Kredi Temerrüt Takasları (CDS) ile Portfolyo Yatırımları Arasındaki Nedensellik İlişkisi: Türkiye Örneği

Yıl 2024, Cilt: 9 Sayı: 3, 462 - 483, 30.09.2024

Asiye Küçükosman , Sümeyye Uzun

https://doi.org/10.30784/epfad.1535924

Öz

Bu çalışma, Türkiye’deki portföy yatırımları ile kredi temerrüt takasları (CDS) arasındaki nedensellik ilişkisini incelemektedir. Finansal piyasalar için önemli iki değişken olan portföy yatırımları ve CDS primleri arasındaki dinamiklerin analiz edilmesi, risk algısının ve yatırım kararlarının nasıl etkilendiğini anlamak açısından kritik öneme sahiptir. Portföy yatırımları, genellikle yabancı yatırımcıların ülke ekonomisine duyduğu güvenin bir göstergesi olarak kabul edilirken, CDS primleri ise ülkenin borçlanma riskini ve piyasa katılımcılarının risk algısını yansıtan önemli bir risk ölçütüdür. Bu bağlamda, iki değişken arasındaki ilişkilerin incelenmesi, finansal piyasalarda yatırımcı davranışlarının ve risk algısının makroekonomik göstergeler üzerindeki etkilerinin anlaşılmasına katkı sağlamaktadır. Çalışmada, 2014Q1-2024Q1 dönemine ait veriler kullanılarak Granger nedensellik testi uygulanmıştır. Elde edilen sonuçlar, CDS primlerinin portföy yatırımları üzerinde anlamlı ve tek yönlü bir nedensellik etkisi olduğunu göstermektedir. CDS primlerindeki artışlar, yatırımcıların risk algısını yükselterek portföy yatırımlarında azalmaya yol açmaktadır. Buna karşın, portföy yatırımlarının CDS primleri üzerinde herhangi bir nedensellik etkisi bulunmamıştır. Bu bulgular, Türkiye'de portföy yatırımları açısından risk yönetiminin önemini vurgulamakta ve CDS primlerinin yatırımcı kararlarında rol oynadığını ortaya koymaktadır.

Anahtar Kelimeler

Kredi Temerrüt Swapları, Portföy Yatırımları, Granger Nedensellik Testi

The Causality Relationship between Credit Default Swaps (CDS) and Portfolio Investments: The Case of Türkiye

Öz

This study examines the causality relationship between portfolio investments and credit default swaps (CDS) in Türkiye. Analysing the dynamics between portfolio investments and CDS premiums, two important variables for financial markets is critical to understanding how risk perception and investment decisions are affected. While portfolio investments are generally considered an indicator of the confidence of foreign investors in the country's economy, CDS premiums are an important risk measure that reflects the country's debt risk and the risk perception of market participants. In this context, examining the relationships between the two variables contributes to the understanding of the effects of investor behavior and risk perception on macroeconomic indicators in financial markets. In the study, the Granger causality test was applied using data from the period 2014Q1-2024Q1. The results obtained show that CDS premiums have a significant and unidirectional causal effect on portfolio investments. Increases in CDS premiums increase investors' risk perception and lead to a decrease in portfolio investments. On the other hand, no causal effect of portfolio investments on CDS premiums was found. These findings emphasize the importance of risk management in terms of portfolio investments in Türkiye and reveal that CDS premiums play a role in investor decisions.

Anahtar Kelimeler

Credit Default Swaps, Portfolio Investments, Granger Causality Test

Kaynakça

• Akyol, H. and Baltacı, N. (2009). Examination of macroeconomic determinants of CDS spreads: ARDL bound testing approach. Global Journal of Economics and Business Studies, 8(16), 33-49. Retrieved from https://enstitu.gumushane.edu.tr
• Badaoui, S., Cathcart, L. and El-Jahel, L. (2014). Implied liquidity risk premium in the term structure of sovereign credit default swap and bond spreads. The European Journal of Finance, 22, 825-853. https://doi.org/10.1080/1351847X.2014.996297
• Ballester, L., Escrivá, A.M. and González-Urteaga, A. (2021). The nexus between sovereign CDS and stock market volatility: New evidence. Mathematics, 9(9), 1201. https://doi.org/10.3390/math9111201
• Bayrakdaroğlu, A. and Mirgen, Ç. (2021). The relationship of credit default swap (CDS) and stock market index: A research on the BRICS countries. Journal of Research in Economics, Politics & Finance, 6(IERFM Special Issue), 65-78. https://doi.org/10.30784/epfad.1019759
• Bektur, Ç. and Malcıoğlu, G. (2017). The relationship between credit default swaps and BIST 100 Index: Asymmetric causality analysis. Bolu Abant İzzet Baysal University Journal of Graduate School of Social Sciences, 17(3), 73-83. Retrieved from https://dergiler.ibu.edu.tr/
• Brandon, K. and Fernandez, F. (2005). Financial innovation and risk management: An introduction to credit derivatives. Journal of Applied Finance, 5(13), 52-63. Retrieved from https://www.sifma.org
• Çetin, A.C. (2022). The Relationship between Turkey’s credit default swaps with BIST ‎‎100 Index, exchange rate and interest rate‎. Bingol University Journal of Economics and Administrative Sciences, 6(1), 39-77. https://doi.org/10.33399/biibfad.926544
• Cho, D. and Rhee, C. (2013). Effects of quantitative easing on Asia: Capital flows and financial markets (Asian Development Bank Economics Working Paper Series No. 350). Retrieved from https://www.econstor.eu/bitstream/10419/109462/1/ewp-350.pdf
• Çonkar, M.K. and Vergili, G. (2017). Credit default swap, exchange rates and BIST 100 Index relationship: Cointegration and causality analysis. Hitit Journal of Social Sciences, 10(4), 59-66. https://doi.org/10.17218/hititsosbil.450178
• Coronado, M., Corzo, M.T. and Lazcano, L. (2012). A case for Europe: The relationship between sovereign CDS and stock indexes. Frontiers in Finance and Economics, 9(2), 32-63. Retrieved from https://ffejournal.wordpress.com
• Cossin, D. and Jung, G. (2005). Do major financial crises provide information on sovereign risk to the rest of the world? A look at credit default swap markets (SSRN Working Paper No. 682202). Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=682202
• Danacı, M.C., Şit, M. and Şit, A. (2017). Relationship between credit default swaps (CDS) and growth rate: A case of Turkey. Journal of Aksaray University Faculty of Economics and Administrative Sciences, 9(2), 67-78. Retrieved from http://iibfdergi.aksaray.edu.tr
• Demir, Y. and Dinç, M. (2021). An analysis of the relationship between credit default swaps, exchange rate and Borsa Istanbul. Journal of Yaşar University, 16(64), 1642-1656. https://doi.org/10.19168/jyasar.934285
• 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(366a), 427-431. https://doi.org/10.2307/2286348
• Duffie, D. (1999). Credit swap valuation. Financial Analysts Journal, 55(1), 73-87. Retrieved from https://doi.org/10.2469/faj.v55.n1.2243
• Dural, F. and Sarıoğlu, S.E. (2020). Credit default swaps and a comparative analysis on emerging markets. Uludağ Journal of Economy and Society, 39(2), 87-118. Retrieved from https://uludag.edu.tr/journalofes
• Durgun, A. and İşcan, H. (2021). Relationship between credit default swaps and exchange rates in Turkey. The Sakarya Journal of Economics, 10(2), 167-179. Retrieved from https://dergipark.org.tr/en/pub/sid
• Esen, O. (1998). Portfolio capital flows to developing countries in the global economy. Ekonomik Yaklaşım, 9(30), 59-70. Retrieved from https://econpapers.repec.org/article/eydeyjrnl/
• Fung, H.G., Sierra, G.E., Yau, J. and Zhang, G. (2008). Are the US stock market and credit default swap market related? Evidence from the CDX indices. The Journal of Alternative Investments, 11(1), 43-61. Retrieved from https://papers.ssrn.com/
• García, M.M., Valle, C.T. and Marín, J.M. (2017). Sovereign bond spreads and credit default swap premia: Cointegration and causality. Investment Management & Financial Innovations, 11(2), 47-59. Retrieved from https://www.businessperspectives.org/
• Görmüş, Ş. and Aksoylu, E. (2017). Ülke riskinin göstergesi olarak kredi temerrüt swaplarını etkileyen faktörler: Asimetrik nedensellik yöntemi. Paper presented at the 2nd International Congress on Political Economic and Social Studies (ICPESS), Sarajevo, Bosnia and Herzegovina. Retrieved from https://www.proquest.com/docview/2707571779?pq-origsite=gscholar&fromopenview=true&sourcetype=Dissertations%20&%20Theses
• Granger, C.W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of the Econometric Society, 37(3), 424-438. https://doi.org/10.2307/1912791
• Gujarati, D. (2016). Örneklerle ekonometri (Çev. N. Bolatoğlu). Ankara: BB101 Yayınları.
• Gujarati, D.N. and Porter, D.C. (2012). Temel ekonometri (Çev. Ü. Şenesen and G. Günlük Şenesen). İstanbul: Literatür Yayınları.
• Hull, J.C. and White, A.D. (2000). Valuing credit default swaps I: No counterparty default risk. The Journal of Derivatives, 8(1), 29-40. doi: 10.3905/jod.2000. 319115
• Hull, J.C. and White, A.D. (2001). Valuing credit default swaps II: Modeling default correlations. The Journal of Derivatives, 8(3), 12-21. doi:10.3905/jod.2001. 319153
• İlter, Ş. and Gök, R. (2021). The impact of credit default swaps (CDS) on foreign direct and portfolio investment: The case of Turkey. Maliye ve Finans Yazıları, 2, 233-252. https://doi.org/10.33203/mfy.844208
• IMF. (2009). Balance of payment and international investment position manual. Retrieved from https://www.imf.org/external/pubs/ft/bop/2007/pdf/bpm6.pdf
• Kahıloğulları, A. (2018). Relationship between credit default swap, direct foreign investments, and portfolio investments: Time series analysis for Turkey. Prizren Social Science Journal, 2(3), 50-62. https://doi.org/10.32936/pssj.v2i3.58
• Koy, A. (2014). An empirical study on credit default swaps’ spreads and bond spreads. International Review of Economics and Management, 2(2), 63-79. https://doi.org/10.18825/irem.58557
• Koy, A. and Karaca, S.S. (2018). How the international portfolio investments affected in the recession and growth periods? Turkey example. Oneri, 13(50), 90-105. https://doi.org/10.14783/maruoneri.v13i38778.342724
• Kunt, A.S. and Taş, O. (2009). Credit default swaps and a study on determining the credit default swap premium of Turkey. İTÜ Dergisi/b, 5(1), 78-89. Retrieved from http://160.75.25.161/index.php/itudergisi_b/index
• Marzano, M., Dunn, G. and Constantinou, N. (2014). The relationship between credit default swap spreads and equity prices. Journal of Risk, 17(1), 3-28. Retrieved from https://www.risk.net/journal-of-risk
• Münyas, T. (2020). Evaluation of the relationship between credit default swaps and Euro and USD exchange rates: The case of Turkey. Business and Management Studies: An International Journal, 8, 1113-1130. http://dx.doi.org/10.15295/bmij.v8i2.1439
• Münyas, T. and Bektur, Ç. (2021). Evaluation of the relationship between volatility index (VIX) and credit default swap (CDS), dollar rate, euro rate, BIST 100 and gold: The case of Turkey. Journal of TESAM Academy, 8(2), 555-571. https://doi.org/10.30626/tesamakademi.959051
• Norden, L. and Weber, M. (2009). The co-movement of credit default swap, bond, and stock markets: An empirical analysis. European Financial Management, 15(3), 529-562. doi:10.1111/j.1468-036X.2007.00427.x
• Pal, P. (2010). Foreign portfolio investment, stock market, and economic development: A case study of India. In A. Deshpande (Ed.), Capital without borders: Challenges to development (pp. 1-121). London: Anthem Press.
• Phillips, P.C. and Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. https://doi.org/10.2307/2336182
• Plank, T. (2010). Do macro-economic fundamentals price emerging market sovereign CDS spreads? (SSRN Working Paper No. 1765352). http://dx.doi.org/10.2139/ssrn.1765352
• Ratner, M. and Chiu, C.C.J. (2013). Hedging stock sector risk with credit default swaps. International Review of Financial Analysis, 30, 18-25. https://doi.org/10.1016/j.irfa.2013.05.001
• Remolona, E.M., Scatigna, M. and Wu, E. (2008). The dynamic pricing of sovereign risk in emerging markets: Fundamentals and risk aversion. The Journal of Fixed Income, 17(4), 57-71. Retrieved from https://www.bayes.city.ac.uk
• Şenol, Z. and Selahattin, K. (2018). Analysis with VAR method relationship between foreign portfolio investments, stock exchange and macroeconomic factors: Case of turkey. International Journal of Economics and Administrative Studies, 21, 1-20. https://doi.org/10.18092/ulikidince.358108
• Sevil, G. and Ünkaracalar, T. (2020). An assessment of the relationship between CDS spreads and portfolio investments: Turkey case. Journal of Finance Letters, 113, 285-300. https://doi.org/10.33203/mfy.654360
• Seyidoğlu, H. (2016). Uluslararası finans. İstanbul: Güzem Can Yayınları.
• Shahzad, S., Mohd Nor, S., Hammoudeh, S. and Shahbaz, M. (2016). Directional and bidirectional causality between U.S. industry credit and stock markets and their determinants. International Review of Economics & Finance, 47, 46-61. https://doi.org/10.1016/j.iref.2016.10.005
• Shanab, S.U. (2017). The effect of foreign portfolio investment (FPI) on capital market indices (Evidence from Amman Stock Exchange). International Review of Management and Business Research, 6(4), 1469-1477. Retrieved from https://www.irmbrjournal.com
• Skinner, F.S. and Townend, T.G. (2002). An empirical analysis of credit default swaps. International Review of Financial Analysis, 11(3), 297-309. https://doi.org/10.1016/S1057-5219(02)00077-7
• Suyadal, M., Yavuz, M.S. and Çilingirtürk, A.M. (2021). The relationship between financial and economic indicators in developed and developing countries: An example of heterogeneous panel causality analysis. Turkish Studies-Economics Finance Politics, 16(4), 1261-1276. https://dx.doi.org/10.7827/TurkishStudies.51995
• Topaloğlu, E.E. and Ege, İ. (2020). The relationship between credit default swaps and Borsa Istanbul 100 Index: The short and long term time series analysis. Journal of Business Research, 12(2), 1373-1393. https://doi.org/10.20491/isarder.2020.918
• Weistroffer, C. (2009). Credit default swaps: Heading towards a more stable system. Deutsche Bank Research, 27, 1-26. Retrieved from https://users.ssc.wisc.edu
• World Government Bonds. (2023). Sovereign CDS. Retrieved from http://www.worldgovernmentbonds.com/sovereign-cds/
• Yıldırım, H.H. and Sakızcı, M. (2019). The relationship between portfolio investment and CDS: The case of Turkey. Turkish Studies-Social Sciences, 14(5), 2777-2792. http://dx.doi.org/10.29228/TurkishStudies.36938
• Yıldırım, H.H. and İldokuz, B. (2018). Uncovered interest rate parity and determining the financial factors which pull the portfolio investment to Turkey during the 2005-2014. Ekoist: Journal of Econometrics and Statistics, 14(29), 247-268. doi: 10.26650/ekoist.2018.14.29.0003
• Yüksel, A. and Yüksel, A. (2017). The relation between global risk factors and sovereign credit default swap spreads during the European sovereign debt crisis: Evidence from 19 countries. Akdeniz İİBF Journal, 17(36), 1-18. https://doi.org/10.25294/auiibfd.357603