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Kredi Temerrüt Takası, Büyüme ve Cari Açık İlişkisi: Türkiye Örneği

Yıl 2020, Cilt: 8 Sayı: İktisadi ve İdari Bilimler, 91 - 98, 18.12.2020
https://doi.org/10.18506/anemon.616029

Öz

Son yıllarda kredi temerrüt takasları (CDS), piyasada ülke risklerini fiyatlandırmada ve araştırmada önemli bir kavram olarak ortaya çıkmıştır. Türkiye gibi ekonomik kırılganlıkları ve dışa bağımlılığı yüksek gelişmekte olan ülkeler için bu kavram daha önemli hale gelmiştir. Ülke riskini etkileyen makroekonomik göstergelerden cari açık ve ekonomik büyüme çalışmada kullanılmıştır. Çalışmada CDS ile olan ekonomik büyüme ve cari açık arasındaki ilişki 2007:Q2-2018:Q4 dönemi için Kapetanios (2005) birim kök testi, Maki (2012) eşbütünleşme testi ve Fourier Toda-Yamamoto nedensellik testi ile analiz edilmiştir. Elde edilen sonuçlar teorik açıdan cari açığın ve ekonomide yaşanan daralmanın ülkenin dış borçlanma riski primi ve CDS oranlarında bir artışa neden olduğu beklentisiyle uyumlu olup; Türkiye'ye yönelik risk algısının makroekonomik değişkenlerinden etkilendiği tespit edilmiştir

Kaynakça

  • Aizenman, J., Hutchison, M., & Jinjarak, Y. (2013). What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk. Journal of International Money and Finance, 34 (2013), 37-59.
  • Alexander, C., & Kaeck, A. (2008). Regime dependent determinants of credit default swap spreads. Journal of Banking & Finance, 32.6, 1008-1021.
  • Annaert, J., De Ceuster, M., Van Roy, P., & Vespro, C. (2013). What determines Euro area bank CDS spreads?. Journal of International Money and Finance, 32, 444-461.
  • Augustin, P., Subrahmanyam, M. G., Tang, D. Y., & Wang, S. Q. (2016). Credit default swaps: Past, present, and future. Annual Review of Financial Economics, 8, 175-196.
  • Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 47-78.
  • Başarır, Ç., & Keten, M. (2016). Gelişmekte Olan Ülkelerin Cds Primleri İle Hisse Senetleri Ve Döviz Kurları Arasındaki Kointegrasyon İlişkisi. Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 8.15, 369-380.
  • Baum, C. F., & Wan, C. (2010). Macroeconomic uncertainty and credit default swap spreads. Applied Financial Economics, 20.15, 1163-1171.
  • Bhansali, V., Gingrich, R., & Longstaff, F.A. (2008). Systemic credit risk: What is the market telling us? Financial Analysts Journal, 64.4, 16-24.
  • Brandorf, C., & Holmberg, J. (2010). Determinants of sovereign credit default swap spreads for PIIGS-a macroeconomic approach. Bachelor Thesis. Lund University.
  • Bulow, J., & Rogoff, K. (1989). A constant recontracting model of sovereign debt. Journal of political Economy, 97.1, 155-178.
  • Capistrán, C., & Ramos‐Francia, M. (2009). Inflation dynamics in Latin America. Contemporary Economic Policy, 27.3, 349-362.
  • Fender, I., Hayo, B., & Neuenkirch, M.(2012). Daily pricing of emerging market sovereign CDS before and during the global financial crisis. Journal of Banking & Finance, 36.10, 2786-2794.
  • Fabozzi, F. J., Cheng, X., & Chen, R. R. (2007). Exploring the components of credit risk in credit default swaps. Finance Research Letters, 4.1, 10-18.
  • Flannery, M., Houston, J., & Partnoy, F. (2010). Credit default swap spreads as viable substitutes for credit ratings. Univ. Pa. Law Rev. 158,2085–2123.
  • Fontana, A., & Scheicher, M. (2016). An analysis of euro area sovereign CDS and their relation with government bonds. Journal of Banking & Finance, 62, 126-140.
  • Gebeşoğlu, F., & Varlık, N. (2018). The macroeconomic effects of sovereign risk premium shock: A case study for Turkey." Yönetim ve Ekonomi Araştırmaları Dergisi, 16.2, 236-246.
  • Gormus, A., Nazlioglu, S., & Soytas, U. (2018). High-yield bond and energy markets. Energy Economics, 69, 101-110.
  • Greatrex, C. A. (2008). Credit default swap market determinants. The Journal of Fixed Income, 18.3, 18-32.
  • Hamilton, J.D. (1994). Time Series Analysis, Princeton: Princeton University Press.
  • Haugh, D., Ollivaud, P., & Turner, D. (2009). What drives sovereign risk premiums? OECD Economics Department Working Papers. https://doi.org/10.1787/18151973
  • Hilscher, J., & Nosbusch, Y. (2010). Determinants of sovereign risk: Macroeconomic fundamentals and the pricing of sovereign debt. Review of Finance, 14.2, 235-262.
  • Kapetanios, G. (2005). Unit‐root testing against the alternative hypothesis of up to m structural breaks. Journal of Time Series Analysis, 26.1, 123-133.
  • Kargi, B. (2014). Credit default swap (CDS) spreads: the analysis of time series for the integration with the interest rates and the growth in Turkish economy. Montenegrin Journal of Economics, 10(1), 59-66.
  • Kılcı, E. N. (2017). CDS primleri ile ülke kredi riski arasındaki ilişkinin değerlendirilmesi; Türkiye örneği. Maliye Finans Yazilari, 108.
  • Liu, Y., & Morley, B. (2012). Sovereign credit default swaps and the macroeconomy. Applied Economics Letters, 19.2, 129-132.
  • Maki, D. (2012). Tests for cointegration allowing for an unknown number of breaks. Economic Modelling, 29.5, 2011-2015.
  • Minton, B. A., & Schrand, C. (1999). The impact of cash flow volatility on discretionary investment and the costs of debt and equity financing. Journal of Financial Economics, 54.3,423-460.
  • Mora, N. (2006). Sovereign credit ratings: Guilty beyond reasonable doubt? Journal of Banking & Finance, 30.7, 2041-2062
  • Nazlioglu, S., Gormus, N.A., & Soytas, U. (2016). Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis. Energy Economics, 60, 168-175.
  • Nazlioglu, S., Gormus, A., & Soytas, U. (2019). Oil prices and monetary policy in emerging markets: structural shifts in causal linkages. Emerging Markets Finance and Trade, 55(1), 105-117.
  • Pan, J., & Singleton, K. J. (2008). Default and recovery implicit in the term structure of sovereign CDS spreads. The Journal of Finance, 63.5, 2345-2384.
  • Perron, P. (1990). Testing for a unit root in a time series with a changing mean. Journal of Business & Economic Statistics, 8.2, 153-162.
  • Phillips, P. C. B., & Hansen, B. E. (1990). Statistical inference in instrumental variables regression with I (1) processes. The Review of Economic Studies, 57.1, 99-125.
  • Schwert, W.G. (1988), Tests for unit roots: A monte carlo investigation. NBER Technical Working Paper Series, No:73.

The Relationship Between Credit Default Swap, Economic Growth and Current Account Deficit: A Case of Turkey

Yıl 2020, Cilt: 8 Sayı: İktisadi ve İdari Bilimler, 91 - 98, 18.12.2020
https://doi.org/10.18506/anemon.616029

Öz

In recent years, credit default swaps (CDS) have occured as a fundemental concept in pricing and surveying country risks in the market. This concept has gained greater significance for developing countries such as Turkey because of their economic fragility and higher dependency to foreign funds. Of the most important macroeconomic indicators affecting country risks, the current account deficit and economic growth were studied in terms of their relationship with CDS. In this regard, this relationship was investigated for the period of 2007:Q2-2018:Q4 by using Kapetanios (2005) unit root test, Maki (2012) cointegration test and Fourier Toda-Yamamoto causality test. Obtained results suggested that the current account deficit and the economic constriction caused an increase with the country's external borrowing risk, and that risk perception towards Turkey was found to be affected by the concerned macroeconomic variables.

Kaynakça

  • Aizenman, J., Hutchison, M., & Jinjarak, Y. (2013). What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk. Journal of International Money and Finance, 34 (2013), 37-59.
  • Alexander, C., & Kaeck, A. (2008). Regime dependent determinants of credit default swap spreads. Journal of Banking & Finance, 32.6, 1008-1021.
  • Annaert, J., De Ceuster, M., Van Roy, P., & Vespro, C. (2013). What determines Euro area bank CDS spreads?. Journal of International Money and Finance, 32, 444-461.
  • Augustin, P., Subrahmanyam, M. G., Tang, D. Y., & Wang, S. Q. (2016). Credit default swaps: Past, present, and future. Annual Review of Financial Economics, 8, 175-196.
  • Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 47-78.
  • Başarır, Ç., & Keten, M. (2016). Gelişmekte Olan Ülkelerin Cds Primleri İle Hisse Senetleri Ve Döviz Kurları Arasındaki Kointegrasyon İlişkisi. Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 8.15, 369-380.
  • Baum, C. F., & Wan, C. (2010). Macroeconomic uncertainty and credit default swap spreads. Applied Financial Economics, 20.15, 1163-1171.
  • Bhansali, V., Gingrich, R., & Longstaff, F.A. (2008). Systemic credit risk: What is the market telling us? Financial Analysts Journal, 64.4, 16-24.
  • Brandorf, C., & Holmberg, J. (2010). Determinants of sovereign credit default swap spreads for PIIGS-a macroeconomic approach. Bachelor Thesis. Lund University.
  • Bulow, J., & Rogoff, K. (1989). A constant recontracting model of sovereign debt. Journal of political Economy, 97.1, 155-178.
  • Capistrán, C., & Ramos‐Francia, M. (2009). Inflation dynamics in Latin America. Contemporary Economic Policy, 27.3, 349-362.
  • Fender, I., Hayo, B., & Neuenkirch, M.(2012). Daily pricing of emerging market sovereign CDS before and during the global financial crisis. Journal of Banking & Finance, 36.10, 2786-2794.
  • Fabozzi, F. J., Cheng, X., & Chen, R. R. (2007). Exploring the components of credit risk in credit default swaps. Finance Research Letters, 4.1, 10-18.
  • Flannery, M., Houston, J., & Partnoy, F. (2010). Credit default swap spreads as viable substitutes for credit ratings. Univ. Pa. Law Rev. 158,2085–2123.
  • Fontana, A., & Scheicher, M. (2016). An analysis of euro area sovereign CDS and their relation with government bonds. Journal of Banking & Finance, 62, 126-140.
  • Gebeşoğlu, F., & Varlık, N. (2018). The macroeconomic effects of sovereign risk premium shock: A case study for Turkey." Yönetim ve Ekonomi Araştırmaları Dergisi, 16.2, 236-246.
  • Gormus, A., Nazlioglu, S., & Soytas, U. (2018). High-yield bond and energy markets. Energy Economics, 69, 101-110.
  • Greatrex, C. A. (2008). Credit default swap market determinants. The Journal of Fixed Income, 18.3, 18-32.
  • Hamilton, J.D. (1994). Time Series Analysis, Princeton: Princeton University Press.
  • Haugh, D., Ollivaud, P., & Turner, D. (2009). What drives sovereign risk premiums? OECD Economics Department Working Papers. https://doi.org/10.1787/18151973
  • Hilscher, J., & Nosbusch, Y. (2010). Determinants of sovereign risk: Macroeconomic fundamentals and the pricing of sovereign debt. Review of Finance, 14.2, 235-262.
  • Kapetanios, G. (2005). Unit‐root testing against the alternative hypothesis of up to m structural breaks. Journal of Time Series Analysis, 26.1, 123-133.
  • Kargi, B. (2014). Credit default swap (CDS) spreads: the analysis of time series for the integration with the interest rates and the growth in Turkish economy. Montenegrin Journal of Economics, 10(1), 59-66.
  • Kılcı, E. N. (2017). CDS primleri ile ülke kredi riski arasındaki ilişkinin değerlendirilmesi; Türkiye örneği. Maliye Finans Yazilari, 108.
  • Liu, Y., & Morley, B. (2012). Sovereign credit default swaps and the macroeconomy. Applied Economics Letters, 19.2, 129-132.
  • Maki, D. (2012). Tests for cointegration allowing for an unknown number of breaks. Economic Modelling, 29.5, 2011-2015.
  • Minton, B. A., & Schrand, C. (1999). The impact of cash flow volatility on discretionary investment and the costs of debt and equity financing. Journal of Financial Economics, 54.3,423-460.
  • Mora, N. (2006). Sovereign credit ratings: Guilty beyond reasonable doubt? Journal of Banking & Finance, 30.7, 2041-2062
  • Nazlioglu, S., Gormus, N.A., & Soytas, U. (2016). Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis. Energy Economics, 60, 168-175.
  • Nazlioglu, S., Gormus, A., & Soytas, U. (2019). Oil prices and monetary policy in emerging markets: structural shifts in causal linkages. Emerging Markets Finance and Trade, 55(1), 105-117.
  • Pan, J., & Singleton, K. J. (2008). Default and recovery implicit in the term structure of sovereign CDS spreads. The Journal of Finance, 63.5, 2345-2384.
  • Perron, P. (1990). Testing for a unit root in a time series with a changing mean. Journal of Business & Economic Statistics, 8.2, 153-162.
  • Phillips, P. C. B., & Hansen, B. E. (1990). Statistical inference in instrumental variables regression with I (1) processes. The Review of Economic Studies, 57.1, 99-125.
  • Schwert, W.G. (1988), Tests for unit roots: A monte carlo investigation. NBER Technical Working Paper Series, No:73.
Toplam 34 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Araştırma Makalesi
Yazarlar

Tuğba Akın 0000-0002-1132-388X

Emre Işıklı 0000-0003-4148-7655

Yayımlanma Tarihi 18 Aralık 2020
Kabul Tarihi 20 Temmuz 2020
Yayımlandığı Sayı Yıl 2020 Cilt: 8 Sayı: İktisadi ve İdari Bilimler

Kaynak Göster

APA Akın, T., & Işıklı, E. (2020). The Relationship Between Credit Default Swap, Economic Growth and Current Account Deficit: A Case of Turkey. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 8(İktisadi ve İdari Bilimler), 91-98. https://doi.org/10.18506/anemon.616029

Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi Creative Commons Atıf-GayriTicari 4.0 Uluslararası Lisansı (CC BY NC) ile lisanslanmıştır.