Testing for Causality among CDS, Interest, and Exchange Rates: New Evidence from the Granger Coherence Analysis
2021
We study the relationship between weekly and monthly observations of CDS, interest, and exchange rates (USDTRY) during 2005-2020 in Turkey. The findings suggest a positive relationship between the variables. The bivariate Granger Coherence approach indicates that the dynamic causal and reverse causal interactions mainly intensify in the short- and intermediate-term. Using a bootstrap time-varying causality approach with a fixed size of 37 weeks, the casual linkages are strong but not homogenous in both non-crisis and crisis periods. There is also a unidirectional causality running from interest rates to foreign exchange rates during the period of COVID-19, yielding important implications for investors and policymakers.
Keywords:
- Correction
- Source
- Cite
- Save
- Machine Reading By IdeaReader
0
References
0
Citations
NaN
KQI