Kredi Temerrüt Swapları ve Makroekonomik Değişkenler Arasındaki İlişkinin Analizi

Yıl 2023, , 305 - 322, 02.07.2023

Ayşegül İşcanoğlu Çekiç , Havva Gültekin

https://doi.org/10.30784/epfad.1281982

Cited By: 1

Öz

Kredi Temerrüt Swap (CDS) primleri, ülkelerin kredi riskinin bir göstergesi olarak kabul edilmektedir. Bu çalışmada Türkiye’nin CDS primlerini etkileyen makroekonomik faktörlerin belirlenmesi amaçlanmaktadır. Bu amaç doğrultusunda, makroekonomik faktörler arasından dış borç stoku, reel efektif döviz kuru, uluslararası altın ve döviz rezervleri değişkenleri ele alınmış ve 2008:Q4-2022:Q2 dönemi üçer aylık veriler kullanılarak analizler gerçekleştirilmiştir. Çalışma kapsamında Doğrusal Olmayan Otoregresif Gecikmesi Dağıtılmış (NARDL) modeller kullanılarak, makroekonomik faktörlerde meydana gelen pozitif ve negatif şokların etkilerinin ayrı ayrı gözlemlenmesi amaçlanmıştır. NARDL modelinden elde edilen bulgular, dış borç stokunda meydana gelecek artışın CDS primlerinde artışa neden olacağını, dış borç stokunda meydana gelecek azalışın ise CDS primlerinde azalışa neden olacağını göstermektedir. Yine elde edilen sonuçlar, reel efektif döviz kurunda meydana gelecek artışların CDS primlerinde azalışa neden olacağını göstermektedir. Uluslararası döviz rezervlerinde meydana gelecek artışlar CDS primleri üzerinde anlamlı etkiye sahip iken, döviz rezervlerinde meydana gelecek azalışların CDS primleri üzerinde anlamlı etkiye sahip olmadığı belirlenmiştir. Son olarak uluslararası altın rezervleri değerlendirildiğinde, rezervlerin Türkiye’nin CDS primleri üzerinde uzun dönemde etkin olduğu ve etkinin asimetrik olduğu sonucuna ulaşılmıştır.

Anahtar Kelimeler

CDS, Makroekonomik değişkenler, NARDL

Analysis of the Relationship between Credit Default Swaps and Macroeconomic Variables

Öz

Credit Default Swap (CDS) premiums are accepted as an indicator of countries' credit risk. The aim of the study is to determine the macroeconomic factors which affect Turkey's CDS premiums. For this purpose, among the macroeconomic factors, external debt stock, real effective exchange rate, international gold, and foreign exchange reserves are considered, and quarterly data for the period of 2008: Q4-2022: Q2 are analyzed. Within the scope of the study, it is aimed to observe the effects of positive and negative shocks on macroeconomic factors separately by using Nonlinear Autoregressive Distributed Lag (NARDL) models. According to the long-term model, positive shocks in external debt cause an increase in CDS premiums, while negative shocks in external debt cause a decrease in CDS premiums. Moreover, the real effective exchange rate has a negative and statistically significant effect on CDS premiums. In addition, while positive shocks in international foreign exchange reserves have a statistically significant effect on CDS premiums, the effects of negative shocks in international foreign exchange reserves are not statistically significant. On the other hand, positive and negative shocks in international gold reserves have a statistically significant effect on CDS premiums, and the effect is asymmetrical.

Anahtar Kelimeler

CDS, Macroeconomic Variables, NARDL

Kaynakça

• Aizenman, J., Jinjarak, Y. and Park, D. (2013). Fundamentals and sovereign risk of emerging markets (NBER Working Paper Series No. 18963). Retrieved from http://www.nber.org/papers/w18963
• Akın, T. ve Işıklı, E. (2020). Kredi temerrüt swapı, ekonomik büyüme ve cari açık ilişkisi: Türkiye örneği. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 8, 91-98. https://doi.org/10.18506/anemon.616029
• Akkaya, M. (2017). Türk tahvillerinin CDS primlerini etkileyen içsel faktörlerin analizi. Maliye ve Finans Yazıları, 107, 130-145. https://doi.org/10.33203/mfy.307177
• Akkuş, Ö. (2021). CDS risk primleri ile dış borçlanma ilişkisi: Simetrik ve asimetrik nedensellik analizi. Uluslararası İktisadi ve İdari İncelemeler Dergisi, 31, 215–228. https://doi.org/10.18092/ulikidince.928425
• Aksoylu, E. ve Görmüş, Ş. (2018). Gelişmekte olan ülkelerde ülke riski göstergesi olarak kredi temerrüt swapları: Asimetrik nedensellik yöntemi. Ekonomik ve Sosyal Araştırmalar Dergisi, 14(1), 15-33. Erişim adresi: https://dergipark.org.tr/tr/pub/esad/
• Arslan, M., Kuzu, S. ve Çelik, İ.E. (2022). CDS primleri üzerinde etkili olan makroekonomik göstergelerin araştırılması: Türkiye örneği. Ekev Akademi Dergisi, 90, 331-346. Erişim adresi: https://dergipark.org.tr/tr/pub/sosekev/
• Becker, R., Enders, W. and Lee, J. (2006). A Stationary test in the presence of an unknown number of smooth breaks. Journal of Time Series Analysis, 27(3), 381-409. https://doi.org/10.1111/j.1467-9892.2006.00478.x BIS. (2023). OTC derivatives outstanding [Dataset]. Retrieved from https://www.bis.org/statistics/derstats.htm
• Carr, P. and Wu, L. (2007). Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options. Journal of Banking & Finance, 31(8), 2383-2403. https://doi.org/10.1016/j.jbankfin.2006.09.008
• Czech, M. (2021). Assessment of the credit risk of Poland based on sovereign credit default swap spreads during the Covid-19 pandemic. Ekonomia I Prawo. Economics and Law, 20(3), 497–511. https://doi.org/10.12775/EiP.2021.030
• Çelik, A. (2022). Dynamics of exchange rate fluctuations in Turkey: Evidence from symmetric and asymmetric causality analysis. Ekonomika, 101(1), 125-141. https://doi.org/10.15388/Ekon.2022.101.1.7
• Çonkar, M.K. ve Vergili, G. (2017). Kredi temerrüt swapları ile döviz kurları arasındaki ilişki: Türkiye için ampirik bir analiz. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(4), 59-66. https://doi.org/10.25287/ohuiibf.310704
• Daehler, T.B., Aizenman, J. and Jinjarak, Y. (2021). Emerging markets sovereign CDS spreads during Covid-19: Economic versus epidemiology news. Economic Modelling, 100, 105504. https://doi.org/10.1016/j.econmod.2021.105504
• Della Corte, P., Sarno, L., Schmeling, M. and Wagner, C. (2021). Exchange rates and sovereign risk. Management Science, 68(8), 5591-5617. https://doi.org/10.1287/mnsc.2021.4115
• Dickey, D.A. and Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427-431. https://doi.org/10.2307/2286348
• Dickey, D.A. and Fuller, W.A. (1981). Likelihood ratio statistics for autoregressive time series with unit root. Econometrica, 49(4), 1057-1072. https://doi.org/10.2307/1912517
• Durgun-Kaygısız, A. ve İşcan, H. (2020). Kredi temerrüt takası ve döviz kuru ilişkisi, Türkiye örneği. Sakarya İktisat Dergisi, 10(2), 167-179. Erişim adresi: https://dergipark.org.tr/tr/pub/sid/
• Enders, W. and Lee, J. (2012). The flexible Fourier form and Dickey-Fuller type unit root test. Economics Letters, 117, 196-199. https://doi.org/10.1016/j.econlet.2012.04.081
• Erer, D. (2022). Farklı ekonomik rejimler altında küresel belirsizliklerin ülke kredi risk primi üzerine etkisi: Türkiye örneği. Maliye Dergisi, 183, 1-23. Erişim adresi: https://hmb.gov.tr/
• Eyssell, T., Hung-Gay, F. and Zhang, G. (2013). Determinants and price discovery of china sovereign credit default swaps. China Economic Review, 24, 1-15. https://doi.org/10.1016/j.chieco.2012.09.003
• Ferrucci, G. (2003). Empirical determinants of emerging market economies’ sovereign bond spreads (Bank of England Working Paper No. 205). http://dx.doi.org/10.2139/ssrn.597422
• Fontana, A. and Scheicher, M. (2010). An analysis of euro area sovereign CDS (European Central Bank Working Paper Series No. 1271). Erişim adresi: http://ssrn.com/abstract_id=1715483
• Hassan, M.K., Kayhan, S. and Bayat, T. (2016). Does credit default swap spread affect the value of the Turkish lira against the U.S. Dollar? Borsa İstanbul Review, 17(1), 1-9. https://doi.org/10.1016/j.bir.2016.10.002
• Ho, S.H. (2016). Long and short-runs determinants of the sovereign CDS spread in emerging countries. Research in International Business and Finance, 36, 579–590, http://dx.doi.org/10.1016/j.ribaf.2015.07.001
• Huyugüzel Kışla, G., Muradoğlu, Y.G. and Önder, A.Ö. (2022). Spillovers from one country’s sovereign debt to CDS (Credit Default Swap) spreads of others during the European crisis: A spatial approach. Journal of Asset Management, 23, 277-296. https://doi.org/10.1057/s41260-022-00263-3
• İşcanoğlu-Çekiç, A. (2011). Pricing and hedging of constant proportion debt obligations (Unpublished doctoral dissertation). The Graduate School of Applied Mathematics, Middle East Technical University, Ankara.
• Jaramillo, L. and Tejada, M. (2011). Sovereign credit ratings and spreads in emerging markets: Does investment grade matter? (IMF Working Paper No. 11/44). Retrieved from http://www.imf.org/external/pubs/cat/longres.aspx?sk=24677
• Jüttner, D.J., Chung, D. and Leung, W. (2006). Emerging market bond returns -An investor perspective. Journal of Multinational Financial Management, 16(2), 105-121. https://doi.org/10.1016/j.mulfin.2005.05.005
• Kartal, M.T., Depren, S.K. and Depren, Ö. (2022), Sovereign credit default swap (CDS) spreads changes in various economic conjunctures: Evidence from Turkey by machine learning algorithms. Journal of Management and Economics Research, 20(1), 354-374. https://doi.org/10.11611/yead.1076897
• Kębłowski, P. (2011). The behaviour of exchange rates in the Central European countries and credit default risk premiums. Central European Journal of Economic Modelling and Econometrics, 3(4), 221-237. Erişim adresi: http://cejeme.eu/
• Kılcı, E.N. (2017). CDS Primleri ile ülke kredi riski arasındaki ilişkinin değerlendirilmesi: Türkiye örneği. Maliye Finans Yazıları, 108, 71-86. https://doi.org/10.33203/mfy.357664
• Kılcı, E.N. (2019). Dış borçların ülke CDS primleri üzerindeki etkisinin incelenmesi: Türkiye örneği. Sayıştay Dergisi, 112, 75-92. Erişim adresi: https://dergipark.org.tr/tr/pub/sayistay/
• Leybourne, S.J. and Newbold, P. (2003). Spurious rejections by cointegration tests induced by structural breaks. Applied Economics, 35(9), 1117-1121. https://doi.org/10.1080/0203684032000082068
• Liu, C., Li, J., Sun, X. and Chen, J. (2021). Multi-scale interactions between Turkish lira exchange rates and sovereign CDS in Europe and Asia. Applied Economics Letters, 28(7), 599-607, https://doi.org/10.1080/13504851.2020.1765961
• Liu, Y. and Morley, B. (2012). Sovereign credit default swaps and the macroeconomy. Applied Economics Letters, 19(2), 129-132. https://doi.org/10.1080/13504851.2011.568390
• Liu, Y. and Morley, B. (2013). Sovereign credit ratings, the macroeconomy and credit default swap spreads. Brussels Economic Review, 56(3/4), 335-348. Erişim adresi: https://dipot.ulb.ac.be/
• Naifar, N. (2020). What explains the sovereign credit default swap spreads changes in the GCC region? Journal of Risk Financial Management, 13, 245. https://doi.org/10.3390/jrfm13100245
• Özgür, M.I. ve Çelik, S. (2021). Türkiye ekonomisinde seçim dönemlerinde CDS primini etkileyen faktörlerin analizi: 2002-2018 dönemi. Van Yüzüncü Yıl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 6(12), 106-125. Erişim adresi: https://dergipark.org.tr/tr/pub/vanyyuiibfd/
• Pesaran, M.H., Shin, Y. and Smith, R.J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16, 289-326. https://doi.org/10.1002/jae.616
• Phillips, P.C.B. and Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75, 335-346. http://dx.doi.org/10.1093/biomet/75.2.335
• Ramos-Francia, M. and Rangel, J. (2012). Revisiting the effects of country specific fundamentals on sovereign default risk. Economic Bulletin, 32(4), 3008-3016. Retrieved from https://ssrn.com/abstract=2178794
• Rodríguez, I.M., Dandapani, K. and Lawrence, E.R. (2019). Measuring sovereign risk: Are CDS spreads better than sovereign credit ratings? Financial Management, 48(1), 229-256. https://doi.org/10.1111/fima.12223
• Rodrigues, P.M.M. and Taylor, A.M.R. (2012). The flexible fourier form and local generalised least squares de-trended unit root tests. Oxford Bulletin of Economics and Statistics, 74(5), 736-759. https://doi.org/10.1111/j.1468-0084.2011.00665.x
• Sand, H.J. (2012). The impact of macro-economic variables on the sovereign CDS spreads of the Eurozone countries (Unpublished doctoral dissertation). University of Groningen, Netherlands.
• Shin, Y., Yu, B. and Greenwood-Nimmo, N. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. R.C. Sickles and W.C. Horrace (Eds.), In Festschriftin honor of Peter
• Schmidt: Econometric Methods and Applications (pp. 281-314). New York: Springer.
• Simonyan, S. and Bayraktar, S. (2022). Asymmetric dynamics in sovereign credit default swaps pricing: Evidence from emerging countries. International Journal of Emerging Markets. Advance online publication. https://doi.org/10.1108/IJOEM-03-2021-0469
• Stolbov, M. (2017). Determinants of sovereign credit risk: The case of Russia. Post-Communist Economies, 29(1), 51-70. https://doi.org/10.1080/14631377.2016.1237045
• Ustaoğlu, E. (2022). Analysis of relations between CDS, stock market, and exchange rate: Evidence from Covid-19. Ekonomi, Politika & Finans Araştırmaları Dergisi, 7(2), 301-315. https://doi.org/10.30784/epfad.1085420
• Wang, A.T., Yang, S.Y. and Yang, N.T. (2013). Information transmission between sovereign debt CDS and other financial factors – The case of Latin America. North American Journal of Economics and Finance, 26, 586–601. https://doi.org/10.1016/j.najef.2013.02.023
• Zhang, G., Yau, J. and Fung, H.G. (2009). Do credit default swaps predict currency values? Applied Financial Economics, 20(6), 439-458. https://doi.org/10.1080/09603100903459774
• Zivot, E. and Andrews, D.W.K. (1992). Further evidence on the great crash, the oil price shock and the unit root hypothesis. Journal of Business and Economic Statistics, 10(3), 251-270. https://doi.org/10.2307/1391541