Financial Connectedness among Credit Default Swaps

Yıl 2019, Cilt: 1 Sayı: 4, 258 - 270, 14.10.2019

Serap Kamışlı Ethem Esen

Öz

Kredi temerrüt swapı piyasalara ilişkin
bir risk göstergesi olarak kabul edilmekte ve piyasanın risk algısını
yansıtmaktadır. Bu nedenle kredi temerrüt swapları endekslerindeki değişimler
yatırımcılar, finansal kurumlar ve politika yapıcılar tarafından yakından takip
edilmektedir. Kredi temerrüt swaplarında meydana gelen değişimler sadece iç
dinamiklerden değil, aynı zamanda risk geçişlerine bağlı olarak diğer kredi
temerrüt swaplarındaki oynaklıklardan kaynaklanabilmektedir. Diebold ve Yilmaz
kendi metodolojilerini geliştirdikleri çalışmalarında oynaklık yayılımlarını
“finansal bağlantılılık” terimini kullanarak incelemiştir. Oynaklık yayılımları
her ne kadar kriz dönemlerinde artsa da, yayılımlar normal finansal koşullar
altında da gerçekleşebilmektedir. Bu nedenle risk yönetimi sürecinde oynaklık
yayılımlarının önceden tespit edilmesi oldukça önemlidir. Bu bağlamda
çalışmanın temel amacı 15.09.2008 – 26.04.2019 tarihleri arasında Arjantin,
Belçika, Çin, Danimarka, Norveç, Polonya ve Türkiye ülkeleri kredi temerrüt
swapları arasındaki finansal bağlantılılığın Diebold ve Yilmaz (2012)
tarafından geliştirilen yöntem ile analiz edilmesidir. Çalışmada, ele alınan
ülke kredi temerrüt swapları arasında belirli düzeyde finansal bağlantılılık
olduğu tespit edilmiştir.

Anahtar Kelimeler

Kredi temerrüt swapları, Finansal bağlantılılık, Finansal ekonomi, Risk yönetimi

Financial Connectedness among Credit Default Swaps

Öz

Credit default swap are considered as a risk indicator for the markets
and reflect the risk perception of the market. For this reason, changes in
credit default swaps indices are closely followed by investors, financial
institutions and policy makers. Changes in credit default swaps are not caused
only by internal dynamics, the volatility of other credit default swaps may
cause changes due to the risk transmissions. Diebold and Yilmaz examined the
volatility relationships by using the term “financial connectedness” in their
studies in which they developed their own methodologies. Although they increase
in the crisis periods, volatility spillovers may occur in stable financial
conditions. For this reason, it is very important to determine the volatility
spillovers in the risk management process in advance. In this context, the
purpose of this study is to analyze the financial connectedness among credit
default swaps of Argentina, Belgium, China, Denmark, Norway, Poland and Turkey
by using the methodology developed by Diebold and Yilmaz (2012), for the period
of 15.09.2008 – 26.04.2019. It is determined by the study that there is
financial connectedness between credit default swap of the selected countries. 

Anahtar Kelimeler

Credit default swaps, Financial connectedness, Financial economics, Risk management

Kaynakça

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