터키 소버린 신용부도스왑(CDS) 프리미엄 결정요인

• 영문명: Determinants of Sovereign Credit Default Swap Premium in Turkey: Pass-through Effect of Risks
• 발행기관: 한국이슬람학회
• 저자명: 양오석(Yang, Oh-Suk) 김태중(Kim, Tae-Joong)
• 간행물 정보: 『한국이슬람학회논총』제26권 1호, 267~302쪽, 전체 36쪽
• 주제분류: 인문학 > 종교학
• 파일형태: PDF
• 발행일자: 2016.02.28

영문 초록

The guiding research question of this study is to discover whether sovereign credit default swap(CDS) premium for Turkey is determined by market risk, regional risk and bank risk. The dependent variable is sovereign credit default swap premium for Turkey with the maturity of 1yr, 2yr, 3yr, 4yr, 5yr, 7yr, 10yr, 20yr and 30yr. Independent variables are the implied volatility of equity options, interest swap rate, Euro STOXX 50, Portugal sovereign CDS premium, Greece sovereign CDS premium, Akbank CDS premium. The baseline model is controlled by the time lagged sovereign CDS premium(t-1) and dollar index. The research time frame covers 3. March 2008 to 25. December 2015. The main findings are twofold: market and regional risks show statistically significant relationship with sovereign CDS premium, and there is no statistical correlation between bank risk and sovereign CDS premium in Turkey. These findings reinforce the view that the main determinants of CDS premium are the implied volatility in markets and interest rate.

목차

Ⅰ. 서론

Ⅱ. 이론적 배경 및 연구가설

III. 연구방법

IV. 분석

V. 토론

VI. 결론

키워드

터키 소버린 신용부도스왑 프리미엄 시장리스크 지역리스크 은행리스크 전가효과 Turkey Sovereign Credit Default Swap Premium Market Risk Regional Risk Bank Risk Pass-through Effect