Global financial crisis and risk perception
Author(s)
Advisor
Böke, Selin SayekDate
2012Publisher
Bilkent University
Language
English
Type
ThesisItem Usage Stats
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Abstract
The global financial crisis has caused remarkable deterioration in risk
appetite and loss of confidence in financial markets. The countries, which succeeded
a recovery in their macroeconomic structure, have been relatively less prone to the
adverse effects of the crisis. The studies conducted on the impact of global crisis on
economic indicators affecting the risk premiums of developing economies have been
very limited. The focus of this thesis was on the revealing the change in market risk
perceptions towards developing economies within the framework of a rolling base
panel data analysis. The five-year Credit Default Swap (CDS) premium has been
used as an indicator of country risk premium. According to the results of the panel
analysis, in the pre-crisis period risk premiums are more heavily affected from the
global developments as compared to domestic indicators, whereas investors have
been giving more emphasis on domestic indicators in their risk perceptions with the
burst of financial crisis.
Keywords
Credit Default Swap PremiumsEmerging Countries
Global Financial Crisis
Panel Data Analysis
Rolling Base Analysis