The Impact of Sovereign Credit Default Swap ( CDS ) Premiums on Export Stability in Türkiye

ABSTRACT This study examines the short‐ and long‐run relationship between Türkiye's 5‐year sovereign credit default swap (CDS) premium and monthly exports during 2010M1–2023M12 using the augmented autoregressive distributed lag (A‐ARDL) approach. Because the dependent variable is total export value in US dollars, the empirical analysis measures export stability in a macroeconomic sense rather than environmental or multidimensional export sustainability. The system‐level cointegration tests indicate a long‐run relationship among exports, CDS, CPI, REER and BIST 100; they do not establish pairwise CDS–export cointegration. The long‐run CDS coefficient is statistically insignificant, whereas the one‐month‐lagged short‐run CDS coefficient is negative. In the long run, CPI is negatively associated with exports and BIST 100 is positively associated. These findings distinguish the short‐run sovereign‐risk effect from the long‐run roles of price stability and capital‐market performance in Türkiye.