CDS Primleri ile Petrol Arasındaki Bağlantılılık ve Portföy Stratejileri: Asimetrik TVP-VAR Yaklaşımdan Kanıtlar

Bahri Fatih Tekin; Zekai Şenol

doi:10.16951/trendbusecon.1576540

EN TR

Connectedness and Portfolio Strategies Between CDS Premiums and Oil: Evidence from Asymmetric TVP-VAR Approach

Abstract

In addition to investigating the connectedness between the CDS premiums of six oil-exporting countries and crude oil returns, analyzes various portfolio strategies and hedging strategies. Daily price data for the period between February 16, 2011 and February 23, 2022 are used in the study. Asymmetric TVP-VAR (Time-Varying Parameter Vector Autoregression) analysis, hedging and multiple portfolio strategy methods were applied in the study. The study reveals that crude oil is a net shock receiver for oil-exporting country CDS premiums, CDS premiums are a determinant of crude oil volatility, and there is an asymmetric effect in the linkages between CDS premiums and crude oil. According to different portfolio strategies where CDS premiums and crude oil included, the crude oil ratio is in the range of 19-34%, indicating that crude oil has a significant role in the CDS portfolios. The hedge coefficients between CDS premiums and crude oil are negative, meaning that there is a natural hedge between CDS premiums and crude oil, and that CDS premiums can be hedged with crude oil at low cost. The results are important for economic administrations, risk managers, investors and portfolio managers.

Keywords

CDS, Oil, Volatility, Connectedness, Portfolio Strategies, Asymmetric TVP-VAR

CDS Primleri ile Petrol Arasındaki Bağlantılılık ve Portföy Stratejileri: Asimetrik TVP-VAR Yaklaşımdan Kanıtlar

Abstract

Bu çalışmada petrol ihraç eden altı ülke CDS primleriyle ham petrol getirileri arasındaki bağlantılılık, portföy stratejileri ve riskten korunma (hedge) açısından çeşitli analizler yapılmıştır. Çalışmada 16 Şubat 2011 ile 23 Şubat 2022 dönemine ait günlük fiyat verileri kullanılmıştır. Çalışmada asimetrik TVP-VAR (Time-Varying Parameter Vector Autoregression) analizi, hedge ve çoklu portföy strateji yöntemleri uygulanmıştır. Çalışmada petrol ihraç eden ülke CDS primleri için ham petrolün net şok alıcısı olduğu, CDS primlerinin ham petrol volatilitesinin belirleyicisi olduğu, CDS primleri ile ham petrol arasındaki bağlantılıklarda asimetrik etkinin olduğu görülmüştür. CDS primleriyle ham petrolün içinde bulunduğu farklı portföy stratejilerinde ham petrol oranının %19-34 aralığında olduğu, bu bakımdan CDS portföylerinde ham petrolün önemli derecede yer aldığı belirlenmiştir. CDS primleriyle ham petrol arasındaki hedge katsayısının negatif olduğu yani CDS primleriyle ham petrol arasında doğal hedge imkanı olduğu, CDS primlerinin düşük maliyetle ham petrol ile hedge edilebileceği anlaşılmıştır. Ortaya çıkan sonuçlar ekonomi yönetimleri, risk yöneticileri, yatırımcılar ve portföy yöneticileri açısından önem taşımaktadır.

Keywords

CDS, Petrol, Volatilite, Bağlantılılık, Portföy Stratejileri, Asimetrik TVP-VAR

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Details

Primary Language

Turkish

Subjects

Financial Economy

Journal Section

Research Article

Authors

Bahri Fatih Tekin ^*
0000-0002-0541-4371
Türkiye

Zekai Şenol
0000-0001-8818-0752
Türkiye

Early Pub Date

April 14, 2025

Publication Date

April 15, 2025

Submission Date

October 31, 2024

Acceptance Date

March 17, 2025

Published in Issue

Year 2025 Volume: 39 Number: 2

DOI

https://doi.org/10.16951/trendbusecon.1576540

IZ

https://izlik.org/JA37ZD86YR

APA

Tekin, B. F., & Şenol, Z. (2025). CDS Primleri ile Petrol Arasındaki Bağlantılılık ve Portföy Stratejileri: Asimetrik TVP-VAR Yaklaşımdan Kanıtlar. Trends in Business and Economics, 39(2), 231-253. https://doi.org/10.16951/trendbusecon.1576540

AMA

1.Tekin BF, Şenol Z. CDS Primleri ile Petrol Arasındaki Bağlantılılık ve Portföy Stratejileri: Asimetrik TVP-VAR Yaklaşımdan Kanıtlar. Trend Bus Econ. 2025;39(2):231-253. doi:10.16951/trendbusecon.1576540

Chicago

Tekin, Bahri Fatih, and Zekai Şenol. 2025. “CDS Primleri Ile Petrol Arasındaki Bağlantılılık Ve Portföy Stratejileri: Asimetrik TVP-VAR Yaklaşımdan Kanıtlar”. Trends in Business and Economics 39 (2): 231-53. https://doi.org/10.16951/trendbusecon.1576540.

EndNote

Tekin BF, Şenol Z (April 1, 2025) CDS Primleri ile Petrol Arasındaki Bağlantılılık ve Portföy Stratejileri: Asimetrik TVP-VAR Yaklaşımdan Kanıtlar. Trends in Business and Economics 39 2 231–253.

IEEE

[1]B. F. Tekin and Z. Şenol, “CDS Primleri ile Petrol Arasındaki Bağlantılılık ve Portföy Stratejileri: Asimetrik TVP-VAR Yaklaşımdan Kanıtlar”, Trend Bus Econ, vol. 39, no. 2, pp. 231–253, Apr. 2025, doi: 10.16951/trendbusecon.1576540.

ISNAD

Tekin, Bahri Fatih - Şenol, Zekai. “CDS Primleri Ile Petrol Arasındaki Bağlantılılık Ve Portföy Stratejileri: Asimetrik TVP-VAR Yaklaşımdan Kanıtlar”. Trends in Business and Economics 39/2 (April 1, 2025): 231-253. https://doi.org/10.16951/trendbusecon.1576540.

JAMA

1.Tekin BF, Şenol Z. CDS Primleri ile Petrol Arasındaki Bağlantılılık ve Portföy Stratejileri: Asimetrik TVP-VAR Yaklaşımdan Kanıtlar. Trend Bus Econ. 2025;39:231–253.

MLA

Tekin, Bahri Fatih, and Zekai Şenol. “CDS Primleri Ile Petrol Arasındaki Bağlantılılık Ve Portföy Stratejileri: Asimetrik TVP-VAR Yaklaşımdan Kanıtlar”. Trends in Business and Economics, vol. 39, no. 2, Apr. 2025, pp. 231-53, doi:10.16951/trendbusecon.1576540.

Vancouver

1.Bahri Fatih Tekin, Zekai Şenol. CDS Primleri ile Petrol Arasındaki Bağlantılılık ve Portföy Stratejileri: Asimetrik TVP-VAR Yaklaşımdan Kanıtlar. Trend Bus Econ. 2025 Apr. 1;39(2):231-53. doi:10.16951/trendbusecon.1576540

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