Abstract
In this paper
we analyze the stationarity of Turkish credit default swap (CDS) spreads
between 10:2000-08:2017 which is an important indicator for researchers and
practitioners. For our data, although the most widely used linear unit root
test namely augmented Dickey Fuller (ADF) test fails to reject the presence
unit root, non-linear tests of Kapatenios, Snell and Shin (KSS) and Sollis
claim stationarity with a smooth transition. Moreover, we detect asymmetry for
the encountered smooth transition. Thus we encourage researchers to apply KSS
and Sollis test along with ADF test in order to understand the driving
processes better which will strengthen the predictability and modeling issues
of CDS spreads.
References
- Aktug, Rahmi A., Grealdo Vasconcellos and Youngsoo Bae 2012. “The dynamics of sovereign credit default swap and bond markets: empirical evidence from the 2001 to 2001 period.” Applied Economics Letters, 19: 251-259. Avino D. and Nneji O. 2014. “Are CDS spreads predictable? An analysis of linear and non-linear forecasting models.” International Review of Financial Analysis. 34: 262-274. Dickey, David A. and Wayne A. Fuller 1979. “Distribution of the estimators for autoregressive time series with a unit root.” Journal of the American Statistical Association 74: 427–431. Dickey, David A. and Wayne A. Fuller 1981. “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.” Econometrica 49 (4): 1057-1072. Donsker, Monroe D. 1951. “An invariance principle for certain probability limit theorems.” Memoirs of the American Mathematical Society 1951, no 6. Donsker, Monroe D. 1952. “Justification and extension of Doob's heuristic approach to the Kolmogorov–Smirnov theorems.” Annals of Mathematical Statistics 23: 277–281. Hamilton James D. 1994. Time Series Analysis. Princeton University Press. Kapetanios, George, Yongcheol Shin and Andy Snell 2003. “Testing for a unit root in the nonlinear STAR framework.” Journal of Econometrics 112: 359–379. Kargı, Bilal 2014. “CDS spreads: The analysis of time series for the interaction with the interest rates and the growth in Turkish economy”. Montenegrin Journal of Economics 10 (1): 59-66. Kunt, Abdullah S. ve Taş Oktay 2008. “Kredi temerrüt swapları ve Türkiye’nin CDS priminin tahmin edilmesine yönelik bir uygulama.” itüdergisi/b sosyal bilimler Cilt:5, Sayı:1, 78-89. Huang Alex Y. and Hu Wen-Cheng 2012. “Regime switching dynamics in credit default swaps: Evidence from smooth transition autoregressive model.” Physica A 391: 1497–1508. Ozatay, Fatih and Guven Sak, 2003. “Banking Sector Fragility and Turkey’s 2000–01 Financial Crisis.” Working paper, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. Patterson, Kerry 2010. A Primer for Unit Root Testing. Palgrave Macmillan. Sollis, Robert, 2009. “A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries.” Economic Modelling. 26: 118-125.
Abstract
Bu çalışmada
araştırmacı ve yatırımcılar için önemli gösterge niteliği taşıyan durağanlık
kavramı Türk Kredi Temerrüt Takası (KTT) primleri özelinde incelenmiştir.
Verimiz için her ne kadar en çok kullanılan doğrusal birim kök testi olan
Dickey Fuller (ADF) birim kökün varlığının reddedemezken, doğrusal olmayan Kapatenios,
Snell ve Shin (KSS) ve Sollis testleri yumuşak geçişli bir durağanlık
saptamışlardır. Ayrıca, bu yumuşak geçişin asimetrik bir yapıda olduğu
bulgularımız arasındadır. KTT primlerinin dinamiklerini anlama öngörülebilirlik
ve modellemeyi güçlendireceğinden araştırmacılara ADF testi beraberinde KSS ve
Sollis testlerini uygulamalarını da önetmekteyiz.
References
- Aktug, Rahmi A., Grealdo Vasconcellos and Youngsoo Bae 2012. “The dynamics of sovereign credit default swap and bond markets: empirical evidence from the 2001 to 2001 period.” Applied Economics Letters, 19: 251-259. Avino D. and Nneji O. 2014. “Are CDS spreads predictable? An analysis of linear and non-linear forecasting models.” International Review of Financial Analysis. 34: 262-274. Dickey, David A. and Wayne A. Fuller 1979. “Distribution of the estimators for autoregressive time series with a unit root.” Journal of the American Statistical Association 74: 427–431. Dickey, David A. and Wayne A. Fuller 1981. “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.” Econometrica 49 (4): 1057-1072. Donsker, Monroe D. 1951. “An invariance principle for certain probability limit theorems.” Memoirs of the American Mathematical Society 1951, no 6. Donsker, Monroe D. 1952. “Justification and extension of Doob's heuristic approach to the Kolmogorov–Smirnov theorems.” Annals of Mathematical Statistics 23: 277–281. Hamilton James D. 1994. Time Series Analysis. Princeton University Press. Kapetanios, George, Yongcheol Shin and Andy Snell 2003. “Testing for a unit root in the nonlinear STAR framework.” Journal of Econometrics 112: 359–379. Kargı, Bilal 2014. “CDS spreads: The analysis of time series for the interaction with the interest rates and the growth in Turkish economy”. Montenegrin Journal of Economics 10 (1): 59-66. Kunt, Abdullah S. ve Taş Oktay 2008. “Kredi temerrüt swapları ve Türkiye’nin CDS priminin tahmin edilmesine yönelik bir uygulama.” itüdergisi/b sosyal bilimler Cilt:5, Sayı:1, 78-89. Huang Alex Y. and Hu Wen-Cheng 2012. “Regime switching dynamics in credit default swaps: Evidence from smooth transition autoregressive model.” Physica A 391: 1497–1508. Ozatay, Fatih and Guven Sak, 2003. “Banking Sector Fragility and Turkey’s 2000–01 Financial Crisis.” Working paper, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. Patterson, Kerry 2010. A Primer for Unit Root Testing. Palgrave Macmillan. Sollis, Robert, 2009. “A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries.” Economic Modelling. 26: 118-125.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Articles |
| Authors | |
| Publication Date | January 31, 2018 |
| Published in Issue | Year 2018 Volume: 13 Issue: 49 |