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The Relationship Between Credit Default Swap (Cds), Central Government External Debt Stock, and the Current Account Deficit in Türkiye

Yıl 2023, Cilt: 12 Sayı: 5, 2625 - 2649, 31.12.2023
https://doi.org/10.15869/itobiad.1307972

Öz

Debt ratios are often a static indicator of the borrowing situation in an economy. Since the debt burden, interest burden, or ratio to the national income of an economy shows the current situation, it does not provide health information for the future. Dynamic indicators are needed to understand potential debt relationships in the future. CDS spreads, which are based on a swap transaction and gained importance after the global crisis, have recently been used as a dynamic debt ratio. There are basically two reasons for this situation. The first reason is that static analyses are considered insufficient by market participants. The other reason is that CDS spreads clearly reveal the risk cost for the lender. The reason for the current account deficit and external borrowing can be sometimes the increased need for foreign exchange in a country. When considering foreign exchange and interest rate swaps within this framework, the relationship between the current account deficit and CDS spreads becomes more pronounced. This is because, among the reasons for foreign exchange inflows and outflows, there are factors such as foreign trade transactions, external borrowing, and swap transactions. The study analyzed the variables of central government external debt stock, current account deficit, and CDS spreads using wavelet coherence analysis in the R Studio program for the period of 2008:1-2023:3. The main reason for choosing this analysis method is that it obtains findings for the entire time period included in the analysis and increases the data set to very high dimensions with simulation. This characteristic of the analysis enhances the validity level of the findings. The study found no relationship between the central government external debt stock and CDS spreads in Türkiye, except for the two years following the 2008 global financial crisis. Additionally, a positive relationship was identified between the current account deficit and CDS spreads. These findings indicate that in Türkiye, the current account deficit has a greater impact on CDS spreads compared to the components of CDS spreads.

Kaynakça

  • Akçelik, F. & Fendoğlu, S. (2019). Country risk Premium and domestic macroeconomic fundamentals when global risk appetite slides, Research and Monetary Policy Department Central Bank of the Republic of Türkiye, No. 1904, Avaliable at: https://www.tcmb.gov.tr/wps/wcm/connect/95ec8d1c-cff9-44b6-a562-34d7eb9bb2d0/en1904eng.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-95ec8d1c-cff9-44b6-a562-34d7eb9bb2d0-mERx41I
  • Akkuş, Ö. (2021). Cds risk primleri ile dış borçlanma ilişkisi: simetrik ve asimetrik nedensellik analizi. International Journal of Economic and Administrative Studies, 31, 215-228. doi: 10.18092/ulikidince.928425
  • Amiram, D., Beaver, W.H., Landsman, W.R. & Zhao, J. (D.). (2017). The effects of credit default swap trading on information asymmetry in syndicated loans. Journal of Financial Economics (JFE), 126(2), 364-382. doi: 10.1016/j.jfineco.2016.10.001
  • Ams, J., Baqir, R., Gelpern, A. & Trebesch, C. (2018). Sovereign default, chapter 7. Available at IMF: https://www.imf.org/-/media/Files/News/Seminars/2018/091318SovDebt-conference/chapter-7-sovereign-default.ashx
  • Angelini, E. (2012). Credit defaults swaps (CDS) and their role in the credit risk market. International Journal of Academic Research in Business and Social Sciences, 2(1), 584-593.
  • Arzova, S.B., Atakişi, A. & Ekmekçi, U. (2020). Endekslerle Türkiye ekonomisi. İstanbul: Remzi Kitabevi.
  • Asonuma, T., Chamon, M., Erce, A. & Sasahara, A. (2019). Costs of sovereign defaults: restructuring strategies, bank distress and the capital inflow-credit channel, IMF Working Paper, WP/19/69.
  • Augustin, P. & Tedongap, R. (2011). Common factors and commonality in sovereign cds spreads: a consumption-based explanation. Available at http://www.irmc.eu/public/files/Augustin%20P,Tedongap%20R_Common%20Factors%20and%20Commonality%20in%20Sovrereign%20CDS%20Spreads(4.1.B).pdf
  • 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. doi: 10.1146/annurev-financial-121415-032806
  • Baltacı, N. & Akyol, H. (2016). Examination of the macroeconomic variables affecting credit defaults swaps. Journal of Economics Bibliography, 3(4), 610-625.
  • Bartram, S.M., Conrad, J., Lee, J. & Subrahmanyam, M.G. (2017). Credit default swaps around the World: investment and financing effects. WBS Finance Group Research Paper, 248, 1-57.
  • Başçı, E. S. (2003). Vadeli İşlem Piyasası Aracı Olarak Swap’ın İşleyişi ve Finansal Piyasalardaki Kullanımları. Gazi Üniversitesi Endüstriyel Sanatlar Eğitim Fakültesi Dergisi, 11(12), 18-33.
  • Bolton, P. & Oehmke, M. (2011). Credit default swaps and the empty creditor problem. Review of Financial Studies, 24(8), 2615-2655.
  • Blanco, R., Brennan, S. & Marsh, I.W. (2005). An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps. The Journal of Finance, 60(5), 2255-2281. doi: 10.1111/j.1540-6261.2005.00798.x
  • Blanco-Oliver, A., Dieguez, A.I., Oliver-Alfonso, M.D. & Wilson, N. (2015). Systemic sovereign risk and asset prices: evidence from the CDS market, stressed European economies and nonlinear causality tests. Czech Journal of Economics and Finance, 65(2), 144-166.
  • Bomfim, A.N. (2022). credit default swaps, Finance and Economics Discussion Series 2022-023. Washington: Board of Governors of the Federal Reserve System. doi: 10.17016/FEDS.2022.023
  • Ceylan, B. & Özpençe, Ö. (2020). Ülke CDS priminin dış borçlar üzerindeki etkisinin incelenmesi: Türkiye örneği. International Journal of Economic Studies, 6(2), 43-52.
  • Chambers, N. (2007). Türev Piyasalar, Beta Publishing, İstanbul.
  • Clark, B., Donato, J. & Francis, B.B. (2022). Credit default swaps and debt specialization. Available at SSRN: https://ssrn.com/abstract=4086751 or doi: 10.2139/ssrn.4086751
  • Csonto, B. & Ivaschenko, I. (2013). Determinants of sovereign bond spreads in emerging markets: local fundamentals and global factors vs. ever-changing misalignments. IMF Working Paper, WP/13/164.
  • Delatte, A.L., Gex, M. & Lopez-Villavicencio, A. (2012). Has the CDS market influenced the borrowing cost of European countries during the sovereign crisis?. Journal of International Money and Finance, 31(3), 481-497. doi: 10.1016/j.jimonfin.2011.10.008
  • Demir, Y. (2021). Kredi Temerrüt Swapları, Döviz Kuru ile Borsa İstanbul Arasındaki İlişkinin Analizi. Yaşar Üniversitesi E-Dergisi, 16(64), 1642-1656.
  • Durmuş, Ö. & Coşkun, E. (2019). Şirketlerin Türev Ürün Kullanımını Etkileyen Faktörler: Borsa İstanbul’da Bir Araştırma. Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(2), 507-534.
  • Gan, L., Xia, X. & Zhang, H. (2022). Debt structure and debt overhang. Journal of Corporate Finance, 74, Available at ScienceDirect: https://www.sciencedirect.com/science/article/abs/pii/S0929119922000438#aep-article-footnote-id1
  • Grinsted, A., Moore, J.C. ve Jevrejeva, S. (2004), “Application of the Cross Wavelet Transform and Wavelet Coherence to Geophysical Time Series”, Nonlinear Processes in Geophysics, 11(5/6), 561-566.
  • Hilscher, J. & Nosbusch, Y. (2010). Determinants of sovereign risk: macroeconomic Fundamentals and the pricing of sovereign debt. Review of Finance, 14, 235-262. doi: 10.1093/rof/frq005
  • Ho, S.H. (2016). Long and short-runs determinants of the sovereign CDS spread in emerging countries. Research in International Business and Finance, 36, 579-590. doi: 10.1016/j.ribaf.2015.07.001
  • Hull, J., Predescu, M. & White, A. (2004). The relationship between credit default swap spreads, bond yields, and credit rating announcements. Journal of Banking & Finance, 28(11), 2789-2811. doi: 10.1016/j.bankfin.2004.06.010
  • Huyugüzel Kışla, G., Muradoğlu, Y.G., & Önder, A.Ö. (2022). Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach. Journal of Asset Management, 23, 277-296. doi:10.1057/s41260-022-00263-3
  • Inflation Report (2019). Available at: https://www.tcmb.gov.tr/wps/wcm/connect/4ca7f657-847a-45e8-aca2-459e05f96c6a/inflation2019iv_full.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-4ca7f657-847a-45e8-aca2-459e05f96c6a-mWybpEE
  • Kajurova, V. (2015). The determinants of CDS spreads: the case of UK companies. Procedia Economics and Finance, 23, 1302-1307.
  • Kartal, C. & Bektaş, E. (2022). The relationship between investment expenditure, trade openness and credit risk Premium: Türkiye practice. Turkish Studies-Economy, 17(2), 365-374. doi: 10.7827/TurkishStudies.57986
  • Kartal, M.T., Ertuğrul, H.M. & Ayhan, F. (2022). Determinants of sovereign credit default swap (CDS) spreads in emerging countries: evidence from Türkiye. Hacettepe University Journal of Economics and Administrative Sciences, 40(4), 742-761. doi: 10.17065/huniibf.1054042
  • Kayalar, D.E., Talaslı, İ. & Ünalmış, İ. (2017). Interdependencies across sovereign bond credit default swap markets. Türkiye Cumhuriyet Merkez Bankası Working Paper No: 17/07.
  • Kılcı, E.N. (2017). Cds primleri ile ülke kredi riski arasındaki ilişkinin değerlendirilmesi; Türkiye örneği. Maliye Finans Yazıları, 108, 71-86.
  • Kılcı, E.N. (2019). Dış borçların ülke cds primleri üzerindeki etkisinin incelenmesi: Türkiye örneği. Sayıştay Dergisi, 112, 75-92.
  • Kırca, M, Çelebi Boz, F. & Yıldız, Ü. (2019). The effects of inflation and economic growth on CDS: the case of BRICS+T countries. In C. Aytun & C.S. Akın (Edt), Political and Institutional Reviews on Social Studies, (p. 37-60), Ankara: IKSAD Publishing House.
  • Kim, G. (2016). Credit derivatives as a commitment device: evidence from the cost of corporate debt. Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal. doi:10.2139/ssrn.2230394
  • Longstaff, F.A., Pan, J., Pedersen, L.H. & Singleton, K.J. (2011). How sovereign is sovereign credit risk?.American Economic Journal: Macroeconomics, 3, 74-103. doi: 10.1257/mac.3.2.75
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Türkiye’de Kredi Temerrüt Takası (CDS), Merkezi Yönetim Dış Borç Miktarı ve Cari Açık Arasındaki İlişki

Yıl 2023, Cilt: 12 Sayı: 5, 2625 - 2649, 31.12.2023
https://doi.org/10.15869/itobiad.1307972

Öz

Borç rasyoları genellikle bir ekonomideki borçlanmaya ilişkin durumun statik bir göstergesidir. Bir ekonominin içinde bulunduğu borç yükü, faiz yükü ya da bunların milli gelire oranı o anki durumu gösterdiği için geleceğe yönelik sağlıklı bir bilgi sunmaz. Gelecekte meydana gelebilecek bir borç ilişkisi için dinamik göstergelere ihtiyaç vardır. Temeli bir takas işlemi olan ve küresel kriz sonrası önem kazanan kredi temerrüt takası primleri son yıllarda dinamik bir borç rasyosu olarak kullanılmaya başlanmıştır. Bu durumun temelde iki sebebi bulunmaktadır. Bunlardan ilki statik analizlerin piyasadaki aktörler tarafından yetersiz bulunmasıdır. Diğeri ise CDS priminin borç veren taraf açısından risk maliyetini net bir şekilde ortaya koymasıdır. Cari açık ve dış borçlanmanın nedeni bazen ülkenin döviz ihtiyacının artmasından kaynaklanabilir. Döviz ve faiz swapları da bu çerçevede ele alındığında cari açık ve CDS primi ilişkisi daha belirgin hale gelmektedir. Çünkü döviz giriş çıkışlarının sebepleri arasında dış ticaret işlemleri ya da dış borçlanma gibi etmenlerin yanı sıra swap işlemleri de yer almaktadır. Çalışmada 2008:1-2023:3 dönemine ilişkin merkezi yönetim dış borç stoku, cari açık ve CDS primi değişkenleri R studio programında wavelet uyum analizi ile analiz edilmiştir. Bu analiz yönteminin tercih edilmesindeki en temel sebep analize dahil edilen zaman diliminin tamamına yönelik bulgu elde etmesi ve simülasyon ile veri kümesini çok yüksek boyutlara çıkarmasıdır. Analizin bu özelliği bulguların geçerlilik düzeyini artırmakla birlikte Türkiye’de merkezi yönetim dış borç stoku ile CDS primi arasında 2008 küresel krizi sonrasındaki iki yıl hariç ilişki tespit edilmemiştir. Diğer taraftan cari açık ve CDS primi arasında ise pozitif bir ilişki bulunmuştur. Elde edilen bulgular da göstermektedir ki Türkiye’de CDS priminin bileşenlerinden ziyade cari açık, CDS primlerine daha fazla etki etmektedir.

Kaynakça

  • Akçelik, F. & Fendoğlu, S. (2019). Country risk Premium and domestic macroeconomic fundamentals when global risk appetite slides, Research and Monetary Policy Department Central Bank of the Republic of Türkiye, No. 1904, Avaliable at: https://www.tcmb.gov.tr/wps/wcm/connect/95ec8d1c-cff9-44b6-a562-34d7eb9bb2d0/en1904eng.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-95ec8d1c-cff9-44b6-a562-34d7eb9bb2d0-mERx41I
  • Akkuş, Ö. (2021). Cds risk primleri ile dış borçlanma ilişkisi: simetrik ve asimetrik nedensellik analizi. International Journal of Economic and Administrative Studies, 31, 215-228. doi: 10.18092/ulikidince.928425
  • Amiram, D., Beaver, W.H., Landsman, W.R. & Zhao, J. (D.). (2017). The effects of credit default swap trading on information asymmetry in syndicated loans. Journal of Financial Economics (JFE), 126(2), 364-382. doi: 10.1016/j.jfineco.2016.10.001
  • Ams, J., Baqir, R., Gelpern, A. & Trebesch, C. (2018). Sovereign default, chapter 7. Available at IMF: https://www.imf.org/-/media/Files/News/Seminars/2018/091318SovDebt-conference/chapter-7-sovereign-default.ashx
  • Angelini, E. (2012). Credit defaults swaps (CDS) and their role in the credit risk market. International Journal of Academic Research in Business and Social Sciences, 2(1), 584-593.
  • Arzova, S.B., Atakişi, A. & Ekmekçi, U. (2020). Endekslerle Türkiye ekonomisi. İstanbul: Remzi Kitabevi.
  • Asonuma, T., Chamon, M., Erce, A. & Sasahara, A. (2019). Costs of sovereign defaults: restructuring strategies, bank distress and the capital inflow-credit channel, IMF Working Paper, WP/19/69.
  • Augustin, P. & Tedongap, R. (2011). Common factors and commonality in sovereign cds spreads: a consumption-based explanation. Available at http://www.irmc.eu/public/files/Augustin%20P,Tedongap%20R_Common%20Factors%20and%20Commonality%20in%20Sovrereign%20CDS%20Spreads(4.1.B).pdf
  • 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. doi: 10.1146/annurev-financial-121415-032806
  • Baltacı, N. & Akyol, H. (2016). Examination of the macroeconomic variables affecting credit defaults swaps. Journal of Economics Bibliography, 3(4), 610-625.
  • Bartram, S.M., Conrad, J., Lee, J. & Subrahmanyam, M.G. (2017). Credit default swaps around the World: investment and financing effects. WBS Finance Group Research Paper, 248, 1-57.
  • Başçı, E. S. (2003). Vadeli İşlem Piyasası Aracı Olarak Swap’ın İşleyişi ve Finansal Piyasalardaki Kullanımları. Gazi Üniversitesi Endüstriyel Sanatlar Eğitim Fakültesi Dergisi, 11(12), 18-33.
  • Bolton, P. & Oehmke, M. (2011). Credit default swaps and the empty creditor problem. Review of Financial Studies, 24(8), 2615-2655.
  • Blanco, R., Brennan, S. & Marsh, I.W. (2005). An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps. The Journal of Finance, 60(5), 2255-2281. doi: 10.1111/j.1540-6261.2005.00798.x
  • Blanco-Oliver, A., Dieguez, A.I., Oliver-Alfonso, M.D. & Wilson, N. (2015). Systemic sovereign risk and asset prices: evidence from the CDS market, stressed European economies and nonlinear causality tests. Czech Journal of Economics and Finance, 65(2), 144-166.
  • Bomfim, A.N. (2022). credit default swaps, Finance and Economics Discussion Series 2022-023. Washington: Board of Governors of the Federal Reserve System. doi: 10.17016/FEDS.2022.023
  • Ceylan, B. & Özpençe, Ö. (2020). Ülke CDS priminin dış borçlar üzerindeki etkisinin incelenmesi: Türkiye örneği. International Journal of Economic Studies, 6(2), 43-52.
  • Chambers, N. (2007). Türev Piyasalar, Beta Publishing, İstanbul.
  • Clark, B., Donato, J. & Francis, B.B. (2022). Credit default swaps and debt specialization. Available at SSRN: https://ssrn.com/abstract=4086751 or doi: 10.2139/ssrn.4086751
  • Csonto, B. & Ivaschenko, I. (2013). Determinants of sovereign bond spreads in emerging markets: local fundamentals and global factors vs. ever-changing misalignments. IMF Working Paper, WP/13/164.
  • Delatte, A.L., Gex, M. & Lopez-Villavicencio, A. (2012). Has the CDS market influenced the borrowing cost of European countries during the sovereign crisis?. Journal of International Money and Finance, 31(3), 481-497. doi: 10.1016/j.jimonfin.2011.10.008
  • Demir, Y. (2021). Kredi Temerrüt Swapları, Döviz Kuru ile Borsa İstanbul Arasındaki İlişkinin Analizi. Yaşar Üniversitesi E-Dergisi, 16(64), 1642-1656.
  • Durmuş, Ö. & Coşkun, E. (2019). Şirketlerin Türev Ürün Kullanımını Etkileyen Faktörler: Borsa İstanbul’da Bir Araştırma. Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(2), 507-534.
  • Gan, L., Xia, X. & Zhang, H. (2022). Debt structure and debt overhang. Journal of Corporate Finance, 74, Available at ScienceDirect: https://www.sciencedirect.com/science/article/abs/pii/S0929119922000438#aep-article-footnote-id1
  • Grinsted, A., Moore, J.C. ve Jevrejeva, S. (2004), “Application of the Cross Wavelet Transform and Wavelet Coherence to Geophysical Time Series”, Nonlinear Processes in Geophysics, 11(5/6), 561-566.
  • Hilscher, J. & Nosbusch, Y. (2010). Determinants of sovereign risk: macroeconomic Fundamentals and the pricing of sovereign debt. Review of Finance, 14, 235-262. doi: 10.1093/rof/frq005
  • Ho, S.H. (2016). Long and short-runs determinants of the sovereign CDS spread in emerging countries. Research in International Business and Finance, 36, 579-590. doi: 10.1016/j.ribaf.2015.07.001
  • Hull, J., Predescu, M. & White, A. (2004). The relationship between credit default swap spreads, bond yields, and credit rating announcements. Journal of Banking & Finance, 28(11), 2789-2811. doi: 10.1016/j.bankfin.2004.06.010
  • Huyugüzel Kışla, G., Muradoğlu, Y.G., & Önder, A.Ö. (2022). Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach. Journal of Asset Management, 23, 277-296. doi:10.1057/s41260-022-00263-3
  • Inflation Report (2019). Available at: https://www.tcmb.gov.tr/wps/wcm/connect/4ca7f657-847a-45e8-aca2-459e05f96c6a/inflation2019iv_full.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-4ca7f657-847a-45e8-aca2-459e05f96c6a-mWybpEE
  • Kajurova, V. (2015). The determinants of CDS spreads: the case of UK companies. Procedia Economics and Finance, 23, 1302-1307.
  • Kartal, C. & Bektaş, E. (2022). The relationship between investment expenditure, trade openness and credit risk Premium: Türkiye practice. Turkish Studies-Economy, 17(2), 365-374. doi: 10.7827/TurkishStudies.57986
  • Kartal, M.T., Ertuğrul, H.M. & Ayhan, F. (2022). Determinants of sovereign credit default swap (CDS) spreads in emerging countries: evidence from Türkiye. Hacettepe University Journal of Economics and Administrative Sciences, 40(4), 742-761. doi: 10.17065/huniibf.1054042
  • Kayalar, D.E., Talaslı, İ. & Ünalmış, İ. (2017). Interdependencies across sovereign bond credit default swap markets. Türkiye Cumhuriyet Merkez Bankası Working Paper No: 17/07.
  • Kılcı, E.N. (2017). Cds primleri ile ülke kredi riski arasındaki ilişkinin değerlendirilmesi; Türkiye örneği. Maliye Finans Yazıları, 108, 71-86.
  • Kılcı, E.N. (2019). Dış borçların ülke cds primleri üzerindeki etkisinin incelenmesi: Türkiye örneği. Sayıştay Dergisi, 112, 75-92.
  • Kırca, M, Çelebi Boz, F. & Yıldız, Ü. (2019). The effects of inflation and economic growth on CDS: the case of BRICS+T countries. In C. Aytun & C.S. Akın (Edt), Political and Institutional Reviews on Social Studies, (p. 37-60), Ankara: IKSAD Publishing House.
  • Kim, G. (2016). Credit derivatives as a commitment device: evidence from the cost of corporate debt. Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal. doi:10.2139/ssrn.2230394
  • Longstaff, F.A., Pan, J., Pedersen, L.H. & Singleton, K.J. (2011). How sovereign is sovereign credit risk?.American Economic Journal: Macroeconomics, 3, 74-103. doi: 10.1257/mac.3.2.75
  • Memon, I. A., Kalhoro, M. S., & Payne, A. (2013). Wavelet coherence analysis of change blindness. Mehran University Research Journal of Engineering & Technology, 32(1), 103-110.
  • Meyer, Y. (1993). Meyer, Y. (1993), Wavelets: Algorithms & Applications, SIAM (Society for Industrial and Applied Mathematics, Philadelphia.
  • Morrison, A.D. (2005). Credit Dderivatives, disintermediation, and investment decisions. The journal of Business, 78(2), 621-648. doi: 10.1086/427641
  • Narayanan, R. & Uzmanoglu, C. (2018). Credit ınsurance, distress resolution costs, and bond spreads. Financial Management, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2528107 or http://dx.doi.org/10.2139/ssrn.2528107
  • Pal, D. ve Mitra, S.K. (2019), “Oil Price and Automobile Stock Return CoMovement: A Wavelet Coherence Analysis”, Economic Modelling, 76, 172-181.
  • Rodriguez, I.M., Dandapani, K. & Lawrence, E.R. (2019). Are CDS spreads better than sovereign credit raitngs?. Financial Management, 48(1), 229-256.
  • Sambalaibat, B. (2019). credit default swaps as sovereign debt collateral. Available at SSRN: https://ssrn.com/abstract=1825526 or doi:10.2139/ssrn.1825526
  • Sambalaibat, B. (2022). A theory of liquidity spillover between bond and CDS markets. The Review of Financial Studies, 35(5), 2525-2569. doi: 10.1093/rfs/hhab094
  • Saretto, A. & Tookes, H. (2012). Corporate leverage, debt maturity and credit supply: the role of credit default swaps. Available at SSRN: https://ssrn.com/abstract=1780426 or http://dx.doi.org/10.2139/ssrn.1780426
  • Streitz, D. (2016). The impact of credit default swap trading on loan syndication, Review of Finance, 265-286. doi: 10.1093/rof/rfv007
  • Sturzenegger, F. (2004). Tools for the analysis of debt problems. Journal of Restructuring Finance, 1(1), 201-223.
  • Subrahmanyam, M.G., Tang, D.Y. & Wang, S.Q. (2014). Does the tail wag the dog?: the effect of cresit default swaps on credit risk. Review of Financial Studies, 27(10), 2926-2960. doi: 10.1093/rfs/hhu038
  • Török, L. (2022). Ambivalent change in CDS spreads in 11 Euro area countries. Public Finance Quartely, 67(1), 100-115.
  • Turguttopbaş, N. (2013). Sovereign credit risk and credit default swap spread reflections. International Review of Economics and Management, 1(1), 122-145.
  • Ustaoğlu, E. (2022). Analysis of reletions between CDS, stock matket, and Exchange rate: evidence from covid-19. Journal of Research in Economics, Politics & Finance, 7(2), 301-315.
  • Wong, T.Y. & Yu, J. (2021). Credit default swaps and debt overhang. Management Science, 68(3), 2069-2097. doi: 10.1287/mnsc.2020.3953
  • Yılmaz, A. & Ünlü, A. (2018). Effect of some macroeconomic variables on risk perception: the Turkish Case. Hacettepe University Journal of Economics and Administrative Sciences, 36(4), 117-147. doi: 10.17065/huniibf.320139
  • Yılmaz, B. & Şahin, İ. E. (2009). Türev Ürünlerinden Swap İşlemlerinin Mali Risk Yönetiminde Kullanımı. Sosyal Ekonomik Araştırmalar Dergisi, 9(17), 393-406.
Toplam 57 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Ekonomi
Bölüm Makaleler
Yazarlar

Emrah Noyan 0000-0002-4482-0110

Aylin İdikut Özpençe 0000-0002-4087-5202

Erken Görünüm Tarihi 12 Aralık 2023
Yayımlanma Tarihi 31 Aralık 2023
Yayımlandığı Sayı Yıl 2023 Cilt: 12 Sayı: 5

Kaynak Göster

APA Noyan, E., & İdikut Özpençe, A. (2023). The Relationship Between Credit Default Swap (Cds), Central Government External Debt Stock, and the Current Account Deficit in Türkiye. İnsan Ve Toplum Bilimleri Araştırmaları Dergisi, 12(5), 2625-2649. https://doi.org/10.15869/itobiad.1307972
İnsan ve Toplum Bilimleri Araştırmaları Dergisi  Creative Commons Atıf-GayriTicari 4.0 Uluslararası Lisansı (CC BY NC) ile lisanslanmıştır.