The main objective of this study is to analyze the long-term relationship between exchange rate and credit default swaps (CDS) based on high frequency time series as representative of Turkey's risk premium. In general, the long-term relationship describes a long period of time in the literature. However, although the time periods used in the testing of financial and economic hypotheses have taken a long period of time, the use of new techniques is needed due to the high frequencies. In the analysis of long-term relationships with high-frequency time series, the transition and the continuity of the shocks should be considered together. Therefore, in this study, partial integration method considering these two features was used as an analysis tool. The most important feature of the analysis is that it gives information about the long term relationship based on these properties. This information is a random process based on the tendency to revert to the mean in the period covered and is the result of the applied test. Hence, the relationship between variables, namely exchange rates and Turkey's CDS, are analyzed by using non-linear causality tests. Thus, it is also analyzed whether the effects such as jump and break on these variables change over time. Policy recommendations are made for Turkey based on the empirical findings to contribute to the relevant literature.