Kredi Temerrüt Swapları ve Makroekonomik Değişkenler Arasındaki İlişkinin Analizi

Abstract

Kredi Temerrüt Swap (CDS) primleri, ülkelerin kredi riskinin bir göstergesi olarak kabul edilmektedir. Bu çalışmada Türkiye’nin CDS primlerini etkileyen makroekonomik faktörlerin belirlenmesi amaçlanmaktadır. Bu amaç doğrultusunda, makroekonomik faktörler arasından dış borç stoku, reel efektif döviz kuru, uluslararası altın ve döviz rezervleri değişkenleri ele alınmış ve 2008:Q4-2022:Q2 dönemi üçer aylık veriler kullanılarak analizler gerçekleştirilmiştir. Çalışma kapsamında Doğrusal Olmayan Otoregresif Gecikmesi Dağıtılmış (NARDL) modeller kullanılarak, makroekonomik faktörlerde meydana gelen pozitif ve negatif şokların etkilerinin ayrı ayrı gözlemlenmesi amaçlanmıştır. NARDL modelinden elde edilen bulgular, dış borç stokunda meydana gelecek artışın CDS primlerinde artışa neden olacağını, dış borç stokunda meydana gelecek azalışın ise CDS primlerinde azalışa neden olacağını göstermektedir. Yine elde edilen sonuçlar, reel efektif döviz kurunda meydana gelecek artışların CDS primlerinde azalışa neden olacağını göstermektedir. Uluslararası döviz rezervlerinde meydana gelecek artışlar CDS primleri üzerinde anlamlı etkiye sahip iken, döviz rezervlerinde meydana gelecek azalışların CDS primleri üzerinde anlamlı etkiye sahip olmadığı belirlenmiştir. Son olarak uluslararası altın rezervleri değerlendirildiğinde, rezervlerin Türkiye’nin CDS primleri üzerinde uzun dönemde etkin olduğu ve etkinin asimetrik olduğu sonucuna ulaşılmıştır.

Keywords

• CDS
• Makroekonomik değişkenler
• NARDL

Analysis of the Relationship between Credit Default Swaps and Macroeconomic Variables

Abstract

Credit Default Swap (CDS) premiums are accepted as an indicator of countries' credit risk. The aim of the study is to determine the macroeconomic factors which affect Turkey's CDS premiums. For this purpose, among the macroeconomic factors, external debt stock, real effective exchange rate, international gold, and foreign exchange reserves are considered, and quarterly data for the period of 2008: Q4-2022: Q2 are analyzed. Within the scope of the study, it is aimed to observe the effects of positive and negative shocks on macroeconomic factors separately by using Nonlinear Autoregressive Distributed Lag (NARDL) models. According to the long-term model, positive shocks in external debt cause an increase in CDS premiums, while negative shocks in external debt cause a decrease in CDS premiums. Moreover, the real effective exchange rate has a negative and statistically significant effect on CDS premiums. In addition, while positive shocks in international foreign exchange reserves have a statistically significant effect on CDS premiums, the effects of negative shocks in international foreign exchange reserves are not statistically significant. On the other hand, positive and negative shocks in international gold reserves have a statistically significant effect on CDS premiums, and the effect is asymmetrical.

Keywords

• CDS
• Macroeconomic Variables
• NARDL

References

1. Aizenman, J., Jinjarak, Y. and Park, D. (2013). Fundamentals and sovereign risk of emerging markets (NBER Working Paper Series No. 18963). Retrieved from http://www.nber.org/papers/w18963
2. Akın, T. ve Işıklı, E. (2020). Kredi temerrüt swapı, ekonomik büyüme ve cari açık ilişkisi: Türkiye örneği. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 8, 91-98. https://doi.org/10.18506/anemon.616029
3. Akkaya, M. (2017). Türk tahvillerinin CDS primlerini etkileyen içsel faktörlerin analizi. Maliye ve Finans Yazıları, 107, 130-145. https://doi.org/10.33203/mfy.307177
4. Akkuş, Ö. (2021). CDS risk primleri ile dış borçlanma ilişkisi: Simetrik ve asimetrik nedensellik analizi. Uluslararası İktisadi ve İdari İncelemeler Dergisi, 31, 215–228. https://doi.org/10.18092/ulikidince.928425
5. Aksoylu, E. ve Görmüş, Ş. (2018). Gelişmekte olan ülkelerde ülke riski göstergesi olarak kredi temerrüt swapları: Asimetrik nedensellik yöntemi. Ekonomik ve Sosyal Araştırmalar Dergisi, 14(1), 15-33. Erişim adresi: https://dergipark.org.tr/tr/pub/esad/
6. Arslan, M., Kuzu, S. ve Çelik, İ.E. (2022). CDS primleri üzerinde etkili olan makroekonomik göstergelerin araştırılması: Türkiye örneği. Ekev Akademi Dergisi, 90, 331-346. Erişim adresi: https://dergipark.org.tr/tr/pub/sosekev/
7. Becker, R., Enders, W. and Lee, J. (2006). A Stationary test in the presence of an unknown number of smooth breaks. Journal of Time Series Analysis, 27(3), 381-409. https://doi.org/10.1111/j.1467-9892.2006.00478.x BIS. (2023). OTC derivatives outstanding [Dataset]. Retrieved from https://www.bis.org/statistics/derstats.htm
8. Carr, P. and Wu, L. (2007). Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options. Journal of Banking & Finance, 31(8), 2383-2403. https://doi.org/10.1016/j.jbankfin.2006.09.008

9. Czech, M. (2021). Assessment of the credit risk of Poland based on sovereign credit default swap spreads during the Covid-19 pandemic. Ekonomia I Prawo. Economics and Law, 20(3), 497–511. https://doi.org/10.12775/EiP.2021.030
10. Çelik, A. (2022). Dynamics of exchange rate fluctuations in Turkey: Evidence from symmetric and asymmetric causality analysis. Ekonomika, 101(1), 125-141. https://doi.org/10.15388/Ekon.2022.101.1.7
11. Çonkar, M.K. ve Vergili, G. (2017). Kredi temerrüt swapları ile döviz kurları arasındaki ilişki: Türkiye için ampirik bir analiz. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(4), 59-66. https://doi.org/10.25287/ohuiibf.310704
12. Daehler, T.B., Aizenman, J. and Jinjarak, Y. (2021). Emerging markets sovereign CDS spreads during Covid-19: Economic versus epidemiology news. Economic Modelling, 100, 105504. https://doi.org/10.1016/j.econmod.2021.105504
13. Della Corte, P., Sarno, L., Schmeling, M. and Wagner, C. (2021). Exchange rates and sovereign risk. Management Science, 68(8), 5591-5617. https://doi.org/10.1287/mnsc.2021.4115
14. Dickey, D.A. and Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427-431. https://doi.org/10.2307/2286348
15. Dickey, D.A. and Fuller, W.A. (1981). Likelihood ratio statistics for autoregressive time series with unit root. Econometrica, 49(4), 1057-1072. https://doi.org/10.2307/1912517
16. Durgun-Kaygısız, A. ve İşcan, H. (2020). Kredi temerrüt takası ve döviz kuru ilişkisi, Türkiye örneği. Sakarya İktisat Dergisi, 10(2), 167-179. Erişim adresi: https://dergipark.org.tr/tr/pub/sid/
17. Enders, W. and Lee, J. (2012). The flexible Fourier form and Dickey-Fuller type unit root test. Economics Letters, 117, 196-199. https://doi.org/10.1016/j.econlet.2012.04.081
18. Erer, D. (2022). Farklı ekonomik rejimler altında küresel belirsizliklerin ülke kredi risk primi üzerine etkisi: Türkiye örneği. Maliye Dergisi, 183, 1-23. Erişim adresi: https://hmb.gov.tr/
19. Eyssell, T., Hung-Gay, F. and Zhang, G. (2013). Determinants and price discovery of china sovereign credit default swaps. China Economic Review, 24, 1-15. https://doi.org/10.1016/j.chieco.2012.09.003
20. Ferrucci, G. (2003). Empirical determinants of emerging market economies’ sovereign bond spreads (Bank of England Working Paper No. 205). http://dx.doi.org/10.2139/ssrn.597422
21. Fontana, A. and Scheicher, M. (2010). An analysis of euro area sovereign CDS (European Central Bank Working Paper Series No. 1271). Erişim adresi: http://ssrn.com/abstract_id=1715483
22. Hassan, M.K., Kayhan, S. and Bayat, T. (2016). Does credit default swap spread affect the value of the Turkish lira against the U.S. Dollar? Borsa İstanbul Review, 17(1), 1-9. https://doi.org/10.1016/j.bir.2016.10.002
23. Ho, S.H. (2016). Long and short-runs determinants of the sovereign CDS spread in emerging countries. Research in International Business and Finance, 36, 579–590, http://dx.doi.org/10.1016/j.ribaf.2015.07.001
24. Huyugüzel Kışla, G., Muradoğlu, Y.G. and Önder, A.Ö. (2022). Spillovers from one country’s sovereign debt to CDS (Credit Default Swap) spreads of others during the European crisis: A spatial approach. Journal of Asset Management, 23, 277-296. https://doi.org/10.1057/s41260-022-00263-3
25. İşcanoğlu-Çekiç, A. (2011). Pricing and hedging of constant proportion debt obligations (Unpublished doctoral dissertation). The Graduate School of Applied Mathematics, Middle East Technical University, Ankara.
26. Jaramillo, L. and Tejada, M. (2011). Sovereign credit ratings and spreads in emerging markets: Does investment grade matter? (IMF Working Paper No. 11/44). Retrieved from http://www.imf.org/external/pubs/cat/longres.aspx?sk=24677
27. Jüttner, D.J., Chung, D. and Leung, W. (2006). Emerging market bond returns -An investor perspective. Journal of Multinational Financial Management, 16(2), 105-121. https://doi.org/10.1016/j.mulfin.2005.05.005
28. Kartal, M.T., Depren, S.K. and Depren, Ö. (2022), Sovereign credit default swap (CDS) spreads changes in various economic conjunctures: Evidence from Turkey by machine learning algorithms. Journal of Management and Economics Research, 20(1), 354-374. https://doi.org/10.11611/yead.1076897
29. Kębłowski, P. (2011). The behaviour of exchange rates in the Central European countries and credit default risk premiums. Central European Journal of Economic Modelling and Econometrics, 3(4), 221-237. Erişim adresi: http://cejeme.eu/
30. Kılcı, E.N. (2017). CDS Primleri ile ülke kredi riski arasındaki ilişkinin değerlendirilmesi: Türkiye örneği. Maliye Finans Yazıları, 108, 71-86. https://doi.org/10.33203/mfy.357664
31. Kılcı, E.N. (2019). Dış borçların ülke CDS primleri üzerindeki etkisinin incelenmesi: Türkiye örneği. Sayıştay Dergisi, 112, 75-92. Erişim adresi: https://dergipark.org.tr/tr/pub/sayistay/
32. Leybourne, S.J. and Newbold, P. (2003). Spurious rejections by cointegration tests induced by structural breaks. Applied Economics, 35(9), 1117-1121. https://doi.org/10.1080/0203684032000082068
33. Liu, C., Li, J., Sun, X. and Chen, J. (2021). Multi-scale interactions between Turkish lira exchange rates and sovereign CDS in Europe and Asia. Applied Economics Letters, 28(7), 599-607, https://doi.org/10.1080/13504851.2020.1765961
34. Liu, Y. and Morley, B. (2012). Sovereign credit default swaps and the macroeconomy. Applied Economics Letters, 19(2), 129-132. https://doi.org/10.1080/13504851.2011.568390
35. Liu, Y. and Morley, B. (2013). Sovereign credit ratings, the macroeconomy and credit default swap spreads. Brussels Economic Review, 56(3/4), 335-348. Erişim adresi: https://dipot.ulb.ac.be/
36. Naifar, N. (2020). What explains the sovereign credit default swap spreads changes in the GCC region? Journal of Risk Financial Management, 13, 245. https://doi.org/10.3390/jrfm13100245
37. Özgür, M.I. ve Çelik, S. (2021). Türkiye ekonomisinde seçim dönemlerinde CDS primini etkileyen faktörlerin analizi: 2002-2018 dönemi. Van Yüzüncü Yıl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 6(12), 106-125. Erişim adresi: https://dergipark.org.tr/tr/pub/vanyyuiibfd/
38. Pesaran, M.H., Shin, Y. and Smith, R.J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16, 289-326. https://doi.org/10.1002/jae.616
39. Phillips, P.C.B. and Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75, 335-346. http://dx.doi.org/10.1093/biomet/75.2.335
40. Ramos-Francia, M. and Rangel, J. (2012). Revisiting the effects of country specific fundamentals on sovereign default risk. Economic Bulletin, 32(4), 3008-3016. Retrieved from https://ssrn.com/abstract=2178794
41. Rodríguez, I.M., Dandapani, K. and Lawrence, E.R. (2019). Measuring sovereign risk: Are CDS spreads better than sovereign credit ratings? Financial Management, 48(1), 229-256. https://doi.org/10.1111/fima.12223
42. Rodrigues, P.M.M. and Taylor, A.M.R. (2012). The flexible fourier form and local generalised least squares de-trended unit root tests. Oxford Bulletin of Economics and Statistics, 74(5), 736-759. https://doi.org/10.1111/j.1468-0084.2011.00665.x
43. Sand, H.J. (2012). The impact of macro-economic variables on the sovereign CDS spreads of the Eurozone countries (Unpublished doctoral dissertation). University of Groningen, Netherlands.
44. Shin, Y., Yu, B. and Greenwood-Nimmo, N. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. R.C. Sickles and W.C. Horrace (Eds.), In Festschriftin honor of Peter
45. Schmidt: Econometric Methods and Applications (pp. 281-314). New York: Springer.
46. Simonyan, S. and Bayraktar, S. (2022). Asymmetric dynamics in sovereign credit default swaps pricing: Evidence from emerging countries. International Journal of Emerging Markets. Advance online publication. https://doi.org/10.1108/IJOEM-03-2021-0469
47. Stolbov, M. (2017). Determinants of sovereign credit risk: The case of Russia. Post-Communist Economies, 29(1), 51-70. https://doi.org/10.1080/14631377.2016.1237045
48. Ustaoğlu, E. (2022). Analysis of relations between CDS, stock market, and exchange rate: Evidence from Covid-19. Ekonomi, Politika & Finans Araştırmaları Dergisi, 7(2), 301-315. https://doi.org/10.30784/epfad.1085420
49. Wang, A.T., Yang, S.Y. and Yang, N.T. (2013). Information transmission between sovereign debt CDS and other financial factors – The case of Latin America. North American Journal of Economics and Finance, 26, 586–601. https://doi.org/10.1016/j.najef.2013.02.023
50. Zhang, G., Yau, J. and Fung, H.G. (2009). Do credit default swaps predict currency values? Applied Financial Economics, 20(6), 439-458. https://doi.org/10.1080/09603100903459774
51. Zivot, E. and Andrews, D.W.K. (1992). Further evidence on the great crash, the oil price shock and the unit root hypothesis. Journal of Business and Economic Statistics, 10(3), 251-270. https://doi.org/10.2307/1391541