This text is for the relation between credit default swap (CDS) spreads and some chosen macro economic data in Turkish … economy. Credit default swap spread as an insurance spread is the most important sign for the solvency of the debitors in that … default swap spreads have become a kind of reliability index. Moreover, they have become an information source about the …

employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing …-ante forecasting ; EURIBOR swap rates ; term structure ; directional accuracy ; big hit ability …

March 2006. We use (i) the swap yield curves augmented by OIS interest rates (OIS/Swap), and (ii) the JGB yield curve … for each factor between OIS/Swap and FBTB/JGB, and find that the former has a more dominant role of price discovery for …