EXAMINATION OF MACROECONOMIC DETERMINANTS OF CDS SPREADS: ARDL BOUND TESTING APPROACH

Year 2019, Volume: 8 Issue: 16, 33 - 49, 06.01.2020

Hikmet Akyol , Nuri Baltacı

Abstract

Nowadays, there are certain indicators developed by internationally respected institutions that allow to be informed about the macroeconomic structure of countries. Credit default swaps (CDS) are one of the indicators, which is an important tool for the credit risk of the countries. Accordingly, countries with high CDS spreads are considered to be at risk in terms of international capital investments. However, low CDS premiums indicate a lower risk for the country. In the literature, the macroeconomic variables affecting CDS were investigated extensively. Especially, depending on the increasing economic weights of developing countries, the variables that affect their CDS spreads have gained more importance. This is affecting Turkey's CDS spreads domestic and global variables were examined in the research that is going on. For this purpose, the period of 2005Q2-2018Q4 was analysed with ARDL bound testing approach. According to the analysis findings, local variables affecting Turkey's CDS spreads, real interest rates, BIST100 index returns, the current account balance, portfolio investments to the country and the inflation rate. Global variables affecting CDS spreads are VIX, MSCI-Europe index, FED interest rates, oil prices and US economic / monetary policy uncertainties.

Keywords

Credit Default Swaps, Credit Risk

CDS PRİMLERİNİN MAKROEKONOMİK BELİRLEYİCİLERİNİN İNCELENMESİ: ARDL SINIR TESTİ YAKLAŞIMI

Abstract

Günümüzde
ülkelerin makroekonomik yapısı hakkında bilgi sahibi olunmasına olanak sağlayan
ve uluslararası saygın kuruluşlar tarafından geliştirilmiş belli başlı
göstergeler bulunmaktadır. Kredi temerrüt takasları (CDS) söz konusu
göstergelerden birisi olup ülkelerin kredi riskinin görülmesini sağlayan önemli
bir araçtır. Buna göre CDS primleri yüksek olan ülkeler uluslararası sermaye
yatırımları açısından riskli görülmektedir. Buna karşın CDS primlerinin düşük
olması ülkenin daha düşük bir riske sahip olduğunu göstermektedir. Literatürde CDS’leri
etkileyen makroekonomik değişkenlerin neler olduğu yoğun olarak araştırılmıştır.
Özellikle gelişmekte olan ülkelerin artan ekonomik ağırlıklarına bağlı olarak onların
CDS primlerini etkileyen değişkenlerin neler olduğu konusu daha çok önem
kazanmıştır. Bu araştırmada Türkiye’nin CDS primlerini etkileyen yurtiçi ve
küresel değişkenlerin neler olduğu incelenmiştir. Bu amaç doğrultusunda,
2005Q2-2018Q4 dönemi ARDL sınır testi yaklaşımı ile analiz edilmiştir. Analiz
bulgularına göre, Türkiye’nin CDS primlerini etkileyen yerel değişkenler, reel
faiz oranları, BIST100 endeks getirileri, cari işlemler dengesi, ülkeye yapılan
portföy yatırımları ve enflasyon oranlarıdır. CDS primlerini etkileyen küresel
değişkenler ise VIX, MSCI-Europe endeksi, FED faiz oranları, petrol fiyatları
ve ABD ekonomik/parasal politika belirsizlikleridir.

Keywords

Kredi Temerrüt Takasları, Kredi Riski, ARDL Sınır Testi

References

• ABID, F. ve NAIFAR, N. (2006), “The Determinants of Credit Default Swap Rates: An Explanatory Study”, International Journal of Theoretical and Applied Finance, 9(1), 23–42.ANTON, S. G. (2011), “The local determinants of emerging market sovereign cds spreads in the context of the debt crisis. An explanatory study”, Scientific Annals of The Alexandru Ioan Cuza University Of Iasi: Economic Sciences Series, LVIII, 41-52.ALEXANDER, C. ve KAECK, A. (2008), “Regime Dependent Determinants Of Credit Default Swap Spreads”, Journal of Banking & Finance, 32, 1008–1021.BAKLACI, H. ve ARSLAN, İ. (2006), “An Empirical Analysis of Turkish Credit Default Swaps”, Ekonomik Yaklaşım, 17 (60-61), 111-121.BALTACI, N. ve AKYOL, H. (2016), “Examination of The Macroeconomic Variables Affecting Credit Default Swaps”, Journal of Economics Bibliography, 3(4), 610-625.BLOOMBERGHT (2018). [Erişim adresi: https://www.bloomberght.com/, Erişim Tarihi:25.06.2018]BRANDORF, C. ve HOLMBERG, J. (2010), Determinants of Sovereign Credit Default Swap Spreads For Pııgs - A Macroeconomic Approach, (Bachelore Thesis),Lund: Lund University School of Economics and Management.BYSTRÖM, H. (2005),” Credit Default Swaps and Equity Prices: The Itraxx CDS Index Market”, Working Papers. 24, Lund University, Department of Economics, revised, 1-14. CHOUDHRY, M. (2006), The Credit Default Swap Basis, New York: Bloomberg Press.CHİCAGO BOARD OPTİONS EXCHANGE (2019), “VIX Index Historical Data”, [Erişim adresi: http://www.cboe.com/ Erişim Tarihi: 15.04.2019]CME GROUP COMPANY (2010a). “Global Sovereign Credit Risk Report”, 1st Quarter 2010, 1-17. [Erişim adresi: http://www.cmavision.com, 15.06.2018]CME GROUP COMPANY (2010b),” Global Sovereign Credit Risk Report”, 2nd Quarter 2010, 1-19. [Erişim adresi: http://www.cmavision.com, Erişim Tarihi:15.06.2018]CME GROUP COMPANY (2010c), “Global Sovereign Credit Risk Report”, 3rd Quarter 2010, 1-24. [Erişim adresi: http://www.cmavision.com, Erişim Tarihi:15.06.2018]CME GROUP COMPANY (2011a), “Global Sovereign Credit Risk Report”, 4th Quarter 2010, 1-24. [Erişim adresi: http://www.cmavision.com, Erişim Tarihi:15.06.2018]CME GROUP COMPANY (2011b), “Global Sovereign Credit Risk Report”, 1st Quarter 2011, 1-36. [Erişim adresi: http://www.cmavision.com, Erişim Tarihi:15.06.2018]CME GROUP COMPANY (2011c),” Global Sovereign Credit Risk Report”, 2nd Quarter 2011, 1-21. [Erişim adresi: http://www.cmavision.com, Erişim Tarihi:15.06.2018]CME GROUP COMPANY. (2011d),” Global Sovereign Credit Risk Report”, 3rd Quarter 2011, 1-21. [Erişim adresi: http://www.cmavision.com, Erişim Tarihi:15.06.2018]CME GROUP COMPANY (2012a),” Global Sovereign Credit Risk Report”, 4th Quarter 2011, 1-24. [Erişim adresi: http://www.cmavision.com, Erişim Tarihi:15.06.2018]CME GROUP COMPANY (2012b), “Global Sovereign Credit Risk Report”, 1st Quarter 2012, 1-24. [Erişim adresi: http://www.cmavision.com, Erişim Tarihi:15.06.2018]CME GROUP COMPANY (2012c), “Global Sovereign Credit Risk Report”, 2nd Quarter 2012, 1-22. [Erişim adresi: http://www.cmavision.com, Erişim Tarihi:15.06.2018]CME GROUP COMPANY (2012d), “Global Sovereign Credit Risk Report”, 3rd Quarter 2012, 1-24. [Erişim adresi: http://www.cmavision.com, Erişim Tarihi:15.06.2018]CME GROUP COMPANY (2012e),” Global Sovereign Credit Risk Report”, 4th Quarter 2012, 1-27. [Erişim adresi: http://www.cmavision.com, Erişim Tarihi:15.06.2018]COSSIN, D. ve HRICKO, T. (2001), “Exploring for The Determinants of Credit Risk in Credit Default Swap Transaction Data”, EFMA, 1-66.DOSHI, H., JACOBS, K. ve ZURITA, C. (2014),”Economic and Financial Determinants of Credit Risk Premiums in The Sovereign Cds Market”, Working Paper, 1-43.ECONOMİC POLİCY UNCERTAİNTY INDEX (2019), [Erişim adresi: http://www.policyuncertainty.com/ Erişim Tarihi:15.02.2019]ERICSSON, J., JACOBS, K. ve OVIEDO, R. (2009), “The Determinants Of Credit Default Swap Premia”, Journal of Financial and Quantitative Analysis, 44(1), 109–132.ERSAN, İ. ve GÜNAY, S. (2009),” Kredi Riski Göstergesi Olarak Kredi Temerrüt Swapları (CDSs) ve Kapatma Davasının Türkiye Riski Üzerine Etkisine Dair Bir Uygulama”, Bankacılar Dergisi, 71, 3-22.FEDERAL RESERVE BANK OF ST. LOUIS (2019), “Economic Research”, [Erişim adresi: https://fred.stlouisfed.org/, Erişim tarihi:15.04.2019]FUNG, H.G., SIERRA, G. E., YAU, J. ve ZHANG, G. (2008) ,” Are The U.S. Stock Market and Credit Default Swap Market Related? Evidence From The Cdx Indices”, The journal of Alternative Investments, 11(1), 1-46GUESMI, K., DHAOUI, A., GOUTTE, S. ve ABİD, I. (2018),” On The Determinants Of İndustry-CDS İndex Spreads: Evidence From A Nonlinear Setting”, J. Int. Financ. Markets Inst. Money, 56, 233–254HASAN, I., LIU, L. ve ZHANG, G. (2016), “The Determinants of Global Bank Credit-Default-Swap Spreads”, Journal of Financial Services Research, 50(3), 275-309.HEINZ, F. F. ve SUN, Y. (2014),”Sovereign CDS Spreads in Europe—The Role Of Global Risk Aversion, Economic Fundamentals, Liquidity, And Spillovers”, IMF Working Paper, 17.HIBBERT, A.M. ve PAVLOVA, I. (2017),” The Drivers of Sovereign CDS Spread Changes: Local Versus Global Factors”, The Financial Review, 52, 435–457HO, SY H. (2014), “ Long-Run Determinant Of The Sovereign CDS Spread in Emerging Countries”, CEPN, 7234, 1-10.KAPAR, B. ve OLMO, J. (2011),” The Determinants Of Credit Default Swap Spreads İn The Presence Of Structural Breaks And Counterparty Risk”, Working Paper, 1-27.KARGI, B. (2014), “Credit default swap (cds) spreads: the analysis of time series for the ıntegration with the ınterest rates and the growth in turkish economy”, Montenegrin Journal of Economics, 10 (1),59-66.KAJUROVA, V. (2015), “The Determinants Of CDS Spreads: The Case Of Uk Companies”, Procedia Economics and finance, 23, 1302-1307.KETEN, M., BAŞARIR, Ç. ve KILIÇ, Y. (2013), “Kredi Temerrüt Takası İle Makroekonomik Ve Finansal Değişkenler Arasındaki İlişkinin İncelenmesi”, 17. Finans Sempozyumu, Muğla, 377-385.KİM, T. S., P., Y. J. ve PARK, J. (2015), “Macroeconomic Conditions And Credit Default Swap Spread Changes”, Journal Applied Financial Economics, 20(15), 1-53.LEHMAN BROTHERS (2003), “Quantitative credit research”, april, 1-17.LONGSTAFF, F. A., PAN, J., PEDERSEN, L. H. ve SINGLETON, K. J. (2007), “How Sovereign İs Sovereign Credit Risk? “, National Bureau Of Economic Research, Working Paper, 13658, 1-29.LONGSTAFF, F. A., PAN, J., PEDERSEN, L. H. ve SINGLETON, K. J. (2011), “How Sovereign İs Sovereign Credit Risk?”, American Economic Journal, 1-31.MCGRAW HILL FINANCIAL (2013a), “Global Sovereign Credit Risk Report”, S&P Capital IQ, 1st Quarter 2013, 1-28, [Erişim adresi: http://www.spcapitaliq.com, Erişim Tarihi:15.06.2018]MCGRAW HILL FINANCIAL (2013b),” Global Sovereign Credit Risk Report”, S&P Capital IQ, 2nd Quarter 2013, 1-28, [Erişim adresi: http://www.cmavision.com, Erişim Tarihi:15.06.2018] MCGRAW HILL FINANCIAL (2013c), “Global Sovereign Credit Risk Report”, S&P Capital IQ, 3rd Quarter 2013, 1-22, [Erişim adresi: http://www.cmavision.com, Erişim Tarihi:15.06.2018]MCGRAW HILL FINANCIAL (2013d), “Global Sovereign Credit Risk Report”, S&P Capital IQ, 4th Quarter 2013, 1-30, [Erişim adresi: http://www.cmavision.com, Erişim Tarihi:15.06.2018]MCGRAW HILL FINANCIAL (2014a), “Global Sovereign Credit Risk Report”, S&P Capital IQ, 1st Quarter 2014, 1-31, [Erişim adresi: http://www.spcapitaliq.com, Erişim Tarihi:15.06.2018]MCGRAW HILL FINANCIAL (2014b), “Global Sovereign Credit Risk Report”, S&P Capital IQ, 2nd Quarter 2014, 1-30, [Erişim adresi: http://www.spcapitaliq.com, Erişim Tarihi:15.06.2018]MCGRAW HILL FINANCIAL (2014c), “Global Sovereign Credit Risk Report”, S&P Capital IQ, 3rd Quarter 2014, 1-31, [Erişim adresi: http://www.spcapitaliq.com, Erişim Tarihi:15.06.2018]MCGRAW HILL FINANCIAL (2014d), “ Global Sovereign Credit Risk Report”, S&P Capital IQ, 4th Quarter 2014, 1-31, [Erişim adresi: http://www.spcapitaliq.com, Erişim Tarihi:15.06.2018]MSCI (2019), [Erişim adresi: https://www.msci.com/Erişim Tarihi:15.02.2019]NARAYAN, P.K. ve SMYTH, R. (2008),”What Determines Migration Flows From Lowincome To High-Income Countries? An Empirical İnvestigation Of Fiji-Usmigration 1972–2001.”, Contemporary Economic Policy, 24(2), 332–342.OFORI, S. K. (2015), “Regime Switching Determinants Of The Japanese Sovereign Credit Default Swap. S Spreads”, International Journal of Trade, Economics and Finance, 6(2), 134-139.PARAGARANTİ (2019), [Erişim Adresi: https://www.paragaranti.com/cds Erişim Tarihi:15.02.2019]PELSTER, M. ve VILSMELEr, J. (2018), “The Determinants Of CDS Spreads: Evidence From The Model Space”, Rev Deriv Res, 21, 63–118.PESARAN, M.H. ve SHIN, Y. (1995), “An Autoregressive Distributed Lag Modelling Approach to Cointeg¬ration Analysis”, Cambridge Working Papers İn Eco¬nomics 9514. Faculty of Economics, University of Cambridge.PESARAN, M. H. (1997), “The role of economic theory in modelling the long ru”, Economic Journal, 107,178-191.PESARAN, M. H., S. Y. ve SMITH, R. J. (2001),” Bounds Testing Approaches to The Analysis of Level Re¬lationships”, Journal of Applied Econometrics, 16(3), 289-326.SHAHZAD, S.J.H., FERRER, R., HAMMOUDEH, S. ve JAMMAZI, R. (2018),” Industry-Level Determinants Of The Linkage Between Credit And Stock Markets”, Applied Economics, 50(49), 5277-5301.TÜRKİYE CUMHURİYETİ MERKEZ BANKASI (2019), “İstatistikler”, [Erişim adresi: http://www.tcmb.gov.tr/ , Erişim Tarihi:15.04.2019]YAHOO FINANCE (2019), [Erişim Adresi: https://finance.yahoo.com/quote/%5EVIX/history/Erişim Tarihi:15.04.2019]ZHANG, G. (2014), “Sovereign Credit Default Swap”, International Financial Markets, 20, 91-107.