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

doi:10.1080/13504851.2020.1765961

	Multi-scale interactions between Turkish lira exchange rates and sovereign CDS in Europe and Asia
	Liu, Chang; Li, Jianping; Sun, Xiaolei; Chen, Jianming
刊名	APPLIED ECONOMICS LETTERS
	2020
DOI	10.1080/13504851.2020.1765961
英文摘要	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.
语种	英语
内容类型	期刊论文
源URL	[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).