Cross Correlation Function (CCF) Data Set and Methodology
Description
In this data set, the dynamic causality relation between Turkey Credit default swaps (CDS) and BRICS countries (Brasil, Russia, India, China, South Africa) and most important EU economies (Germany, France, the UK, Italy, Spain) are analyzed with the Cross Correlation Function (CCF) approach. Cross Correlation Function (CCF) is a two-stage method. In the first stage, CDS of the countries are estimated with EGARCH models. In the second stage, the standardized residuals and squares obtained from the EGARCH models are used for causality test in the mean and variance for CDSs. In the data set, Excel formulas and EViews Outputs / Data set were shared.
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Aim: This article examines the dynamic causality between Turkey's Credit Default Swap (CDS) with the BRICS countries (Brazil, Russia, India, China, South Africa) and the major EU economies (Germany, France, Britain, Italy, Spain). Since Cross-Correlation Function (CFF) has never been used in previous studies for the CDS market in Turkey, this article is useful for both investors and academicians. Method(s): In this study, daily and five year CDS prices are used. The data are taken from Bloomberg and include 2696 observations from August 2008 to December 2018. The CDS series do not show normal distribution, but the entire CDS series have a unit root, so the first differences of all are taken. In the study, the CCF approach was used to distinguish the difference between causality in mean (CIM) and causality in variance (CIV). Cross-Correlation Function (CFF) is a two-step method created by Cheung and Ng (1996: 33-48) and developed by Hong (2001: 183-224). In the first stage, the CDSs of the countries were analyzed with appropriate EGARCH models. In the second stage, the standardized residuals errors and the squares obtained from EGARCH models were used for the causality in mean (CIM) and causality in variance (CIV) test. The data was inspired and developed by Stolbov's (2014) article "The causal linkages between sovereign CDS prices for the BRICS and major European economies".