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Dış Borçların Ülke CDS Primleri Üzerindeki Etkisinin İncelenmesi: Türkiye Örneği

Year 2019, Issue: 112, 75 - 92, 01.03.2019

Abstract

Ülke CDS primleri, kredi riskinin ölçülmesinde, tahvil-bono fiyatları ve kredi derecelendirme notlarına alternatif olarak yaygın şekilde kullanılan önemli bir araç haline gelmiştir. Bu nedenle, ülke CDS primlerini belirleyen faktörlerin tespit edilmesi makrofinansal literatürde büyük bir öneme sahiptir. Ülke CDS primlerini etkileyen makroekonomik faktörlerden ve ülkenin ödeme gücünün önemli göstergelerinden biri olarak tanımlanan dış borç/GSYİH oranı, söz konusu orandaki artışın finansal kırılganlığın arttığına işaret eden bir indikatör olması nedeniyle, ülke CDS primlerini etkileyen faktörleri analiz eden ampirik çalışmalarda kullanılan göstergelerdendir. Türkiye’de son yıllarda, dış borçlar/ GSYİH oranındaki artış dikkat çekicidir. Bu çalışmanın amacı, dış borç/GSYİH oranı ve ülke CDS primleri arasındaki ilişkinin 2000:Ç1-2018:Ç2 dönemi için araştırılmasıdır. Analizde, değişkenlere ilişkin olarak Hazine ve Maliye Bakanlığı ve Bloomberg’ten alınan çeyreklik veriler kullanılarak, Fourier SHIN Eşbütünleşme Testi ve Fourier Granger Nedensellik Testi uygulanmaktadır. Sonuçlar, değişkenlerin arasında pozitif ilişki olduğunu göstermektedir.

References

  • Akdoğu, S. K. (2012), “CDS, Bond Spread and Sovereign Debt Crisis in Peripherial EU“, Published in: “Crisis Aftermath: Economic Policy Changes in the EU and its Member States“, Conference Proceedings, University of Szeged, 9, 126-133.
  • Aizenman, J., Hutchison, M. M. ve Jinjarak, Y. (2011), “What is the Risk of European Sovereign Debt Defaults? Fiscal Space, CDS Spreads and Market Pricing of Risk, NBER Working Paper, No: 17407, 1-44.
  • Augustin, P. (2014), “Sovereign Credit Default Swap Premia“, Forthcoming, Journal of Investment Management, 1-53. Available at SSRN: https://ssrn. com/abstract=2055346.
  • Brandorf, C. ve Holmberg, J. (2010), “Determinants of Sovereign Credit Default Swap Spreads for PIIGS-A Macroeconomic Approach“, Bachelor Thesis, Lund University School of Economics and Management, 1-38. Available at; https://lup.lub.lu.se/student-papers/search/publication/1608010.
  • Cepni, O., Küçüksaraç, D. ve Yılmaz, M. H. (2017), “The Sensitivity of Credit Default Swap Premium to Global Risk Factor: Evidence from Emerging Markets“, Economics Letters, 159, 74-77.
  • Enders, W. And J. Lee (2012), “The Flexible Fourier Form and the Dickey-Fuller Type Unit Root Tests“, Economics Letters, 117, 196–199.
  • Enders, W. and Jones, P. (2016), “Grain Prices, Oil Prices, and Multiple Smooth Breaks in a VAR“, Studies in Nonlinear Dynamics & Econometrics, 20(4), 399-419.
  • Eyssell, T., Hung-Gay, F. ve Zhang, G. (2013), “Determinants and Price Discovery of China Sovereign Credit Default Swaps“, China Economic Review, 24, 1-15.
  • Flannery, M., Houston, J. ve Partnoy, F. (2010), “Credit Default Swap Spreads as Viable Substitutes for Credit Ratings“, University of Pennsylvania Law Review, 158, 2085-2123.
  • Filippos, A. (2017), “The Relationship between CDS Spreads and Macroeconomic Factors of the Countries of the Eurozone, A Master’s Thesis, Tilburg University, 1-26. Available at; http://arno.uvt.nl/show.cgi?fid=144090.
  • Fontana, A. ve Scheicher, M. (2010), “An Analysis of Euro Area Sovereign CDS“, European Central Bank Working Paper Series, No:1271, 1-49.
  • Fontana, A. ve Scheicher, M. (2016), “An Analysis of Euro Area Sovereign CDS and Their Relation with Government Bonds“, Journal of Banking & Finance, 62 (C), 126-140.
  • Hazine ve Maliye Bakanlığı (2018), Resmi İstatistikler Veri Tabanı, Erişim Adresi; https://hmvds.hazine.gov.tr.
  • IMF (2013), A New Look at the Role of Sovereign Credit Default Swaps, Global Financial Stability Report, Chapter 2, 1-36.
  • Kocsis, Z. ve Monostori, Z. (2016), “The Role of Country-specific Fundamentals in Sovereign CDS Spreads: Eastern European Experiences“, Emerging Markets Review, 27, 140-168.
  • Longstaff, F. A, Pan, J., Pedersen, L. H ve Singleton, K. (2011), “How Sovereign is Sovereign Credit Risk?“, American Economic Journal: Macroeconomics, 3(2), 75-103.
  • Mellios, C. ve Paget-Blanc, E. (2006), “The Impact of Macro-economic Variables on the Sovereign CDS Spreads of the Eurozone Countries: Examining the Determinants of Credit Default Swaps“, Journal of Finance, 12(4): 363- 382.
  • Mihai, I. ve Neagu, F. (2011), “CDS and Government Bond Spreads-How Informative are They for Financial Stability Analysis“, IFC Bulletin Chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on “Initiatives to Address Data Gaps Revealed by the Financial Crisis“, Basel, 25-26 August 2010, 34, 415-429.
  • Oliveira, L., Curto, D. ve Nunes, P. (2012), “The Determinants of Sovereign Credit Spread Changes in the Euro-zone“, Journal of International Financial Markets, Institutions and Money, 22(2), 278-304.
  • 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, 1-57. Available at; http://www.vdmeer.net/wp-content/ uploads/2013/09/MscThesis_HugoSand_SovereignCDSspreads-final. pdf.
  • Tsong, C. C., Lee, C. F., Tsai, L. J. ve Hu, T. C. (2016), “The Fourier Approximation and Testing for the Null of Cointegration“, Empirical Economics, 51(3), 1085-1113.
  • Turguttopbaş, N. (2013), “Sovereign Credit Risk and Credit Default Swap Spread Reflections“, International Review of Economics and Management“, 1(1), 122-145.
  • Yuan, C. ve Pongsiri, T.J. (2015), “Fiscal Austerity, Growth Prospects and Sovereign CDS Spreads: The Eurozone and beyond“, International Economics, 141, 50-79.
  • Yılancı, V. (2017), “Analyzing the Relationship between Oil Prices and Economic Growth: A Fourier Approach“, Econometrics and Statistics, 27 (2), 51-67.

NALYSIS OF THE IMPACT OF FOREIGN DEBT ON SOVEREIGN CDS PREMIUMS: THE CASE OF TURKEY

Year 2019, Issue: 112, 75 - 92, 01.03.2019

Abstract

Sovereign credit default spreads have been commonly used as an alternative credit risk measurement. Hence, identification of the determinants of sovereign CDS premiums has great importance in the macro-finance literature. Of the macro-economic determinants related to sovereign CDS premiums, foreign debt to GDP is one of the major solvency indicators that is analyzed in most empirical studies investigating the determinants of sovereign credit default spreads since high foreign debt to GDP ratio is generally accepted as an indicator of increasing financial fragility. In recent years, the rising trend in foreign debt to GDP ratio has been attracting attention in Turkey. This study investigates the relationship between foreign debt and sovereign CDS premiums and attempts to test the impact of foreign debt to GDP ratio on sovereign CDS premiums in Turkey for the period between 2000:Q1 and 2018:Q2. In order to examine the relationship, Fourier SHIN Cointegration Test and Fourier Granger Causality Test are employed by using quarterly data related to the variables obtained from the Ministry of Treasury and Finance and Bloomberg. The results show that there is a positive relationship between the variables.

References

  • Akdoğu, S. K. (2012), “CDS, Bond Spread and Sovereign Debt Crisis in Peripherial EU“, Published in: “Crisis Aftermath: Economic Policy Changes in the EU and its Member States“, Conference Proceedings, University of Szeged, 9, 126-133.
  • Aizenman, J., Hutchison, M. M. ve Jinjarak, Y. (2011), “What is the Risk of European Sovereign Debt Defaults? Fiscal Space, CDS Spreads and Market Pricing of Risk, NBER Working Paper, No: 17407, 1-44.
  • Augustin, P. (2014), “Sovereign Credit Default Swap Premia“, Forthcoming, Journal of Investment Management, 1-53. Available at SSRN: https://ssrn. com/abstract=2055346.
  • Brandorf, C. ve Holmberg, J. (2010), “Determinants of Sovereign Credit Default Swap Spreads for PIIGS-A Macroeconomic Approach“, Bachelor Thesis, Lund University School of Economics and Management, 1-38. Available at; https://lup.lub.lu.se/student-papers/search/publication/1608010.
  • Cepni, O., Küçüksaraç, D. ve Yılmaz, M. H. (2017), “The Sensitivity of Credit Default Swap Premium to Global Risk Factor: Evidence from Emerging Markets“, Economics Letters, 159, 74-77.
  • Enders, W. And J. Lee (2012), “The Flexible Fourier Form and the Dickey-Fuller Type Unit Root Tests“, Economics Letters, 117, 196–199.
  • Enders, W. and Jones, P. (2016), “Grain Prices, Oil Prices, and Multiple Smooth Breaks in a VAR“, Studies in Nonlinear Dynamics & Econometrics, 20(4), 399-419.
  • Eyssell, T., Hung-Gay, F. ve Zhang, G. (2013), “Determinants and Price Discovery of China Sovereign Credit Default Swaps“, China Economic Review, 24, 1-15.
  • Flannery, M., Houston, J. ve Partnoy, F. (2010), “Credit Default Swap Spreads as Viable Substitutes for Credit Ratings“, University of Pennsylvania Law Review, 158, 2085-2123.
  • Filippos, A. (2017), “The Relationship between CDS Spreads and Macroeconomic Factors of the Countries of the Eurozone, A Master’s Thesis, Tilburg University, 1-26. Available at; http://arno.uvt.nl/show.cgi?fid=144090.
  • Fontana, A. ve Scheicher, M. (2010), “An Analysis of Euro Area Sovereign CDS“, European Central Bank Working Paper Series, No:1271, 1-49.
  • Fontana, A. ve Scheicher, M. (2016), “An Analysis of Euro Area Sovereign CDS and Their Relation with Government Bonds“, Journal of Banking & Finance, 62 (C), 126-140.
  • Hazine ve Maliye Bakanlığı (2018), Resmi İstatistikler Veri Tabanı, Erişim Adresi; https://hmvds.hazine.gov.tr.
  • IMF (2013), A New Look at the Role of Sovereign Credit Default Swaps, Global Financial Stability Report, Chapter 2, 1-36.
  • Kocsis, Z. ve Monostori, Z. (2016), “The Role of Country-specific Fundamentals in Sovereign CDS Spreads: Eastern European Experiences“, Emerging Markets Review, 27, 140-168.
  • Longstaff, F. A, Pan, J., Pedersen, L. H ve Singleton, K. (2011), “How Sovereign is Sovereign Credit Risk?“, American Economic Journal: Macroeconomics, 3(2), 75-103.
  • Mellios, C. ve Paget-Blanc, E. (2006), “The Impact of Macro-economic Variables on the Sovereign CDS Spreads of the Eurozone Countries: Examining the Determinants of Credit Default Swaps“, Journal of Finance, 12(4): 363- 382.
  • Mihai, I. ve Neagu, F. (2011), “CDS and Government Bond Spreads-How Informative are They for Financial Stability Analysis“, IFC Bulletin Chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on “Initiatives to Address Data Gaps Revealed by the Financial Crisis“, Basel, 25-26 August 2010, 34, 415-429.
  • Oliveira, L., Curto, D. ve Nunes, P. (2012), “The Determinants of Sovereign Credit Spread Changes in the Euro-zone“, Journal of International Financial Markets, Institutions and Money, 22(2), 278-304.
  • 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, 1-57. Available at; http://www.vdmeer.net/wp-content/ uploads/2013/09/MscThesis_HugoSand_SovereignCDSspreads-final. pdf.
  • Tsong, C. C., Lee, C. F., Tsai, L. J. ve Hu, T. C. (2016), “The Fourier Approximation and Testing for the Null of Cointegration“, Empirical Economics, 51(3), 1085-1113.
  • Turguttopbaş, N. (2013), “Sovereign Credit Risk and Credit Default Swap Spread Reflections“, International Review of Economics and Management“, 1(1), 122-145.
  • Yuan, C. ve Pongsiri, T.J. (2015), “Fiscal Austerity, Growth Prospects and Sovereign CDS Spreads: The Eurozone and beyond“, International Economics, 141, 50-79.
  • Yılancı, V. (2017), “Analyzing the Relationship between Oil Prices and Economic Growth: A Fourier Approach“, Econometrics and Statistics, 27 (2), 51-67.
There are 24 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Esra N. Kılcı This is me

Publication Date March 1, 2019
Published in Issue Year 2019 Issue: 112

Cite

APA Kılcı, E. N. (2019). Dış Borçların Ülke CDS Primleri Üzerindeki Etkisinin İncelenmesi: Türkiye Örneği. Sayıştay Dergisi(112), 75-92.