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

Year 2017, Issue: 108, 71 - 85, 01.10.2017

Esra N. Kılcı

https://doi.org/10.33203/mfy.357664

Cited By: 11

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.

Keywords

CDS Primleri, Ülke Kredi Riski, Johansen Koentegrasyon Testi

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

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.

Keywords

CDS spreads, Sovereign Credit Risk, Johansen Cointegration Test

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