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ECONOMETRIC ANALYSIS OF STRUCTURAL BREAKS IN TURKEY'S CREDIT DEFAULT SWAP (CDS)

Year 2018, Prof. Dr. Harun TERZI Special Issue, 181 - 192, 19.09.2018
https://doi.org/10.18092/ulikidince.435156

Abstract

Credit default swap (CDS) is defined as a credit
derivative instrument that protects the creditor against a non-repayment risk
of a financial loan. CDS provides important information to investors about the
credibility of countries, as well as being a risk indicator closely followed by
market participants as it shows the credit risk concurrently.
The purpose of this study
is to determine the structural breaks in the CDS for Turkey and the economic
and political reasons behind them.
For this purpose, unit root test with multiple
structural breaks is used to determine the structural break dates, using
monthly-CDS data from January 2012 to December 2016 that based on 5-year CDS
base points.  According to the test results, significant structural breaks are found
at the credit risk premium for Turkey in April 2013, September 2014, June 2015
and finally in February 2016. It seems that the economic and political events
that took place on these dates were influential in the structural breaks on the
CDS.

References

  • Abid, Fathi. ve Naifar, Nader (2006). “The Determinants of Credit Default Swap Rates: An Explana-tory Study”. International Journal of Theoretical and Applied Finance, 9(1): 23-42.
  • Afonso, Antonio (2003). “Understanding the Determinants of Sovereign Debt Ratings: Evidence for the Two Leading Agencies”. Journal of Economics and Finance, 27(1): 56-74.
  • Afonso, Gomes vd. (2007). “What Hides Behind Sovereign Debt Ratings?”, European Central Bank Working Paper Series, No:711
  • Akbulut, Seval ve Terzi, Harun (2013), "Türkiye'de İhracata Dayalı Büyümenin Sektörler İtibariyle Analizi", Karadeniz Teknik Üniversitesi Sosyal Bilimler Dergisi, 3:43-58
  • Baek, Arindam vd. (2005). “Determinants of Market-Assessed Sovereign Risk: Economic funda-mentals or market risk appetite?” Journal of International Money and Finance, 24(4), 533-548.
  • Bai, Jushan ve Pierre Perron (1998). “Estimating and Testing Linear Models with Multiple Structu-ral Changes.” Econometrica 66, 47-78.
  • Baltaci, Nuri ve Hikmet Akyol (2016). “Examination of the Macroeconomic Variables Affecting Cre-dit Default Swaps”. Journal of Economics Bibliography, 3(4), 610.
  • Baum, Christopher F. ve Chi Wan (2010). “Macroeconomic Uncertainty nd Credit Default Swap Spreads”. Applied Financial Economics, 20(15), 1163-1171.
  • Brandorf, Christopher ve Johan Holmberg (2010). Determinants Of Sovereign Credit Default Swap Spreads For PIIGS - A Macroeconomic Approach. Bachelor Thesis, Lund University School of Economics and Management, Department of Economics.
  • Brewer, Thomas. L. ve Pietra Rivoli (1990). “Politics and Perceived Country Creditworthiness in International Banking”. Journal of Money, Credit and Banking, 22(3), 357-369.
  • Cantor Richard, ve Packer Frank (1996). “Determinants and Impact of Sovereign Credit Ratings”. Economic Policy Review 2 (2): 37– 53.
  • Cosset, Jean-Claude. ve Jean Roy (1991). “The Determinants of Country Risk Ratings”. Journal of International Business Studies, 22(1), 135-142.
  • Ertugrul, Hasan Murat ve Hüseyin Öztürk (2013). “The Drivers of Credit Default Swap Prices: Evi-dence From Selected Emerging Market Countries”. Emerging Markets Finance and Trade, 49(sup5), 228-249.
  • Eyssell, Fung vd. (2013). “Determinants and Price Discovery of China Sovereign Credit Default Swaps”. China Economic Review, 24, 1-15.
  • Fabozzi, Cheng vd. (2007). “Exploring the Components of Credit Risk in Credit Default Swaps”. Fi-nance Research Letters, 4(1), 10-18.
  • Finnerty, Miller vd. (2013). “The Impact of Credit Rating Announcements on Credit Default Swap Spreads”. Journal of Banking & Finance, 37(6), 2011-2030.
  • Galil, Koresh ve Gill Soffer (2011). “Good News, Bad News and Rating Announcements: An Empiri-cal Investigation”. Journal of Banking & Finance, 35(11), 3101-3119.
  • Haque, Kumar vd. (1996). “The Economic Content of Indicators of Developing Country Creditwort-hiness”. Staff Papers, 43(4), 688-724.
  • Haque, Mark vd. (1998). “The Relative Importance of Political and Economic Variables in Cre-ditworthiness Ratings”. IMF Working Paper 98/46.
  • Hernández-Trillo, Fausto (1995). “A Model-Based Estimation of The Probability of Default in Sove-reign Credit Markets”. Journal of Development Economics, 46(1), 163-179.
  • Ho, Sy Hoa (2016). “Long and Short-Runs Determinants of the Sovereign CDS Spread in Emerging Countries”. Research in International Business and Finance, 36, 579-590.
  • Hull, Predescu vd. (2004). “The Relationship Between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements”. Journal of Banking & Finance, 28(11), 2789-2811.
  • Ismailescu, Iuliana ve Hossein B. Kazemi (2010). “The Reaction of Emerging Market Credit Default Swap Spreads to Sovereign Credit Rating Changes”. Journal of Banking & Finance, 34(12), 2861-2873.
  • Kapetanios, George (2005). “Unit-Root Testing Against the Alternative Hypothesis”. Journal of Time Series Analysis, 26(1), 123-133.
  • Kliber, Agata (2011). “Sovereign CDS Instruments in Central Europe-Linkages and Interdependen-ce”. Dynamic Econometric Models, 11, 111–128.
  • Lee, Suk Hun (1993). “Relative Importance of Political Instability and Economic Variables on Perce-ived Country Creditworthiness”. Journal of International Business Studies, 24(4), 801-812.
  • Liu, Yang ve Bruce Morley (2012). “Sovereign Credit Default Swaps and the Macroeconomy”. App-lied Economics Letters, 19(2), 129-132.
  • Mellios, Constantin ve Eric Paget-Blanc (2006). “Which Factors Determine Sovereign Credit Ra-tings?” The European Journal of Finance, 12(4), 361-377.
  • Monfort, Brieuc ve Christian Mulder (2000). “Using Credit Ratings for Capital Requirementson Lending to Emerging Market Economies: Possible Impact of a New Basel Accord” (No. 0-69). International Monetary Fund.
  • Mulder, Christian ve Roberto Perelli (2001). “Foreign Currency Credit Ratings for Emerging Market Economies” (No. 1-191). International Monetary Fund.
  • Norden, Lars ve Martin Weber (2004). “Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements”. Journal of Banking & Finance, 28(11), 2813-2843.
  • Perron, Pierre (1989). “The Great Crash, The Oil Price Shock, and the Unit Root Hypothesis”. Eco-nometrica, 57 (6), 1361-1401.
  • Ramos-Francia, Manuel ve Jose Gonzalo Rangel (2011). “Revisiting the Effects of Country Specific Fundamentals on Sovereign Default Risk”. Economics Bullettin, 32 (4), 3008-3016.
  • Sy, Amadou N. R. (2002). “Emerging Market Bond Spreads and Sovereign Credit Ratings: Reconci-ling Market Views With Economic Fundamentals”. Emerging Markets Review, 3(4), 380-408.
  • Tang, Dragon Yongjun ve Hong Yan (2010). “Market Conditions, Default Risk and Credit Spreads”. Journal of Banking & Finance, 34(4), 743
  • Türkiye Cumhuriyet Merkez Bankası (2014). Yıllık Rapor 2013, http://www3.tcmb.gov.tr/yillikrapor/2013/files/tr-full.pdf (Erişim Tarihi: 18.06.2017).
  • http://www.bloomberght.com/haberler/haber/1326763-s-p-turkiyenin-kredi-notunu-yukseltti (Erişim Tarihi: 19.06.2017).
  • https://aa.com.tr/tr/politika/ysk-kesin-secim-sonuclarini-acikladi/131114 (Erişim Tarihi: 19.06.2017).
  • https://aa.com.tr/tr/turkiye/6-7-ekim-olaylarinin-bilancosu/436002 (Erişim Tarihi: 19.06.2017).
  • https://aa.com.tr/tr/ekonomi/bes-aylik-belirsizligin-ekonomiye-faturasi-agir-oldu/467804 (Erişim Tarihi: 19.06.2017).
  • https://aa.com.tr/tr/gunun-basliklari/istanbulda-teror-saldirisi/703506 (Erişim Tarihi: 19.06.2017).
  • https://aa.com.tr/tr/turkiye/ankarada-teror-saldirisi/536521 (Erişim Tarihi: 19.06.2017).

TÜRKİYE KREDİ RİSK PRİMİNDEKİ (CDS) YAPISAL KIRILMALARIN EKONOMETRİK ANALİZİ

Year 2018, Prof. Dr. Harun TERZI Special Issue, 181 - 192, 19.09.2018
https://doi.org/10.18092/ulikidince.435156

Abstract

Kredi risk primi (CDS)
finansal bir kredinin geri ödenmeme riskine karşı, belirli bir tutar
karşılığında alacaklı tarafı koruma altına alan kredi türev enstrümanı şeklinde
tanımlanmaktadır. CDS’ler kredi riskini eş anlı olarak göstermesi bakımından
piyasa katılımcıları tarafından yakından takip edilen bir risk göstergesi
olmakla birlikte, yatırımcılara da ülkelerin kredibilitesi hakkında önemli
bilgiler sunar. Türkiye için hesaplanan CDS’lerde meydana gelen yapısal
kırılmaların ve bu kırılmaların arkasında yatan ekonomik ve siyasi nedenlerin
belirlenmesi bu çalışmanın amacını oluşturmaktadır. Bu amaca yönelik olarak
çalışmada, Ocak 2012 ile Aralık 2016 tarihlerini kapsayan ve 5 yıllık CDS baz
puanına göre belirlen aylık CDS verilerinde yaşanan kırılmalar, çok kırılmalı
birim kök testi yardımıyla belirlenmiştir. Testin sonuçlarına göre Türkiye’ye
ait kredi risk priminde Nisan 2013, Eylül 2014, Haziran 2015 ve son olarak
Şubat 2016’da anlamlı yapısal kırılmaların olduğu tespit edilmiştir. Bu
tarihlerde yaşanan ekonomik ve siyasal olayların CDS üzerinde meydana gelen
kırılmalarda etkili olduğu görülmektedir.

References

  • Abid, Fathi. ve Naifar, Nader (2006). “The Determinants of Credit Default Swap Rates: An Explana-tory Study”. International Journal of Theoretical and Applied Finance, 9(1): 23-42.
  • Afonso, Antonio (2003). “Understanding the Determinants of Sovereign Debt Ratings: Evidence for the Two Leading Agencies”. Journal of Economics and Finance, 27(1): 56-74.
  • Afonso, Gomes vd. (2007). “What Hides Behind Sovereign Debt Ratings?”, European Central Bank Working Paper Series, No:711
  • Akbulut, Seval ve Terzi, Harun (2013), "Türkiye'de İhracata Dayalı Büyümenin Sektörler İtibariyle Analizi", Karadeniz Teknik Üniversitesi Sosyal Bilimler Dergisi, 3:43-58
  • Baek, Arindam vd. (2005). “Determinants of Market-Assessed Sovereign Risk: Economic funda-mentals or market risk appetite?” Journal of International Money and Finance, 24(4), 533-548.
  • Bai, Jushan ve Pierre Perron (1998). “Estimating and Testing Linear Models with Multiple Structu-ral Changes.” Econometrica 66, 47-78.
  • Baltaci, Nuri ve Hikmet Akyol (2016). “Examination of the Macroeconomic Variables Affecting Cre-dit Default Swaps”. Journal of Economics Bibliography, 3(4), 610.
  • Baum, Christopher F. ve Chi Wan (2010). “Macroeconomic Uncertainty nd Credit Default Swap Spreads”. Applied Financial Economics, 20(15), 1163-1171.
  • Brandorf, Christopher ve Johan Holmberg (2010). Determinants Of Sovereign Credit Default Swap Spreads For PIIGS - A Macroeconomic Approach. Bachelor Thesis, Lund University School of Economics and Management, Department of Economics.
  • Brewer, Thomas. L. ve Pietra Rivoli (1990). “Politics and Perceived Country Creditworthiness in International Banking”. Journal of Money, Credit and Banking, 22(3), 357-369.
  • Cantor Richard, ve Packer Frank (1996). “Determinants and Impact of Sovereign Credit Ratings”. Economic Policy Review 2 (2): 37– 53.
  • Cosset, Jean-Claude. ve Jean Roy (1991). “The Determinants of Country Risk Ratings”. Journal of International Business Studies, 22(1), 135-142.
  • Ertugrul, Hasan Murat ve Hüseyin Öztürk (2013). “The Drivers of Credit Default Swap Prices: Evi-dence From Selected Emerging Market Countries”. Emerging Markets Finance and Trade, 49(sup5), 228-249.
  • Eyssell, Fung vd. (2013). “Determinants and Price Discovery of China Sovereign Credit Default Swaps”. China Economic Review, 24, 1-15.
  • Fabozzi, Cheng vd. (2007). “Exploring the Components of Credit Risk in Credit Default Swaps”. Fi-nance Research Letters, 4(1), 10-18.
  • Finnerty, Miller vd. (2013). “The Impact of Credit Rating Announcements on Credit Default Swap Spreads”. Journal of Banking & Finance, 37(6), 2011-2030.
  • Galil, Koresh ve Gill Soffer (2011). “Good News, Bad News and Rating Announcements: An Empiri-cal Investigation”. Journal of Banking & Finance, 35(11), 3101-3119.
  • Haque, Kumar vd. (1996). “The Economic Content of Indicators of Developing Country Creditwort-hiness”. Staff Papers, 43(4), 688-724.
  • Haque, Mark vd. (1998). “The Relative Importance of Political and Economic Variables in Cre-ditworthiness Ratings”. IMF Working Paper 98/46.
  • Hernández-Trillo, Fausto (1995). “A Model-Based Estimation of The Probability of Default in Sove-reign Credit Markets”. Journal of Development Economics, 46(1), 163-179.
  • Ho, Sy Hoa (2016). “Long and Short-Runs Determinants of the Sovereign CDS Spread in Emerging Countries”. Research in International Business and Finance, 36, 579-590.
  • Hull, Predescu vd. (2004). “The Relationship Between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements”. Journal of Banking & Finance, 28(11), 2789-2811.
  • Ismailescu, Iuliana ve Hossein B. Kazemi (2010). “The Reaction of Emerging Market Credit Default Swap Spreads to Sovereign Credit Rating Changes”. Journal of Banking & Finance, 34(12), 2861-2873.
  • Kapetanios, George (2005). “Unit-Root Testing Against the Alternative Hypothesis”. Journal of Time Series Analysis, 26(1), 123-133.
  • Kliber, Agata (2011). “Sovereign CDS Instruments in Central Europe-Linkages and Interdependen-ce”. Dynamic Econometric Models, 11, 111–128.
  • Lee, Suk Hun (1993). “Relative Importance of Political Instability and Economic Variables on Perce-ived Country Creditworthiness”. Journal of International Business Studies, 24(4), 801-812.
  • Liu, Yang ve Bruce Morley (2012). “Sovereign Credit Default Swaps and the Macroeconomy”. App-lied Economics Letters, 19(2), 129-132.
  • Mellios, Constantin ve Eric Paget-Blanc (2006). “Which Factors Determine Sovereign Credit Ra-tings?” The European Journal of Finance, 12(4), 361-377.
  • Monfort, Brieuc ve Christian Mulder (2000). “Using Credit Ratings for Capital Requirementson Lending to Emerging Market Economies: Possible Impact of a New Basel Accord” (No. 0-69). International Monetary Fund.
  • Mulder, Christian ve Roberto Perelli (2001). “Foreign Currency Credit Ratings for Emerging Market Economies” (No. 1-191). International Monetary Fund.
  • Norden, Lars ve Martin Weber (2004). “Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements”. Journal of Banking & Finance, 28(11), 2813-2843.
  • Perron, Pierre (1989). “The Great Crash, The Oil Price Shock, and the Unit Root Hypothesis”. Eco-nometrica, 57 (6), 1361-1401.
  • Ramos-Francia, Manuel ve Jose Gonzalo Rangel (2011). “Revisiting the Effects of Country Specific Fundamentals on Sovereign Default Risk”. Economics Bullettin, 32 (4), 3008-3016.
  • Sy, Amadou N. R. (2002). “Emerging Market Bond Spreads and Sovereign Credit Ratings: Reconci-ling Market Views With Economic Fundamentals”. Emerging Markets Review, 3(4), 380-408.
  • Tang, Dragon Yongjun ve Hong Yan (2010). “Market Conditions, Default Risk and Credit Spreads”. Journal of Banking & Finance, 34(4), 743
  • Türkiye Cumhuriyet Merkez Bankası (2014). Yıllık Rapor 2013, http://www3.tcmb.gov.tr/yillikrapor/2013/files/tr-full.pdf (Erişim Tarihi: 18.06.2017).
  • http://www.bloomberght.com/haberler/haber/1326763-s-p-turkiyenin-kredi-notunu-yukseltti (Erişim Tarihi: 19.06.2017).
  • https://aa.com.tr/tr/politika/ysk-kesin-secim-sonuclarini-acikladi/131114 (Erişim Tarihi: 19.06.2017).
  • https://aa.com.tr/tr/turkiye/6-7-ekim-olaylarinin-bilancosu/436002 (Erişim Tarihi: 19.06.2017).
  • https://aa.com.tr/tr/ekonomi/bes-aylik-belirsizligin-ekonomiye-faturasi-agir-oldu/467804 (Erişim Tarihi: 19.06.2017).
  • https://aa.com.tr/tr/gunun-basliklari/istanbulda-teror-saldirisi/703506 (Erişim Tarihi: 19.06.2017).
  • https://aa.com.tr/tr/turkiye/ankarada-teror-saldirisi/536521 (Erişim Tarihi: 19.06.2017).
There are 42 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Mehmet Dinç

Ümit Yıldız This is me

Mustafa Kırca

Publication Date September 19, 2018
Published in Issue Year 2018 Prof. Dr. Harun TERZI Special Issue

Cite

APA Dinç, M., Yıldız, Ü., & Kırca, M. (2018). TÜRKİYE KREDİ RİSK PRİMİNDEKİ (CDS) YAPISAL KIRILMALARIN EKONOMETRİK ANALİZİ. Uluslararası İktisadi Ve İdari İncelemeler Dergisi181-192. https://doi.org/10.18092/ulikidince.435156

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Address: Karadeniz Technical University Department of Economics Room Number 213  

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