The Relation Between Global Risk Factors and Sovereign Credit Default Swap Spreads During The European Sovereign Debt Crisis: Evidence From 19 Countries

Year 2017, , 1 - 18, 20.11.2017

Aydın Yüksel Aslı Yüksel

https://doi.org/10.25294/auiibfd.357603

Cited By: 10

Abstract

This paper uses sovereign credit default swap (CDS)
data on 19 countries to examine how global risk factors affect both the change
and the volatility of CDS spreads during the European sovereign debt crisis
period. In the analysis, a set of variables identified by prior research are
used in a Threshold GARCH setting. The findings indicate that, for majority of
countries, both the extent of Greek sovereign debt crisis and global risk
aversion have significant effect on the change of sovereign CDS spreads. Both
factors are also significantly related to the volatility of sovereign CDS
spreads for a number of countries.

Keywords

Sovereign Credit Default Swap, Global Risk Factors, European Sovereign Debt Crisis, Threshold GARCH(p, q) Model, VIX Index

Avrupa Borç Krizi Döneminde Global Risk Faktörleri ve Ülke Kredi Temerrüt Takası Primi İlişkisi: 19 Ülke Örneği

Abstract

Bu
makale 19 ülke için Avrupa borç krizi döneminde ülke kredi temerrüt takası
primindeki değişimi  ve volatiliteyi
etkileyen global risk faktörlerini incelemektedir. Çalışmada, literatürde
kullanılmış olan global ekonomik durum, likidite, risk algısı ve Yunanistan
borç krizinin etkisini temsil eden faktörleri içeren bir Eşik Değerli GARCH
modeli kullanılmıştır. Analiz sonuçları, incelenen ülkelerin tamamına yakınında,
Yunanistan borç krizinin seyrinin ülke kredi temerrüt takası primi ile ilişkili
olduğunu göstermektedir. İncelenen ülkelerin çoğunda, global risk algısını
temsil eden VIX endeksi ile ülke kredi temerrüt takası primindeki değişim
arasında pozitif ilişki bulunmaktadır. Aynı faktörlerin birçok ülke için kredi
temerrüt takası priminin volatilitesi ile de ilişkili olduğu gözlemlenmiştir.

Keywords

Ülke Kredi Temerrüt Takası, Global Risk Faktörleri, Avrupa Borç Krizi, Eşik Değerli GARCH(p, q) Modeli, VIX Endeksi

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