A Study on Analysis of the Causality Relationship between Fiscal Balance and CDS Premiums; Evidence from Turkey

Abstract

One of the major factors in the debt crisis in Euro-Area experienced over the period of 2010-2014 is the macroeconomic imbalances of the countries under financial stress such as Greece, Spain and Portugal. In the crisis period, the CDS (credit default swap) premiums of these countries increased significantly due to the weakening macroeconomic indicators, the deterioration in the global investor perception and the increase in the risk premium. Despite the austerity programs implemented, CDS premiums stayed in high levels for a period. The objective of this study to investigate the relationship between fiscal balances as budget deficit to GDP ratio and current account deficit to GDP ratio and sovereign CDS premiums in the period of 2006:Q1-2018:Q3. In the analysis, Fourier ADF unit root test and Fourier Granger causality test are employed by using the quarterly data obtained from TurkSTAT Statistics Database and Bloomberg. These test allow for taking into account multiple structural breaks in the analysis, contributing to credibility of the results. The results supported the causality relationship from current account to GDP ratio to sovereign CDS premiums for the period of 2006:Q1-2018:Q3 in Turkey. Accordingly, it is seen that current account to GDP ratio, one of the indicators of fiscal balance, has impact on CDS premiums in the relevant period. 

Keywords

• Budget Deficit,Current Account Deficit,Fiscal Balance,SCDS Premiums,Structural Breaks

Mali Dengeler ile CDS Primleri Arasındaki Nedensellik İlişkisinin Analizine Yönelik Bir Çalışma; Türkiye Örneği

Abstract

2010-2014 döneminde Avrupa Bölgesi’nde yaşanan borç krizinde temel faktörlerden biri, finansal stres yaşayan Yunanistan, İspanya ve Portekiz gibi ülkelerin makroekonomik temellerindeki dengesizliklerdir. Kriz döneminde, makroekonomik göstergelerdeki sıkıntılar, küresel yatırımcı algısının bozulması ve risk primindeki artışla birlikte, söz konusu ülke CDS (kredi temerrüt swap) primlerinin belirgin şekilde yükselmesine yol açmış; uygulanan tasarruf programlarına rağmen, CDS primleri yüksek seviyelerini bir süre korumuştur. Bu çalışmanın amacı, Türkiye’de, mali dengeye işaret eden bütçe açığı/GSYİH ve cari açık/GSYİH oranları ile ülke CDS primleri arasındaki ilişkinin 2006:Ç1-2018:Ç3 dönemi verileri kullanılarak analiz edilmesidir. Türkiye İstatistik Kurumu Veritabanı’ndan ve Bloomberg’ten elde edilen çeyrek dönem verileriyle yapılan analizde, Fourier ADF birimkök testi ve Fourier Granger nedensellik testi kullanılmıştır. Bu testler, çok sayıda yapısal kırılmanın analizde dikkate alınmasına olanak sağlayarak, sonuçların güvenirliğinin artmasına katkıda bulunmaktadır. Çalışma sonuçları, Türkiye’de, 2006:Ç1-2018:Ç3 döneminde cari açık/GSYİH oranı ile CDS primleri arasında bir nedensellik ilişkisi olduğuna işaret etmektedir. Buna göre, söz konusu dönemde, mali dengeye indikatörlerinden olan cari açık/GSYİH oranı, CDS primleri üzerinde kısa dönemde etkiye sahip bulunmaktadır.  

Keywords

• Bütçe Açığı,Cari Açık,Mali Denge,Ülke CDS Primleri,Yapısal Kırılmalar

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