Türkiye’nin Derecelendirme Notları Ve Kredi Temerrüt Swap Primlerinin Ekonomik Ve Sosyal Olaylara Tepkisinin Analizi

Yıl 2015, Sayı: 103, 85 - 111, 30.04.2015

Bekir Kaya Emine Öner Kaya Kürşat Yalçıner

https://doi.org/10.33203/mfy.307953

Cited By: 5

Öz

Kredi derecelendirme notları ve kredi temerrüt swap primleri

bir ülkenin kredi riskinin ölçülmesinde iki temel göstergedir. Ekonomik

ve sosyal olaylara verilen tepkinin ölçülmesi hangi göstergenin

ülke riskini yansıtmada daha etkin olduğunu test etme imkânı

sağlamaktadır. Çoklu doğrusal regresyon yöntemi ve günlük veriler

kullanılarak, 01.01.2007 ile 22.04.2014 tarihleri arasındaki

dönemin, Türkiye ölçeğinde analiz edildiği çalışmada, derecelendirme

notları ve CDS primlerinin aynı olaylara her zaman aynı

tepkiyi vermediği tespit edilmiştir.

Anahtar Kelimeler

Kredi Temerrüt Swap Primi, Derecelendirme Notu, Çoklu Doğrusal Regresyon

ANALYSIS OF THE RESPONSES OF TURKEY’S RATINGS AND CREDIT DEFAULT SWAP SPREADS TO THE ECONOMIC AND SOCIAL EVENTS

Öz

ABSTRACT

Credit ratings and credit default swap spreads are two main

indicators for the measurement of a country’s credit risk. Measurement

of the response to the economic and social events provide

the opportunity to test which indicator is more effective to reflect

country risk. By using multiple linear regression method and daily

data, it was determined that ratings and credit default swaps are

not always give the same response to the same events for the period

between January 1, 2007 and April 22, 2014 in Turkey.

Anahtar Kelimeler

Credit Default Swap Spread, Credit Rating, Multiple Linear Regression

Kaynakça

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