Li
Xiaolei Sun
Jianming Chen

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 regres...

Keywords:

Granger causality
Quantile regression
Quantile
Economics
Sovereign credit
Credit default swap
Sovereignty
Lira
Turkish
Monetary economics
Financial economics

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