Predictability of risk appetite in Turkey: Local versus global factors
Yükleniyor...
Tarih
2023
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
We examine the impacts of four local and five global factors on the risk appetite in Turkey using
weekly data for the period 2008–2022. There are significant causal effects of both global and local
factors under various market conditions. Local factors, particularly CDS spreads, exert stronger
causal effects than global factors, and qualified investors are more predictable than domestic or
foreign investors. Uncertainty during the pandemic crisis weakens the explanatory powers of
most factors. All investor groups are generally exposed to negative shocks and this effect
strengthens at lower and middle quantiles. Policy implications are discussed.
Açıklama
Anahtar Kelimeler
Risk appetite (RISE) in Turkey, Credit default swap (CDS), Financial stress, Safe-haven index, Oil volatility and geopolitical risk, Quantile-based analysis
Kaynak
Emerging Markets Review
WoS Q Değeri
N/A
Scopus Q Değeri
Q1
Cilt
Sayı
55
Künye
Gemici, E., Gök, R. ve Bouri, E. (2023). Predictability of risk appetite in Turkey: Local versus global factors. Emerging Markets Review, (55), 1-28.
