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

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

Anahtar Kelimeler

• CDS
• Cari Açık
• Ekonomik Büyüme
• Nedensellik Analizi

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

Abstract

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.

Keywords

• Current Account Deficit
• Credit Default Swap
• Economic Growth
• Causality Analysis

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