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      • Bilkent Theses
      • Theses - Department of Economics
      • Dept. of Economics - Master's degree
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      Global financial crisis and risk perception

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      Author(s)
      Polat, Tandoğan
      Advisor
      Böke, Selin Sayek
      Date
      2012
      Publisher
      Bilkent University
      Language
      English
      Type
      Thesis
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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 Premiums
      Emerging Countries
      Global Financial Crisis
      Panel Data Analysis
      Rolling Base Analysis
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      http://hdl.handle.net/11693/15813
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      • Dept. of Economics - Master's degree 325
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