EXAMINATION OF MACROECONOMIC DETERMINANTS OF CDS SPREADS: ARDL BOUND TESTING APPROACH

Yıl 2019, Cilt: 8 Sayı: 16, 33 - 49, 06.01.2020

Hikmet Akyol Nuri Baltacı

Öz

Nowadays, there are certain indicators developed by internationally respected institutions that allow to be informed about the macroeconomic structure of countries. Credit default swaps (CDS) are one of the indicators, which is an important tool for the credit risk of the countries. Accordingly, countries with high CDS spreads are considered to be at risk in terms of international capital investments. However, low CDS premiums indicate a lower risk for the country. In the literature, the macroeconomic variables affecting CDS were investigated extensively. Especially, depending on the increasing economic weights of developing countries, the variables that affect their CDS spreads have gained more importance. This is affecting Turkey's CDS spreads domestic and global variables were examined in the research that is going on. For this purpose, the period of 2005Q2-2018Q4 was analysed with ARDL bound testing approach. According to the analysis findings, local variables affecting Turkey's CDS spreads, real interest rates, BIST100 index returns, the current account balance, portfolio investments to the country and the inflation rate. Global variables affecting CDS spreads are VIX, MSCI-Europe index, FED interest rates, oil prices and US economic / monetary policy uncertainties.

Anahtar Kelimeler

Credit Default Swaps, Credit Risk

CDS PRİMLERİNİN MAKROEKONOMİK BELİRLEYİCİLERİNİN İNCELENMESİ: ARDL SINIR TESTİ YAKLAŞIMI

Öz

Günümüzde
ülkelerin makroekonomik yapısı hakkında bilgi sahibi olunmasına olanak sağlayan
ve uluslararası saygın kuruluşlar tarafından geliştirilmiş belli başlı
göstergeler bulunmaktadır. Kredi temerrüt takasları (CDS) söz konusu
göstergelerden birisi olup ülkelerin kredi riskinin görülmesini sağlayan önemli
bir araçtır. Buna göre CDS primleri yüksek olan ülkeler uluslararası sermaye
yatırımları açısından riskli görülmektedir. Buna karşın CDS primlerinin düşük
olması ülkenin daha düşük bir riske sahip olduğunu göstermektedir. Literatürde CDS’leri
etkileyen makroekonomik değişkenlerin neler olduğu yoğun olarak araştırılmıştır.
Özellikle gelişmekte olan ülkelerin artan ekonomik ağırlıklarına bağlı olarak onların
CDS primlerini etkileyen değişkenlerin neler olduğu konusu daha çok önem
kazanmıştır. Bu araştırmada Türkiye’nin CDS primlerini etkileyen yurtiçi ve
küresel değişkenlerin neler olduğu incelenmiştir. Bu amaç doğrultusunda,
2005Q2-2018Q4 dönemi ARDL sınır testi yaklaşımı ile analiz edilmiştir. Analiz
bulgularına göre, Türkiye’nin CDS primlerini etkileyen yerel değişkenler, reel
faiz oranları, BIST100 endeks getirileri, cari işlemler dengesi, ülkeye yapılan
portföy yatırımları ve enflasyon oranlarıdır. CDS primlerini etkileyen küresel
değişkenler ise VIX, MSCI-Europe endeksi, FED faiz oranları, petrol fiyatları
ve ABD ekonomik/parasal politika belirsizlikleridir.

Anahtar Kelimeler

Kredi Temerrüt Takasları, Kredi Riski, ARDL Sınır Testi

Kaynakça

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