The Causality Relationship between Credit Default Swaps (CDS) and Portfolio Investments: The Case of Türkiye

Abstract

This study examines the causality relationship between portfolio investments and credit default swaps (CDS) in Türkiye. Analysing the dynamics between portfolio investments and CDS premiums, two important variables for financial markets is critical to understanding how risk perception and investment decisions are affected. While portfolio investments are generally considered an indicator of the confidence of foreign investors in the country's economy, CDS premiums are an important risk measure that reflects the country's debt risk and the risk perception of market participants. In this context, examining the relationships between the two variables contributes to the understanding of the effects of investor behavior and risk perception on macroeconomic indicators in financial markets. In the study, the Granger causality test was applied using data from the period 2014Q1-2024Q1. The results obtained show that CDS premiums have a significant and unidirectional causal effect on portfolio investments. Increases in CDS premiums increase investors' risk perception and lead to a decrease in portfolio investments. On the other hand, no causal effect of portfolio investments on CDS premiums was found. These findings emphasize the importance of risk management in terms of portfolio investments in Türkiye and reveal that CDS premiums play a role in investor decisions.

Keywords

• Credit Default Swaps
• Portfolio Investments
• Granger Causality Test

Kredi Temerrüt Takasları (CDS) ile Portfolyo Yatırımları Arasındaki Nedensellik İlişkisi: Türkiye Örneği

Abstract

Bu çalışma, Türkiye’deki portföy yatırımları ile kredi temerrüt takasları (CDS) arasındaki nedensellik ilişkisini incelemektedir. Finansal piyasalar için önemli iki değişken olan portföy yatırımları ve CDS primleri arasındaki dinamiklerin analiz edilmesi, risk algısının ve yatırım kararlarının nasıl etkilendiğini anlamak açısından kritik öneme sahiptir. Portföy yatırımları, genellikle yabancı yatırımcıların ülke ekonomisine duyduğu güvenin bir göstergesi olarak kabul edilirken, CDS primleri ise ülkenin borçlanma riskini ve piyasa katılımcılarının risk algısını yansıtan önemli bir risk ölçütüdür. Bu bağlamda, iki değişken arasındaki ilişkilerin incelenmesi, finansal piyasalarda yatırımcı davranışlarının ve risk algısının makroekonomik göstergeler üzerindeki etkilerinin anlaşılmasına katkı sağlamaktadır. Çalışmada, 2014Q1-2024Q1 dönemine ait veriler kullanılarak Granger nedensellik testi uygulanmıştır. Elde edilen sonuçlar, CDS primlerinin portföy yatırımları üzerinde anlamlı ve tek yönlü bir nedensellik etkisi olduğunu göstermektedir. CDS primlerindeki artışlar, yatırımcıların risk algısını yükselterek portföy yatırımlarında azalmaya yol açmaktadır. Buna karşın, portföy yatırımlarının CDS primleri üzerinde herhangi bir nedensellik etkisi bulunmamıştır. Bu bulgular, Türkiye'de portföy yatırımları açısından risk yönetiminin önemini vurgulamakta ve CDS primlerinin yatırımcı kararlarında rol oynadığını ortaya koymaktadır.

Keywords

• Kredi Temerrüt Swapları
• Portföy Yatırımları
• Granger Nedensellik Testi

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