KÜRESEL VE ULUSAL DEĞİŞKENLERDEN ÜLKE CDS PRİMİNE VOLATİLİTE YAYILMA ETKİLERİ: TÜRKİYE ÖRNEĞİ

Year 2020, , 45 - 61, 28.02.2020

Çiğdem Kurt Cihangir

https://doi.org/10.21076/vizyoner.654420

Cited By: 3

Abstract

Bu çalışmada Türkiye için ülke Kredi Temerrüt Takas (CDS) primini etkileyen küresel ve ulusal değişkenler araştırılmıştır. Çalışmada Ağustos 2009 – Eylül 2018 dönemine ait aylık veriler kullanılmıştır. Analiz iki aşamalı yapılmıştır: İlk aşamada ilgili değişkenler arasındaki nedens gvaellik ilişkisi Granger nedensellik testi ile araştırılmıştır. İkinci aşamada ise belirlenen bağımsız değişkenlerden ülke CDS primine simetrik ve asimetrik yayılma etkisi araştırılmıştır. Yapılan analizlerin sonucunda şu sonuçlara ulaşılmıştır: Birincisi, Türkiye’nin ülke CDS primlerindeki oynaklık hem küresel hem de ulusal değişkenlerdeki şoklardan etkilenmekle birlikte, ulusal değişkenlerin etkisinin daha fazla olduğu belirlenmiştir. İkincisi, dış kırılganlık, ulusal faiz oranı ve VIX değişkenleri için ortalama asimetrik etki olduğu belirlenmiştir. Üçüncüsü, ülke CDS priminin ulusal faiz oranları ve VIX’deki kötü bir habere eşit büyüklükteki pozitif bir şoktan daha fazla tepki verdiği test edilmiştir. Genel olarak, hem küresel koşullardaki belirsizlikler hem de Türkiye’nin dış borç ihtiyacının nispeten yüksek oluşu, çok yönlü bir politika oluşturma ve yönetme sürecini gerektirmektedir.

Keywords

Ülke CDS Primi, Volatilite Yayılması, Dış Kırılganlık, Küresel Likidite

VOLATILITY SPILLOVER EFFECTS FROM GLOBAL AND NATIONAL VARIABLES TO SOVEREIGN CDS SPREADS: EVIDENCE FROM TURKEY

Abstract

In this study global and national variables that affect the sovereign Credit Default Swaps (CDS) spreads for Turkey are examined. The study utilises monthly time-series data, spanning from August of 2009 to September 2018. Empirical analysis is done in two steps: In the first step, the causality relationships between related variables are investigated by the Granger causality test. In the second step, the effect of symmetric and asymmetric spillover effects on sovereign CDS spread is determined. The findings show that both national and global shocks are relevant for Turkey’ sovereign CDS spreads volatility, but national variables tend to have a greater impact. Furthermore, there exist mean asymmetric effects for external fragility, domestic interest rate and the VIX variables. It is tested that sovereign CDS spreads react more sharply to domestic interest rates and VIX bad news than a positive shock of equal size. Generally, both uncertainties in global conditions and the relatively high need for external borrowing of Turkey necessitates a multi-faceted policy-making and management process.

Keywords

Sovereign CDS Spreads, Volatility Spillover, External Fragility, Global Liquidty

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