THE RELATIONSHIP BETWEEN PRIVATE SECTOR EXTERNAL DEBT AND CDS PREMIUM IN TURKEY

Year 2021, Volume: 10 Issue: 3, 199 - 212, 10.09.2021

Mehmet Zeki Ak

Abstract

Turkey has managed to achieve a strong growth performance after the 2008-09 Global Crisis, after the crisis, it started to erode by exhibiting an extremely unstable growth performance especially in the second half of the 2010s. The macroeconomic balances/datas began to deteriorate when the political crises/uncertainties in the country were added to the worsening with the global conjuncture of US Federal Reserve's announcement that it would raise interest rates. As a matter of fact, Turkey's CDS premiums increased significantly with the emergence of a new conjuncture in which the exchange rate increase accelerated and growth slowed down with the foreign exchange crisis in August 2018. The increase in CDS premiums, which is an indicator that measures the risks of countries/companies cannot repay their debts, increases the probability of a country's debt crisis and therefore increases borrowing costs. This situation has increased the concerns about the ability of the private sector, which has a high external debt burden, to pay its debts. In this context, the study aims to examine the causality relationship between country CDS premiums and private sector external debt in Turkey for the period 2010:Q1-2020:Q3. For this purpose, the Toda-Yamamoto and Fourier Toda-Yamamoto causality tests were used. According to the results of the analysis, there is no causality relationship between the variables. This result indicates that global factors are more effective in determining Turkey's CDS premium.

Keywords

Private sector, Credit default swap, Fourier Toda-Yamamoto

TÜRKİYE’DE ÖZEL SEKTÖR DIŞ BORCU VE KREDİ RİSK PRİMİ İLİŞKİSİ

Abstract

2008-09 Küresel Krizinden sonra güçlü bir büyüme performansı yakalamayı başaran Türkiye özellikle 2010’ların ikinci yarısından itibaren son derece istikrarsız bir büyüme performansı sergileyerek güç kaybetmeye başlamıştır. ABD Merkez Bankası’nın faiz artırımı yapacağına ilişkin açıklamasıyla kötüleşen küresel konjonktüre, ülke içerisindeki siyasi krizler de eklenince makroekonomik dengeler bozulmaya başlamıştır. Nitekim 2018 Ağustos döviz krizi ile kur artışının hızlandığı ve büyümenin yavaşladığı yeni bir konjonktür ortaya çıkmasıyla, Türkiye’nin CDS primleri belirgin şekilde yükselmiştir. Ülkelerin/şirketlerin aldıkları borçları geri ödememe risklerini ölçen bir gösterge olan CDS primlerinin yükselmesi, ülkenin borç krizi yaşama olasılığının arttırmakta ve dolayısıyla borçlanma maliyetlerini yükseltmektedir. Bu durum yüksek dış borç yükü taşıyan özel sektörünün borç ödeme kabiliyetine ilişkin kaygıları arttırmıştır. Bu çerçevede çalışmada, Türkiye’de, ülke CDS primleri ve özel sektör dış borcu arasındaki nedensellik ilişkisini 2010:Q1-2020:Q3 dönemi verilerini kullanılarak incelemeyi amaçlanmaktadır. Bu amaca yönelik olarak yapılan analizde, Toda-Yamamoto ve Fourier Toda-Yamamoto nedensellik testi kullanılmıştır. Analiz sonuçlarına göre değişkenler arasında bir nedensellik ilişkisi bulunmamaktadır. Bu sonuç, Türkiye’nin CDS priminin belirlenmesinde küresel faktörlerin daha etkili olduğuna işaret etmektedir.

Keywords

Özel sektör dış borcu, Kredi risk primi, Fourier Toda-Yamamoto

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