Kredi Risk Priminin Döviz Kuruna Etkisi(Impact of Credit Risk Premium on Exchange Rate )

The credit default swap, which measures the risk of financial instruments issued by a country, is one of the key variables influencing the exchange rate. This study examines the effect of Turkish credit default swap volatility on the exchange rate between 2008:10-2024:03 using the Multivariate Autoregressive Conditional Variance-Dynamic Conditional Correlation (DCCGARCH) model. The dataset was obtained from Thomson Reuters Eikon database and the econometric analyses were carried. The study found that the volatility observed in the credit default swap has an increasing effect on the exchange rate. Upon analysis of the dynamic conditional correlation between the credit default swap and the exchange rate, it was found that the dynamic conditional correlation between the series exhibited a positive relationship of 41.69%.