CREDIT DEFAULT SWAPS AND THE RESEARCH ON SELECTED INDICATORS IN EMERGING MARKETS

Abstract

Purpose- CDS premiums are an important variable which used in the measurement of country credit risk and especially in the formation of risk perception of international investors towards the country. In this study, between CDS premiums and selected economic indicators for China, Russia and Turkey from developing countries has made an empirical analysis, interaction with each other and whether the findings support other studies in the literature had investigated. Methodology-The relationship between the CDS premiums from countries and China SHCOMP, Russia INDEXCF and Turkey XU100 stock market index and 2-year government bond interest rate and the USD exchange rate parity, by using daily data between 08.04.2010 and 15.03.2019 periods was researched with VAR analysis. Findings- According to the empirical tests, it was concluded that the stock exchange index had the largest effect among the selected variables, whereas the exchange rate and interest rate had no significant effect. Conclusion- In this study, offers evidence which occur the changes in CDS’s standard deviation is affected from the stock market index and the effect is more in Turkey than other examined countries groups

Keywords

• Credit Default Swap (CDS),stock exchange index,government bondsinterest rates,exchange rates,VAR analysis

KREDİ TEMERRÜT SWAPLARI VE GELİŞMEKTE OLAN ÜLKELERDE SEÇİLMİŞ GÖSTERGELER ÜZERİNE BİR ARAŞTIRMA

Abstract

Amaç- CDS primleri, ülke kredi riskinin ölçülmesinde ve özellikle uluslararası yatırımcıların ülkeye yönelik risk algısının oluşmasında kullanılan önemli bir değişkendir. Bu çalışmada, gelişmekte olan ülkelerden Çin, Rusya ve Türkiye için CDS primleri ile seçilmiş ekonomik göstergeleri üzerinde ampirik bir analiz yapılarak birbirleriyle etkileşimleri ve bulguların literatürdeki diğer çalışmaları destekler nitelikte olup olmadığı araştırılmıştır. Yöntem- Ülkelerin CDS primleri ile Çin SHCOMP, Rusya INDEXCF ve Türkiye XU100 borsa endeksleri, 2 yıllık devlet tahvili faiz oranları ve USD döviz kuru paritesi arasındaki ilişki, 08.04.2010-15.03.2019 dönem aralığındaki günlük veriler kullanılarak VAR analizi ile incelenmiştir. Bulgular- Yapılan ampirik testlerle elde edilen bulgularda, seçilmiş değişkenler arasında en büyük etkiye borsa endeksinin sahip olduğu, döviz kuru ve faiz oranının ise kayda değer bir etki taşımadığı sonucuna ulaşılmıştır. Sonuç- Yapılan çalışma, CDS’lerin standart sapmalarında meydana gelen değişikliklerin borsa endeksinden etkilendiği ve bu etkinin incelenen ülke grupları içinde en fazla Türkiye’de olduğuna dair kanıtlar sunmaktadır.

Keywords

• Kredi Temerrüt Takası (CDS),borsa endeksi,devlet tahvilleri faiz oranı,döviz kuru,VAR analizi

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