Emre ŞIKLI, Tuğba AKIN


Emerging economies are highly dependent on energy commodities in terms of both export for gaining cash
inflow and import for meeting internal energy demand. Volatility of energy prices in international markets might
spillover on net cash balance of individual countries due to its direct impact on foreign cash in/out flows which
could increase overall fragility of countries. Developments in energy prices at international spot commodity markets
directly affect Turkey because of its significant reliance on imported energy. Country’s financial and macroeconomic
indicators respond instantly to developments in external factors such as commodity prices.
To that end, the present paper investigates the impact response analysis between energy prices index quoted
under title of “S&P GSCI Energy” derived from spot energy prices in the international markets and inflation, USD
currency and sovereign CDS of Turkey by employing VAR model for the period of 2007M4-2017M1. The results
show that a shock to energy prices has a negative impact on CDS and USD currency. At the same time, USD
currency rate has a significant effect on the CDS and inflation.


Standard and Poors Energy Commodity Index; Credit Default Swap (CDS); Exchange Rate; Inflation Rate; Turkey

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