Türkiye’nin CDS Priminin Oynaklığı

Öz

Ülke risk priminin önemli bir ölçütü olarak kabul edilen kredi temerrüt takası (Credit Default Swap; CDS) primleri, gelişmekte olan piyasaların finansal koşulları hakkında bilgi vermekte, kredi riskini dengelemek için bir güvence sağlamakta ve para politikasının başarısını etkilemektedir. CDS primlerindeki artış ülkenin kredi değerliliğini azaltmakta ve borçlanma maliyetlerini yükseltmektedir. Küresel finansal piyasalarda CDS’lerin işlem hacmindeki artışa paralel olarak iktisat yazınında CDS’lere verilen önemin arttığı görülmektedir. Bu çalışmanın amacı 29 Ocak 2008 – 14 Ekim 2016 dönemi için iş günü verilerini kullanarak Türkiye’nin beş yıllık CDS risk priminin oynaklığını incelemektir. Çalışmada uygun oynaklık modeli, GARCH-M (1,1) olarak belirlenmiştir. Ampirik bulgular: (i) tahmin edilen GARCH-M (1,1) modelinin istikrarlı olduğunu; (ii) CDS şoklarının kalıcılık etkisinin azaldığını; (iii) CDS serisinde güçlü bir GARCH etkisinin olduğunu, yani CDS oynaklığı üzerinde uzun hafıza etkisinin baskın olduğunu; (iv) CDS’lerin oynaklığındaki artışın CDS’lerin ortalama getirilerini etkilediğini ve ayrıca (v) VIX endeksi ve ABD’nin on yıllık Hazine tahvil faizi gibi dışsal baskınlık problemini yansıtan değişkenlerin CDS’lerin oynaklığını önemli ölçüde artırdığını göstermektedir.

Anahtar Kelimeler

• CDS Primi, GARCH-M, Oynaklık.

The Volatility of Turkey’s CDS Spreads

Öz

Credit Default Swap (CDS) spreads, considered as an important measure of sovereign risk premium inform about financial circumstances of emerging markets, provide an assurance to balance the credit risk and affect the success of monetary policy. The increase in CDS spreads reduces the credibility of the country and increases the costs of borrowing. Parallel to the increase in the transaction volume of CDSs in the global financial markets, we observe that the importance given to the CDS in the economic literature has increased. The purpose of this study is to examine the volatility of Turkey’s five year CDS spreads using weekdays data for the period January 29th, 2008–October 14th, 2016. In the study, the appropriate volatility model is GARCH-M (1,1). Empirical evidence suggests that (i) the estimated GARCH-M (1,1) model is stable; (ii) the persistency effect of CDS shocks declines; (iii) there is a strong GARCH effect in CDS series, that is, long memory effect is dominant on CDS volatility; (iv) the increase in the volatility of CDS affects the average returns of CDS; and also (v) variables reflecting the external dominance problem such as VIX index and USA Treasury Benchmark Ten Year Bond Interest Rate increase the volatility of CDS significantly.

Anahtar Kelimeler

• CDS Spread, GARCH-M, Volatility

Kaynakça

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