Türkiye’nin Derecelendirme Notları Ve Kredi Temerrüt Swap Primlerinin Ekonomik Ve Sosyal Olaylara Tepkisinin Analizi

Year 2015, Issue: 103, 85 - 111, 30.04.2015

Bekir Kaya Emine Öner Kaya Kürşat Yalçıner

https://doi.org/10.33203/mfy.307953

Cited By: 5

Abstract

Kredi derecelendirme notları ve kredi temerrüt swap primleri

bir ülkenin kredi riskinin ölçülmesinde iki temel göstergedir. Ekonomik

ve sosyal olaylara verilen tepkinin ölçülmesi hangi göstergenin

ülke riskini yansıtmada daha etkin olduğunu test etme imkânı

sağlamaktadır. Çoklu doğrusal regresyon yöntemi ve günlük veriler

kullanılarak, 01.01.2007 ile 22.04.2014 tarihleri arasındaki

dönemin, Türkiye ölçeğinde analiz edildiği çalışmada, derecelendirme

notları ve CDS primlerinin aynı olaylara her zaman aynı

tepkiyi vermediği tespit edilmiştir.

Keywords

Kredi Temerrüt Swap Primi, Derecelendirme Notu, Çoklu Doğrusal Regresyon

ANALYSIS OF THE RESPONSES OF TURKEY’S RATINGS AND CREDIT DEFAULT SWAP SPREADS TO THE ECONOMIC AND SOCIAL EVENTS

Abstract

ABSTRACT

Credit ratings and credit default swap spreads are two main

indicators for the measurement of a country’s credit risk. Measurement

of the response to the economic and social events provide

the opportunity to test which indicator is more effective to reflect

country risk. By using multiple linear regression method and daily

data, it was determined that ratings and credit default swaps are

not always give the same response to the same events for the period

between January 1, 2007 and April 22, 2014 in Turkey.

Keywords

Credit Default Swap Spread, Credit Rating, Multiple Linear Regression

References

• Büyüköztürk, Ş., 2012. Sosyal Bilimler İçin Veri Analizi El Kitabı, 16. Baskı, Ankara, Pegem Akademi. Castellano, R. ve R. Giacometti, 2012. Credit Default Swaps: Implied Ratings Versus Official Ones, Research Paper, 10, 163-180. Ersan, İ. ve S. Günay, 2009. “Kredi Riski Göstergesi Olarak Kredi Temerrüt Swapları (CDSs) ve Kapatma Davasının Türkiye Riski Üzerine Etkisine Dair Bir Uygulama”, Bankacılar Dergisi, 71, 3-22. Finnerty, J.D., C.D. Miller ve R.R. Chen, 2013. The Impact of Credit Rating Announcements On Credit Default Swap Spreads, 37, 2011-2030. Fitch Rating, 2014. Definitions of Ratings and Other Forms of Opinion. Flannery, M.J., J.F. Houston ve F. Partnoy, 2010. Credit Default Swap Spreads as Viable Substitutes for Credit Ratings, University of San Diego School of Law, Legal Studies Research Paper Series, No: 10-31, 2084-2123. Gande, A. ve D.C. Parsley, 2005. “News Spillovers in the Sovereign Debt Market”, Journal of Financial Economics, 75, 691-734. Hull, J., M. Predescu ve A. White, 2004. “The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements”, Journal of Banking & Finance, 28, 2789–2811. Ismailescu, I. ve H. Kazemi, 2010. “The Reaction of Market Credit Default Swap Spreads to Sovereign Credit Ratings Changes”, Journal of Banking and Finance, 34, 2861-2873. Jacobs, M., C.M. Peluso ve A.K. Karagözoğlu, 2010. Measuring Credit Risk: CDS Spreads vs. Credit Ratings. The 2010 FMA Meetings. Jensen, M.S. ve K.N. Daniels, 2005. “The Effect of Credit Ratings on Credit Default Swap Spreads and Credit Spreads”, The Journal of Fixed Income, 15(3), 16-33. Lehnert, T. ve F. Neske, 2006. “On the Relationship between Credit Rating Announcements and Credit Default Swap Spreads for European Reference Entities”, Journal of Credit Risk, 2, 83-90. Micu, M., E.M. Remolona ve P.D. Wooldridge, 2004. The Price Impact of Rating Announcements: Evidence from the Credit Default Swap Market, BIS Ouarterly Review, 55-66. Micu, M., E.M. Remolona ve P.D. Wooldridge, 2006. The Price Impact of Rating Announcements: Which Announcements Matter?, BIS Working Papers, No: 207. Moody’s Investor Services, 2014. Rating Symbols and Definitions. Norden, L. ve M. Weber, 2004. “Informational Efficiency of Credit Default Swap and Stock Markets: the Impact of Credit Rating Announcements”, Journal of Banking & Finance, 28, 2813-2843. Papaioannou, G., 2011. “Economic and Market Factors versus Credit Rating Announcements, on Credit Default Swap Spreads”, International Journal of Economic and Finance, 3(5), 42-48. Standard & Poor’s Rating Services, https://www.globalcreditportal.com/ratingsdirect/renderArticle.do?articleId =1019442&SctArtId=147045&from=CM&nsl_code=LIME, Erişim Tarihi: 21 Mart 2014.