Time-Dependent Causal Relationships Between Credit Default Swaps, Effective Funding Rate, Exchange Rate-Protected Deposit Scheme, and Stock Market Returns: Evidence from Turkiye

The aim of this paper is to investigate the relationship between the credit risk premium, effective interest rates, the volume of the exchange rate-protected deposits (ERPD), and stock market returns in Turkiye using the time-varying Granger causality method. Econometric analyses are conducted via weekly data from February 18, 2022 to October 17, 2025. The analyses are implemented via a wavelet-based and time-varying Fourier Toda-Yamamoto causality method. Empirical findings reveal that the causality between variables changes over time. Accordingly, the bidirectional causality between CDS and BIST is more dominant in the short run. In the medium and long run, causality is predominantly from BIST to CDS, implying that the stock market provides signals for financial risks. While there is no statistically significant causality from EFR to BIST, an inverse relationship is found in the medium and long run. Regarding the ERPD, causality with BIST is present across all time horizons, whereas causality from BIST to ERPD is observed only in the short and medium terms. Overall, this paper provides valuable insights into the stability of financial markets amid mixed monetary policies and offers early-warning indicators for macro-financial risk management in Turkiye.