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CDS Primleri ile Ülke Kredi Riski Arasındaki İlişkinin Değerlendirilmesi; Türkiye Örneği

Year 2017, , 71 - 85, 01.10.2017
https://doi.org/10.33203/mfy.357664

Abstract



Uluslararası yatırımcıların bir ülkeye doğrudan yatırım ve portföy
yatırımları şeklinde yatırım yapmak konusundaki karar süreçlerinde, ülke kredi
riskinin doğru bir şekilde değerlendirilmesi büyük önem taşımaktadır. Ülke
kredi riskinin ölçülmesinde ve uluslararası yatırımcıların ülkeye yönelik risk
algısının değerlendirilmesinde ise, büyük ölçüde, CDS primlerinden yararlanılmaktadır.
Bu çalışmada, ülkemiz açısından, ülke kredi riskinin artmasına yol açan
makroekonomik değişkenler ve finansal değişkenler ile ülke CDS primleri
arasındaki ilişki, ekonometrik uygulama aracılığıyla analiz edilmiş ve
değişkenler arasındaki koentegrasyon test edilmiştir.

References

  • Adam, M. 2013. Spillovers and Contagion in the Sovereign CDS market, Bank i Kredyt, 44 (6), Pages 571–604.
  • Akkaya, M. 2017. Türk Tahvillerinin CDS Primlerini Etkileyen İçsel Faktörlerin Analizi, Maliye Finans Yazıları, Nisan 2017, 107, s. 130-145.
  • Beers, D. T. and M. Cavanaugh. 2008. Sovereign Credit Ratings: A Primer, Standard &Poor's, New York.
  • Brandorf, C. ve J. Holmberg. 2010. Determinants of Sovereign Credit Default Swap Spreads for PIIGS– A Macroeconomic Approach, Bachelor Thesis, Lund Uniiversity School of Economics and Management.
  • Collin-Dufresne, P., R. S. Goldstein, and J. S. Martin. 2001. The Determinants of Credit Spread Changes, Journal of Finance 56, 2177-2207.
  • Cossin, D. ve G. Jung. 2005. Do Major Financial Crises Provide İnformation On Sovereign Risk to The Rest of The World? A Look at Credit Default Swap Markets, International Center for Financial Asset Management and Engineering, 134, ss.1-31.
  • Fontana, A. and M. Scheicher. 2010. An Analysis of Euro Area Sovereign CDS, European Central Bank Working Paper Series 1271.
  • Gonzalo C.-M., K. Kostrzewa, A. Marszal and D. Serwa. 2016. Pricing Sovereign Credit Risk of an Emerging Market, ECB Working Paper Series, No: 1924, June 2016
  • Hull, J., M. Predescu and A. White. 2004. The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements, Journal of Banking and Finance 28, 2789–2811.
  • Hull, J. 2008. Options, Futures and Other Derivatives, 7th edition, Prentice Hall, New Jersey.
  • Ismailescu, I. and H. Kazemi. 2010. The Reaction of Emerging Market Credit Default Swap Spreads to Sovereign Credit Rating Changes, Journal of Banking and Finance, 34(12), 2861 -2873.
  • Kliber, A. 2011. Sovereign CDS Instruments in Central Europe-Linkages and Interdependence, Dynamic Econometric Models, 11, 111–128.
  • Kisgergely, K. 2009. What Moved Sovereign CDS Spreads in the Period of Financial Turbulence?, Report on Financial Stability, November 2009, Central Bank of Hungary.
  • Koy, A. 2015. Kredi Temerrüt Swapları ve Tahvil Primleri Üzerine Ampirik Bir Çalışma, International Review of Economics and Management 2 (2015): 63-79
  • Longstaff, F. A., J. Pan, L. H. Pedersen and K. J. Singleton. 2011. How Sovereign Is Sovereign Credit Risk?, American Economic Journal, 3(2), ss.75-103.
  • O’Kane, D. and S. Turnbull. 2003. Valuation of credit default swaps. Lehman Brothers Quantitative Credit Research Quarterly, 2003-Q1-Q2.
  • O’Kane, D. and S. Sen. 2004. Credit Spreads Explained. QCR Quarterly, vol. 2004-Q1/Q2, Lehman Brothers (March 2004).
  • Pan, J., and K.J. Singleton. 2008. Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads. The Journal of Finance, vol. 63, no. 5 (October 2008): 2345-2384.
  • Plank, T. J. 2010. Do Macro-Economic Fundamentals Price Emerging Market Sovereign CDS Spreads?, No: 10-5
  • Remolona, E. M., M. Scatigna and E. Wu. 2008. The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion, The Journal of Fixed Income, 17(4), ss.57-71.
  • Sand, H.J. 2012. The Impact of Macro-Economic Variables On The Sovereign CDS Spreads of The Eurozone Countries, Master’s Thesis, University of Groningen.
  • Tang, D.Y. and H. Yan. 2007. Liquidity and credit default swap spreads, Working paper, Kennesaw State University and University of South Carolina.
  • Tang, D.Y. and H. Yan. 2009. Market Conditions, Default Risk and Credit Spreads. Journal of Banking & Finance, 34 (2010): 743-753.
  • Wallison, P. 2009. Everything You Wanted to Know About Credit Default Swaps: But Were Never Told. The Journal of Structured Finance, 15 (2), 20–30.

An Assessment of the Relationship between CDS Spreads and Sovereign Credit Risk; Turkey Case

Year 2017, , 71 - 85, 01.10.2017
https://doi.org/10.33203/mfy.357664

Abstract

It is
essential that sovereign credit risk is adequately evaluated in the decision
making process of international investors in the form of foreign direct
investment and portfolio investments. CDS spreads are significantly used in
measuring the sovereign credit risk and evaluating the risk appetite of foreign
investors against the country. In this study, the relationship between
macroeconomic and financial indicators which lead to increase in sovereign
credit risk of Turkey and CDS spreads is analyzed with the help of an
econometric application and tested that the variables are cointegrated or not.

References

  • Adam, M. 2013. Spillovers and Contagion in the Sovereign CDS market, Bank i Kredyt, 44 (6), Pages 571–604.
  • Akkaya, M. 2017. Türk Tahvillerinin CDS Primlerini Etkileyen İçsel Faktörlerin Analizi, Maliye Finans Yazıları, Nisan 2017, 107, s. 130-145.
  • Beers, D. T. and M. Cavanaugh. 2008. Sovereign Credit Ratings: A Primer, Standard &Poor's, New York.
  • Brandorf, C. ve J. Holmberg. 2010. Determinants of Sovereign Credit Default Swap Spreads for PIIGS– A Macroeconomic Approach, Bachelor Thesis, Lund Uniiversity School of Economics and Management.
  • Collin-Dufresne, P., R. S. Goldstein, and J. S. Martin. 2001. The Determinants of Credit Spread Changes, Journal of Finance 56, 2177-2207.
  • Cossin, D. ve G. Jung. 2005. Do Major Financial Crises Provide İnformation On Sovereign Risk to The Rest of The World? A Look at Credit Default Swap Markets, International Center for Financial Asset Management and Engineering, 134, ss.1-31.
  • Fontana, A. and M. Scheicher. 2010. An Analysis of Euro Area Sovereign CDS, European Central Bank Working Paper Series 1271.
  • Gonzalo C.-M., K. Kostrzewa, A. Marszal and D. Serwa. 2016. Pricing Sovereign Credit Risk of an Emerging Market, ECB Working Paper Series, No: 1924, June 2016
  • Hull, J., M. Predescu and A. White. 2004. The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements, Journal of Banking and Finance 28, 2789–2811.
  • Hull, J. 2008. Options, Futures and Other Derivatives, 7th edition, Prentice Hall, New Jersey.
  • Ismailescu, I. and H. Kazemi. 2010. The Reaction of Emerging Market Credit Default Swap Spreads to Sovereign Credit Rating Changes, Journal of Banking and Finance, 34(12), 2861 -2873.
  • Kliber, A. 2011. Sovereign CDS Instruments in Central Europe-Linkages and Interdependence, Dynamic Econometric Models, 11, 111–128.
  • Kisgergely, K. 2009. What Moved Sovereign CDS Spreads in the Period of Financial Turbulence?, Report on Financial Stability, November 2009, Central Bank of Hungary.
  • Koy, A. 2015. Kredi Temerrüt Swapları ve Tahvil Primleri Üzerine Ampirik Bir Çalışma, International Review of Economics and Management 2 (2015): 63-79
  • Longstaff, F. A., J. Pan, L. H. Pedersen and K. J. Singleton. 2011. How Sovereign Is Sovereign Credit Risk?, American Economic Journal, 3(2), ss.75-103.
  • O’Kane, D. and S. Turnbull. 2003. Valuation of credit default swaps. Lehman Brothers Quantitative Credit Research Quarterly, 2003-Q1-Q2.
  • O’Kane, D. and S. Sen. 2004. Credit Spreads Explained. QCR Quarterly, vol. 2004-Q1/Q2, Lehman Brothers (March 2004).
  • Pan, J., and K.J. Singleton. 2008. Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads. The Journal of Finance, vol. 63, no. 5 (October 2008): 2345-2384.
  • Plank, T. J. 2010. Do Macro-Economic Fundamentals Price Emerging Market Sovereign CDS Spreads?, No: 10-5
  • Remolona, E. M., M. Scatigna and E. Wu. 2008. The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion, The Journal of Fixed Income, 17(4), ss.57-71.
  • Sand, H.J. 2012. The Impact of Macro-Economic Variables On The Sovereign CDS Spreads of The Eurozone Countries, Master’s Thesis, University of Groningen.
  • Tang, D.Y. and H. Yan. 2007. Liquidity and credit default swap spreads, Working paper, Kennesaw State University and University of South Carolina.
  • Tang, D.Y. and H. Yan. 2009. Market Conditions, Default Risk and Credit Spreads. Journal of Banking & Finance, 34 (2010): 743-753.
  • Wallison, P. 2009. Everything You Wanted to Know About Credit Default Swaps: But Were Never Told. The Journal of Structured Finance, 15 (2), 20–30.
There are 24 citations in total.

Details

Journal Section Articles
Authors

Esra N. Kılcı

Publication Date October 1, 2017
Submission Date March 9, 2017
Published in Issue Year 2017

Cite

APA Kılcı, E. N. (2017). CDS Primleri ile Ülke Kredi Riski Arasındaki İlişkinin Değerlendirilmesi; Türkiye Örneği. Maliye Ve Finans Yazıları(108), 71-85. https://doi.org/10.33203/mfy.357664

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Dergi özellikle maliye, finans ve bankacılık alanlarında faaliyet göstermektedir.