Ülke Kredi Riskinin Uluslararası Ticaret ve Doğrudan Yabancı Yatırımlar Üzerindeki Etkisi: Türkiye Örneği

Year 2022, , 553 - 568, 27.06.2022

Ayberk Şeker , Mahmut Kadir İşgüven

https://doi.org/10.32709/akusosbil.856263

Cited By: 1

Abstract

Bir ülkenin borçlarını ödemekten kaçınması veya ödeyemeyecek duruma gelmesi olarak tanımlanan ülke kredi riskinin gerek yatırımcılar gerekse de diğer ülkeler üzerinde etkisi bulunmaktadır. Kredi temerrüt takasları, ülke kredi riskinin değerlendirilmesinde kullanılan göstergelerden biridir. Ülkelerin finansal piyasalarının derinliği ve izledikleri uluslararası ticaret politikaları ile değişebilen ülke kredi riski; uluslararası ticaret ve doğrudan yabancı yatırımları da etkilemektedir. Borç verenlerin veya yatırımcıların bilgilere hızlıca ulaşmasının önemli araçlarından biri olarak değerlendirilen kredi temerrüt takaslarının, uluslararası ticaret ve doğrudan yabancı yatırımlar üzerindeki etkisinin incelenmesi bu yüzden önem arz etmektedir. Türkiye’de kredi temerrüt risk priminin Türkiye’ye gerçekleştirilen doğrudan yabancı yatırımlar ve ithalat üzerindeki etkileri bu çalışmanın odak noktasını oluşturmaktadır. Çalışmanın analiz bölümünde öncelikle değişkenlerin birim kök analizler gerçekleştirilmiş, ardından kredi risk priminin Türkiye’ye gerçekleştirilen doğrudan yabancı yatırımlar ve ithalat üzerindeki kısa ve uzun dönemli ilişkilerini test etmek için ARDL sınır testine başvurulmuştur. Testler sonucunda, kredi temerrüt risk primindeki artışların Türkiye’ye gerçekleştirilen doğrudan yabancı yatırımlar ve ithalat üzerinde uzun dönemde negatif yönlü bir etkisi olduğu tespit edilmiştir. Frekans alanı nedensellik testiyle gerçekleştirilen analizler sonucunda ise kredi risk priminden Türkiye’nin ithalat hacmine doğru orta ve uzun dönemde, doğrudan yabancı yatırımlara ise orta vadede tek yönlü bir nedensellik ilişkisinin bulunduğu tespit edilmiştir. Sonuçta, kredi temerrüt risk primi kısa dönem borç ödeme yükümlülüklerine ilişkin bir gösterge olmasına rağmen, Türkiye’ye ihracat veya doğrudan yabancı yatırım planlayan firmaların orta ve uzun dönemdeki ekonomik durumu tahmin etmelerinde de önemli bir gösterge olacağı ortaya koyulmuştur. 

Keywords

Uluslararası ticaret, doğrudan yabancı yatırımlar, kredi temerrüt risk primi (CDS), ARDL sınır testi, frekans alanı nedensellik testi

The Effect of Sovereign Credit Risk on International Trade and Foreign Direct Investment: Case of Turkey

Abstract

Sovereign credit risk is defined as a country’s ability or willingness to pay its debts and important for both investors and other countries. One of the indicators used in analyzing sovereign credit risk is credit default swaps. Sovereign credit risk may change by the level of financial deepening and international trade policies while international trade and foreign direct investments are affected by sovereign credit risk. Credit default swaps are an important tool for lenders or investors to gather information fast and its effect on international trade and foreign direct investments should be analyzed. The focus of this study is to analyze the effect of Turkey’s credit default swap spreads on imports to Turkey and foreign direct investments. In analysis, following unit root tests, ARDL bound test is performed to investigate the short- and long-term relationships between Turkey’s CDS spread and imports to Turkey and foreign direct investments. Our results indicate imports to Turkey and foreign direct investments are affected negatively in the long-term by the increases in CDS spread. Frequency domain causality test results suggests medium- and long-term unidirectional relationships between imports to Turkey and CDS spread whereas suggesting a medium-term unidirectional relationship to foreign direct investment. Accordingly, CDS spread is an important indicator on analyzing imports and foreign direct investment to Turkey in medium- and long-term economic conditions despite indicating short-term financial liabilities. 

Keywords

International trade, foreign direct investments, credit default swap, ARDL bound test, frequency domain causality test

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