A REVIEW OF THE CAUSALITY RELATIONSHIP BETWEEN CDS SPREADS AND ECONOMIC AND FINANCIAL VARIABLES OF THE SOVEREIGN: TURKEY CASE

Year 2017, Volume: 6 Issue: 12, 145 - 154, 26.12.2017

Esra N. Kılcı

Abstract

Sound assessment of macroeconomic and financial outlook has great importance for international investors. In
the decision making process of international investors, a very important indicator, which the investors review
in evaluating a country’s economic and financial performance is sovereign credit risk. Sovereign credit risk
both reflects the economic and financial performance of a country and is a meaningful measure of the country’s
resistance against economic and financial shocks, directly affects the borrowing costs the country faces. CDS
spreads are significantly used in measuring the sovereign credit risk and evaluating the risk apetite of foreign
investors against the country. In this study, the relationship between macroeconomic and financial indicators
which leads to increase of sovereign credit risk in Turkey and CDS spreads is analyzed and tested that there is
a causality between these variables by using Toda-Yamamoto Causality Test. 

Keywords

CDS Spreads, Sovereign Credit Risk, Zivot-Andrews Unit-Root Test, Toda-Yamamoto Causality Test

CDS PRİMLERİ İLE BİR ÜLKENİN EKONOMİK VE FİNANSAL DEĞİŞKENLERİ ARASINDAKİ NEDENSELLİK İLİŞKİSİNİN DEĞERLENDİRİLMESİ: TÜRKİYE ÖRNEĞİ

Abstract

Bir ülkenin ekonomik ve finansal görünümünün doğru şekilde değerlendirilmesi, uluslararası yatırımcılar
açısından büyük önem taşımaktadır. Yatırımcıların karar süreçlerinde, ülkenin ekonomik ve finansal
performansını değerlendirirken inceledikleri önemli bir gösterge, ülke kredi riskidir. Ülke kredi riski, bir
ülkenin ekonomik ve finansal performansını yansıtmasının ve bir ülkenin ekonomik ve finansal şoklara karşı
dayanıklılığının anlamlı bir ölçüsü olmasının sonucunda, dış borçlanmalarda ülkenin karşılaşacağı kaynak
maliyetlerini doğrudan etkilemektedir. CDS (Kredi Temerrüt Swapları) Primleri ise, ülke kredi riskinin
ölçülmesinde ve özellikle uluslararası yatırımcıların ülkeye yönelik risk algısının değerlendirilmesinde
kullanılan önemli bir değişkendir. Bu çalışmada, Türkiye açısından, ülke kredi riskinin artmasına yol açan
makroekonomik ve finansal değişkenler ile ülke CDS primleri arasındaki ilişki analiz edilmiş; TodaYamamoto
Nedensellik Testi kullanılarak CDS primleri ile söz konusu değişkenler arasındaki nedensellik test
edilmiştir.

Keywords

CDS Primleri, Ülke Kredi Riski, Zivot-Andreas Birim-Kök Testi

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