Determinants of asset swap spread for Turkish banks
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Abstract (EN)
Derivative instruments such as swaps, futures, forwards and options, etc. are financial instruments. The value of a derivative instrument ensues from an underlying asset. This thesis focuses on the determinants of the asset swap (ASW) spread of three Turkish banks and examines the factors affecting it. Specifically, a GARCH model is applied to analyze the relationships between firms' value, firms' volatility, interest rate level changes and their ASW spreads. The study concludes that each of the three Turkish banks has a positive correlation with firms' volatility and lag of the ASW spread while two of them have significant results for the relationship between firms' value, interest rate level changes, and ASW spread.
Author
Burak Pektaş
How to Cite
Burak Pektaş (Master Thesis). Determinants of asset swap spread for Turkish banks, 2021, TED University.
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