Research Information System
Quality and Quantity, vol.57, no.4, pp.3747-3762, 2023 (Scopus)
© 2022, The Author(s).In recent time, Turkey could be said to have experienced different levels of Economic Risk, Financial Risk, and Political Risk from low- to high-level. This study investigates the linkage between country risks, namely Financial Risk, Economic Risk, and Political Risk (FEP risk) in Turkey for the period 1984Q1 to 2019Q1 by using threshold cointegration, Markow-switching regression (given the nonlinearity and structural breaks observed in the time series variables), and frequency domain causality approaches. The empirical findings of this study reveal that (i) nonlinear cointegration between Economic Risk, Financial Risk, and Political Risk in Turkey is statistically significant given the evidence of threshold cointegration test, which determines the structural breaks endogenously; (ii) there is positive linkage among the component of country risk at different volatility periods; (iii) there is a significant Granger causal linkage between Economic Risk, Financial Risk and Political Risk at the different frequency levels. The study is likely to open debate about the literature since the study concludes with a discussion on short-run and long-run implications for economic, political, and financial stabilises, thus offering policy suggestions for the policymakers in Turkey.