Time-Dependent Causal Relationships Between Credit Default Swaps, Effective Funding Rate, Exchange Rate-Protected Deposit Scheme, and Stock Market Returns: Evidence from Turkiye

Ferhat Öztutuş

doi:10.25229/beta.1861489

TR EN

Kredi Risk Primi, Efektif Faiz Oranı, Kur Korumalı Mevduat ve Borsa Getirileri Arasındaki Zamana Bağlı Nedensellik İlişkisi: Türkiye’den Kanıtlar

Abstract

Bu çalışmanın amacı, Türkiye’de kredi risk primi, efektif faiz oranları, döviz korumalı mevduat (KKM) hacmi ve borsa getirileri arasındaki ilişkiyi zamanla değişen Granger nedensellik yöntemini kullanarak araştırmaktır. Ekonometrik analizler 18 Şubat 2022 ile 17 Ekim 2025 tarihleri arasındaki haftalık veriler aracılığıyla gerçekleştirilmiştir. Analizler, dalgacık tabanlı ve zamanla değişen Fourier Toda-Yamamoto nedensellik yöntemi ile gerçekleştirilmiştir. Ampirik bulgular değişkenler arasındaki nedenselliğin zaman içinde değiştiğini ortaya koymaktadır. Buna göre, kısa dönemde CDS ve BIST arasındaki çift yönlü nedensellik daha baskındır. Orta ve uzun vadede ise nedensellik ağırlıklı olarak BIST’ten CDS’e doğru olup, hisse senedi piyasasının finansal risklere daha çok tepki verdiğini ima etmektedir. EFR’den BIST’e doğru istatistiksel olarak anlamlı bir nedensellik bulunmazken, orta ve uzun vadede ters yönlü bir ilişki tespit edilmiştir. KKM ile ilgili olarak, BIST ile nedensellik tüm zaman ufuklarında mevcutken, BIST’ten KKM’ye doğru nedensellik sadece kısa ve orta vadede gözlenmektedir. Sonuç olarak, çalışmanın bulguları karma para politikaları altında finansal piyasaların istikrarı konusunda önemli ipuçları sunmakta ve Türkiye’deki makrofinansal risk yönetimi için erken uyarı göstergeleri hakkında bilgi vermektedir.

Keywords

Borsa İstanbul, Dalgacık-bazlı Fourier Toda-Yamamoto Nedensellik Testi, Efektif Faiz Oranı, Kredi Risk Primi, Kur Korumalı Mevduat Sistemi

Time-Dependent Causal Relationships Between Credit Default Swaps, Effective Funding Rate, Exchange Rate-Protected Deposit Scheme, and Stock Market Returns: Evidence from Turkiye

Abstract

The aim of this paper is to investigate the relationship between the credit risk premium, effective interest rates, the volume of the exchange rate-protected deposits (ERPD), and stock market returns in Turkiye using the time-varying Granger causality method. Econometric analyses are conducted via weekly data from February 18, 2022 to October 17, 2025. The analyses are implemented via a wavelet-based and time-varying Fourier Toda-Yamamoto causality method. Empirical findings reveal that the causality between variables changes over time. Accordingly, the bidirectional causality between CDS and BIST is more dominant in the short run. In the medium and long run, causality is predominantly from BIST to CDS, implying that the stock market provides signals for financial risks. While there is no statistically significant causality from EFR to BIST, an inverse relationship is found in the medium and long run. Regarding the ERPD, causality with BIST is present across all time horizons, whereas causality from BIST to ERPD is observed only in the short and medium terms. Overall, this paper provides valuable insights into the stability of financial markets amid mixed monetary policies and offers early-warning indicators for macro-financial risk management in Turkiye.

Keywords

Borsa Istanbul, Wavelet-based Fourier Toda-Yamamoto Causality Test, Effective Interest Rate, Credit Default Swap, Exchange Rate-Protected Deposit Scheme

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Details

Primary Language

English

Subjects

Econometric and Statistical Methods, Applied Macroeconometrics, Time-Series Analysis, Monetary Policy, Capital Market, International Finance, Behavioural Economy

Journal Section

Research Article

Authors

Ferhat Öztutuş ^*
0000-0001-6146-144X
Türkiye

Early Pub Date

June 28, 2026

Publication Date

June 28, 2026

Submission Date

January 12, 2026

Acceptance Date

June 4, 2026

Published in Issue

Year 2026 Volume: 11 Number: 2

DOI

https://doi.org/10.25229/beta.1861489

IZ

https://izlik.org/JA86ES69HE

APA

Öztutuş, F. (2026). Time-Dependent Causal Relationships Between Credit Default Swaps, Effective Funding Rate, Exchange Rate-Protected Deposit Scheme, and Stock Market Returns: Evidence from Turkiye. Bulletin of Economic Theory and Analysis, 11(2), 1343-1373. https://doi.org/10.25229/beta.1861489

AMA

1.Öztutuş F. Time-Dependent Causal Relationships Between Credit Default Swaps, Effective Funding Rate, Exchange Rate-Protected Deposit Scheme, and Stock Market Returns: Evidence from Turkiye. Beta. 2026;11(2):1343-1373. doi:10.25229/beta.1861489

Chicago

Öztutuş, Ferhat. 2026. “Time-Dependent Causal Relationships Between Credit Default Swaps, Effective Funding Rate, Exchange Rate-Protected Deposit Scheme, and Stock Market Returns: Evidence from Turkiye”. Bulletin of Economic Theory and Analysis 11 (2): 1343-73. https://doi.org/10.25229/beta.1861489.

EndNote

Öztutuş F (June 1, 2026) Time-Dependent Causal Relationships Between Credit Default Swaps, Effective Funding Rate, Exchange Rate-Protected Deposit Scheme, and Stock Market Returns: Evidence from Turkiye. Bulletin of Economic Theory and Analysis 11 2 1343–1373.

IEEE

[1]F. Öztutuş, “Time-Dependent Causal Relationships Between Credit Default Swaps, Effective Funding Rate, Exchange Rate-Protected Deposit Scheme, and Stock Market Returns: Evidence from Turkiye”, Beta, vol. 11, no. 2, pp. 1343–1373, June 2026, doi: 10.25229/beta.1861489.

ISNAD

Öztutuş, Ferhat. “Time-Dependent Causal Relationships Between Credit Default Swaps, Effective Funding Rate, Exchange Rate-Protected Deposit Scheme, and Stock Market Returns: Evidence from Turkiye”. Bulletin of Economic Theory and Analysis 11/2 (June 1, 2026): 1343-1373. https://doi.org/10.25229/beta.1861489.

JAMA

1.Öztutuş F. Time-Dependent Causal Relationships Between Credit Default Swaps, Effective Funding Rate, Exchange Rate-Protected Deposit Scheme, and Stock Market Returns: Evidence from Turkiye. Beta. 2026;11:1343–1373.

MLA

Öztutuş, Ferhat. “Time-Dependent Causal Relationships Between Credit Default Swaps, Effective Funding Rate, Exchange Rate-Protected Deposit Scheme, and Stock Market Returns: Evidence from Turkiye”. Bulletin of Economic Theory and Analysis, vol. 11, no. 2, June 2026, pp. 1343-7, doi:10.25229/beta.1861489.

Vancouver

1.Ferhat Öztutuş. Time-Dependent Causal Relationships Between Credit Default Swaps, Effective Funding Rate, Exchange Rate-Protected Deposit Scheme, and Stock Market Returns: Evidence from Turkiye. Beta. 2026 Jun. 1;11(2):1343-7. doi:10.25229/beta.1861489

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Kredi Risk Primi, Efektif Faiz Oranı, Kur Korumalı Mevduat ve Borsa Getirileri Arasındaki Zamana Bağlı Nedensellik İlişkisi: Türkiye’den Kanıtlar

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Keywords

Time-Dependent Causal Relationships Between Credit Default Swaps, Effective Funding Rate, Exchange Rate-Protected Deposit Scheme, and Stock Market Returns: Evidence from Turkiye

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