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DETERMINANTS OF SOVEREIGN CREDIT DEFAULT SWAP (CDS) SPREADS IN EMERGING COUNTRIES: EVIDENCE FROM TURKEY

Yıl 2022, , 742 - 761, 27.12.2022
https://doi.org/10.17065/huniibf.1054042

Öz

Turkey faces increasing CDS (Credit Default Swap) spreads. The level of CDS spreads shows the riskiness of a country in terms of credit default and countries can’t attract high foreign investment inflows when CDS spreads are high. In this context, countries need to identify the influential factors in order to decrease CDS spreads. In this study, ten independent variables classified in global, macro, and market factors are analyzed using monthly data between January 2004 and December 2019 with autoregressive distributed lag (ARDL), fully modified least square (FMOLS), dynamic ordinary least square (DOLS), and Markov Switching Regression (MSR) after applying principal component analysis (PCA). The results show that (i) market component has a greater effect than other components for all models, which indicates that it is the most important variable for Turkey’s CDS spreads; (ii) global and market components are positive and statistically significant for the ARDL, FMOLS, and DOLS models; (iii) macro component is negative for all models.

Kaynakça

  • Akçelik, F. and Fendoğlu, S. (2019). Country risk premium and domestic macroeconomic fundamentals when global risk appetite slides. CBRT Research Notes in Economics, No.19/04, 1-11.
  • Alexander, C., & Kaeck, A. (2008). Regime dependent determinants of credit default swap spreads, Journal of Banking & Finance, 32(6), 1008-1021. https://doi.org/10.1016/j.jbankfin.2007.08.002
  • Arce, O., Mayordomo, S., & Peña, J. I. (2013). Credit-Risk valuation in the sovereign CDS and bonds markets: evidence from the euro area crisis. Journal of International Money and Finance, 35, 124-145. https://doi.org/10.1016/j.jimonfin.2013.01.006
  • Arouri, M. E. H., Jouini, J., & Nguyen, D. K. (2011). Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management. Journal of International Money and Finance, 30(7), 1387-1405. https://doi.org/10.1016/j.jimonfin.2011.07.008
  • Banking Regulation and Supervision Agency. (2020). Monthly Data, Retrieved 3 February 2020 from https://www.bddk.org.tr/BultenAylik, 03.02.2020
  • Bautista, C. C. (2003). Stock Market Volatility in the Philippines. Applied Economics Letters, 10(5), 315-318. https://doi.org/10.1080/13504850210148107
  • Benbouzid, N., Mallick, S. K., & Sousa, R. M. (2017). An international forensic perspective of the determinants of Bank CDS Spreads. Journal of Financial Stability, 33, 60-70. https://doi.org/10.1016/j.jfs.2017.10.004
  • Blanco, R., Brennan, S., & Marsh, I. W. (2005). An empirical analysis of the dynamic relation between investment‐grade bonds and credit default Swaps. The Journal of Finance, 60(5), 2255-2281. https://doi.org/10.1111/j.1540-6261.2005.00798.x
  • Bloomberg. (2020). , Retrieved 31 January 2020 from Bloomberg Terminal
  • Bouri, E., De Boyrie, M. E., & Pavlova, I. (2016). Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries. International Review of Financial Analysis, 49, 155-165. https://doi.org/10.1016/j.irfa.2016.11.001
  • Bouri, E., Kachacha, I., & Roubaud, D. (2020). Oil market conditions and sovereign risk in MENA oil exporters and importers. Energy Policy, 137, 111073.https://doi.org/10.1016/j.enpol.2019.111073
  • The Central Bank of the Republic of Turkey (CBRT). (2020a). Inflation Report 2020-I, Retrieved 02 February 2020 from https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Reports/Inflation+Report
  • CBRT. (2020b). Electronic Data Distribution System (EVDS), Retrieved 20 January 2020 from https://evds2.tcmb.gov.tr/index.php?/evds/serieMarket
  • Che, X., & Kapadia, N. (2012). Can credit risk be hedged in equity markets? SSRN Electronic Journal, https://doi.org/10.2139/ssrn.2024611
  • Collin-Dufresne, P., Goldstein, R. S., & Martin, J. S. (2001). The determinants of credit spread changes. The Journal of Finance, 56(6), 2177-2207. https://doi.org/10.1111/0022-1082.00402
  • Coşkun, Y., Seven, Ü., Ertuğrul, H. M., & Ulussever, T. (2017). Capital market and economic growth nexus: Evidence from Turkey. Central Bank Review, 17(1), 19-29. https://doi.org/10.1016/j.cbrev.2017.02.003
  • Cremers, K. M., Driessen, J., & Maenhout, P. (2008). Explaining the level of credit spreads option-implied jump risk premia in a firm value model. The Review of Financial Studies, 21(5), 2209-2242. https://doi.org/10.1093/rfs/hhn071
  • Dooley, M., & Hutchison, M. (2009). Transmission of the US subprime crisis to emerging Markets: Evidence on the decoupling-recoupling hypothesis. Journal of International Money and Finance, 28(8), 1331-1349. https://doi.org/10.1016/j.jimonfin.2009.08.004
  • Duffie, D., Pedersen, L. H., & Singleton, K. J. (2003). Modeling sovereign yield spreads a case study of russian debt. The Journal of Finance, 58(1), 119-159. https://doi.org/10.1111/1540-6261.00520
  • Ertuğrul, H. M., & Öztürk, H. (2013). The drivers of credit swap prices: Evidence from selected emerging market countries. Emerging Markets Finance & Trade, 49, 228-249. https://doi.org/10.2753/REE1540-496X4905S514
  • Ertuğrul, H. M., & Soytas, U. (2013). Sanayi üretim endeksinin durağanlık özellikleri. İktisat, İşletme ve Finans, 28, 51-56.
  • Fontana, A., & Scheicher, M. (2016). An analysis of euro area sovereign CDS and their relation with government bonds. Journal of Banking & Finance, 62, 126-140. https://doi.org/10.1016/j.jbankfin.2015.10.010
  • Galil, K., Shapir, O. M., Amiram, D., & Ben-Zion, U. (2014). The Determinants of CDS Spreads, Journal of Banking & Finance. 41, 271-282. https://doi.org/10.1016/j.jbankfin.2013.12.005
  • Galil, K., & Soffer, G. (2011). Good news, bad news, and rating announcements: an empirical investigation, Journal of Banking & Finance, 35(11), 3101-3119. https://doi.org/10.1016/j.jbankfin.2011.04.010
  • Hammoudeh, S., Liu, T., Chang, C. L., & McAleer, M. (2013). Risk spillovers in oil-related CDS, stock and credit markets. Energy Economics, 36, 526-535. https://doi.org/10.1016/j.eneco.2012.10.010
  • Hardle, W. K., & Simar, L. (2015). Principal components analysis, in applied multivariate statistical analysis (pp. 319-358). Springer, Berlin, Heidelberg.
  • Hasan, I., Liu, L., & Zhang, G. (2016). The determinants of global bank credit-default-swap spreads. Journal of Financial Services Research, 50(3), 275-309. DOI 10.1007/s10693-015-0232-z
  • Hassan, M. K., Ngene, G. M., & Yu, J. S. (2015). Credit default swaps and sovereign debt markets. Economic Systems, 39(2), 240-252. https://doi.org/10.1016/j.ecosys.2014.07.002
  • Hassan, M. K., Kayhan, S., & Bayat, T. (2017). Does credit default swap spread affect the value of the Turkish lira against the US Dollar? Borsa Istanbul Review, 17(1), 1-9. https://doi.org/10.1016/j.bir.2016.10.002
  • Hibbert, A. M., & Pavlova, I. (2017). The drivers of dovereign CDS dpread changes: Local versus global factors. Financial Review, 52(3), 435-457. https://doi.org/10.1111/fire.12140
  • Hull, J., Predescu, M., & White, A. (2004). The relationship between credit default swap spreads, bond yields, and credit rating announcements. Journal of Banking & Finance, 28(11), 2789-2811. https://doi.org/10.1016/j.jbankfin.2004.06.010
  • Jorion, P., & Zhang, G. (2007). Good and bad credit contagion, evidence from credit defaults swaps. Journal of Finance Economics, 84(3), 860-883. https://doi.org/10.1016/j.jfineco.2006.06.001
  • Kartal, M. T. (2020). The behavior of sovereign credit default swaps (CDS) spread: Evidence from Turkey with the effect of Covid-19 pandemic. Quantitative Finance and Economics, 4(3), 489-502. doi: 10.3934/QFE.2020022
  • Kocsis, Z., & Monostori, Z. (2016). The role of country-specific fundamentals in sovereign CDS spreads eastern european experiences, Emerging Markets Review, 27, 140-168. https://doi.org/10.1016/j.ememar.2016.05.003
  • Küçüksaraç, D., & Duran, M. (2016). How different are the factors affecting the credit ratings of developed and emerging countries? CBRT Research and Monetary Policy Department, No. 2016-09.
  • Lahiani, A., Hammoudeh, S., & Gupta, R. (2016). Linkages between financial sector CDS spreads and macroeconomic ınfluence in a nonlinear setting. International Review of Economics & Finance, 43, 443-456. https://doi.org/10.1016/j.iref.2016.01.007
  • Liu, Y., Sun, S., Dou, L., & Hou, J. (2020). An improved probability combination scheme based on principal component analysis and permanence of ratios model - an application to a fractured reservoir modeling, ordos basin. Journal of Petroleum Science and Engineering, 107123. https://doi.org/10.1016/j.petrol.2020.107123
  • Longstaff, F. A., & Schwartz, E. S. (1995). A Simple approach to valuing risky fixed and floating rate debt. The Journal of Finance, 50(3), 789-819. https://doi.org/10.1111/j.1540-6261.1995.tb04037.x
  • Merton, R. C. (1974). On the pricing of corporate debt: The risk structure of interest rates. The Journal of Finance, 29(2), 449-470. https://doi.org/10.2307/2978814
  • Miyazaki, T., & Hamori, S. (2013). Testing for causality between the gold return and stock market performance: Evidence for gold investment in case of emergency. Applied Financial Economics, 23(1), 27-40. https://doi.org/10.1080/09603107.2012.699184
  • Ng, S., & Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69(6), 1519-1554. https://doi.org/10.1111/1468-0262.00256
  • Nobre, J., & Neves, R. F. (2019). Combining principal component analysis, discrete wavelet transform and xgboost to trade in the financial markets. Expert Systems with Applications, 125, 181-194. https://doi.org/10.1016/j.eswa.2019.01.083
  • Norden, L., & Weber, M. (2004). Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements. Journal of Banking & Finance, 28(11), 2813-2843. https://doi.org/10.1016/j.jbankfin.2004.06.011
  • Park, Y. J., Kutan, A. M., & Ryu, D. (2019). The impacts of overseas market shocks on the CDS-option basis. The North American Journal of Economics and Finance, 47, 622-636. https://doi.org/10.1016/j.najef.2018.07.003
  • Pavlova, I., De Boyrie, M. E., & Parhizgari, A. M. (2018). A dynamic spillover analysis of crude oil effects on the sovereign credit risk of exporting countries. The Quarterly Review of Economics and Finance, 68, 10-22. https://doi.org/10.1016/j.qref.2018.03.003
  • Shahzad, S. J. H., Nor, S. M., Ferrer, R., & Hammoudeh, S. (2017). Asymmetric determinants of CDS spreads US industry-level evidence through the NARDL approach. Economic Modelling, 60, 211-230. https://doi.org/10.1016/j.econmod.2016.09.003
  • Stock, J. H., & Watson, M. W. (2002). Forecasting using principal components from a large number of predictors. Journal of the American Statistical Association, 97(460), 1167-1179. https://doi.org/10.1198/016214502388618960
  • Wang, J., Sun, X., & Li, J. (2020). How do sovereign credit default swap spreads behave under extreme oil price movements? Evidence from G7 and BRICS countries, Finance Research Letters, 101350. https://doi.org/10.1016/j.frl.2019.101350
  • Wold, S., Esbensen, K., & Geladi, P. (1987). Principal component analysis. Chemometrics and Intelligent Laboratory Systems, 2(1-3), 37-52. https://doi.org/10.1016/0169-7439(87)80084-9
  • Yang, L., Yang, L., & Hamori, S. (2018). Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries.International Review of Financial Analysis, 59, 19-34. https://doi.org/10.1016/j.irfa.2018.06.001
  • Zhang, B. Y., Zhou, H., & Zhu, H. (2009). Explaining credit default swap Spreads with the equity volatility and jump risks of individual firms. The Review of Financial Studies, 22(12), 5099-5131.
  • Zhao, H., Zheng, J., Xu, J., & Deng, W. (2019). Fault diagnosis method based on principal component analysis and broad learning system, IEEE Access, 7, 99263-99272.
  • Zhu, H. (2006). An Empirical comparison of credit spreads between the bond market and the credit default swap market. Journal of Financial Services Research, 29(3), 211-235. DOI 10.1007/s10693-006-7626-x
  • Zivot, E., & 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

Gelişmekte Olan Ülkelerde Kredi Temerrüt Takası (CDS) Primlerinin Belirleyicileri: Türkiye'den Kanıtlar

Yıl 2022, , 742 - 761, 27.12.2022
https://doi.org/10.17065/huniibf.1054042

Öz

Türkiye son zamanlarda artan kredi temerrüt takası ile karşı karşıyadır. CDS düzeyi, bir ülkenin kredi temerrüdü açısından riskli olduğunu göstermektedir. Yüksek CDS’e sahip ülkeler için yüksek yabancı yatırım girişi beklenmemektedir. Ayrıca yabancı yatırım girişinin az olması makroekonomik ortamdaki belirsizlikleri artırabilmektedir. Bu bağlamda ekonomilerin CDS spreadlerini düşürmede etkili olan faktörleri belirlemeye ihtiyaç duyarlar. Çalışmada; küresel, makro ve piyasa kategorilerinde sınıflandırılan on bağımsız değişken, 2004:1 ile 2019:12 dönemine ait aylık veriler kullanılarak temel bileşen analizi, dinamik Markov Switching, ARDL, FMOLS ve DOLS modelleri uygulanarak analiz edilmiştir. Model sonucunde elde edilen bulgulara göre; (i) tüm modeller için piyasa bileşeninin diğer bileşenlere göre daha büyük bir etkiye sahip olduğunu ve Türkiye'nin CDS yayılımı için en önemli değişken olduğunu göstermektedir; (ii) küresel ve piyasa bileşenleri, tüm statik modeller için pozitif ve istatistiksel olarak anlamlıdır; (iii) makro bileşen ise tüm modeller için negatiftir.

Kaynakça

  • Akçelik, F. and Fendoğlu, S. (2019). Country risk premium and domestic macroeconomic fundamentals when global risk appetite slides. CBRT Research Notes in Economics, No.19/04, 1-11.
  • Alexander, C., & Kaeck, A. (2008). Regime dependent determinants of credit default swap spreads, Journal of Banking & Finance, 32(6), 1008-1021. https://doi.org/10.1016/j.jbankfin.2007.08.002
  • Arce, O., Mayordomo, S., & Peña, J. I. (2013). Credit-Risk valuation in the sovereign CDS and bonds markets: evidence from the euro area crisis. Journal of International Money and Finance, 35, 124-145. https://doi.org/10.1016/j.jimonfin.2013.01.006
  • Arouri, M. E. H., Jouini, J., & Nguyen, D. K. (2011). Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management. Journal of International Money and Finance, 30(7), 1387-1405. https://doi.org/10.1016/j.jimonfin.2011.07.008
  • Banking Regulation and Supervision Agency. (2020). Monthly Data, Retrieved 3 February 2020 from https://www.bddk.org.tr/BultenAylik, 03.02.2020
  • Bautista, C. C. (2003). Stock Market Volatility in the Philippines. Applied Economics Letters, 10(5), 315-318. https://doi.org/10.1080/13504850210148107
  • Benbouzid, N., Mallick, S. K., & Sousa, R. M. (2017). An international forensic perspective of the determinants of Bank CDS Spreads. Journal of Financial Stability, 33, 60-70. https://doi.org/10.1016/j.jfs.2017.10.004
  • Blanco, R., Brennan, S., & Marsh, I. W. (2005). An empirical analysis of the dynamic relation between investment‐grade bonds and credit default Swaps. The Journal of Finance, 60(5), 2255-2281. https://doi.org/10.1111/j.1540-6261.2005.00798.x
  • Bloomberg. (2020). , Retrieved 31 January 2020 from Bloomberg Terminal
  • Bouri, E., De Boyrie, M. E., & Pavlova, I. (2016). Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries. International Review of Financial Analysis, 49, 155-165. https://doi.org/10.1016/j.irfa.2016.11.001
  • Bouri, E., Kachacha, I., & Roubaud, D. (2020). Oil market conditions and sovereign risk in MENA oil exporters and importers. Energy Policy, 137, 111073.https://doi.org/10.1016/j.enpol.2019.111073
  • The Central Bank of the Republic of Turkey (CBRT). (2020a). Inflation Report 2020-I, Retrieved 02 February 2020 from https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Reports/Inflation+Report
  • CBRT. (2020b). Electronic Data Distribution System (EVDS), Retrieved 20 January 2020 from https://evds2.tcmb.gov.tr/index.php?/evds/serieMarket
  • Che, X., & Kapadia, N. (2012). Can credit risk be hedged in equity markets? SSRN Electronic Journal, https://doi.org/10.2139/ssrn.2024611
  • Collin-Dufresne, P., Goldstein, R. S., & Martin, J. S. (2001). The determinants of credit spread changes. The Journal of Finance, 56(6), 2177-2207. https://doi.org/10.1111/0022-1082.00402
  • Coşkun, Y., Seven, Ü., Ertuğrul, H. M., & Ulussever, T. (2017). Capital market and economic growth nexus: Evidence from Turkey. Central Bank Review, 17(1), 19-29. https://doi.org/10.1016/j.cbrev.2017.02.003
  • Cremers, K. M., Driessen, J., & Maenhout, P. (2008). Explaining the level of credit spreads option-implied jump risk premia in a firm value model. The Review of Financial Studies, 21(5), 2209-2242. https://doi.org/10.1093/rfs/hhn071
  • Dooley, M., & Hutchison, M. (2009). Transmission of the US subprime crisis to emerging Markets: Evidence on the decoupling-recoupling hypothesis. Journal of International Money and Finance, 28(8), 1331-1349. https://doi.org/10.1016/j.jimonfin.2009.08.004
  • Duffie, D., Pedersen, L. H., & Singleton, K. J. (2003). Modeling sovereign yield spreads a case study of russian debt. The Journal of Finance, 58(1), 119-159. https://doi.org/10.1111/1540-6261.00520
  • Ertuğrul, H. M., & Öztürk, H. (2013). The drivers of credit swap prices: Evidence from selected emerging market countries. Emerging Markets Finance & Trade, 49, 228-249. https://doi.org/10.2753/REE1540-496X4905S514
  • Ertuğrul, H. M., & Soytas, U. (2013). Sanayi üretim endeksinin durağanlık özellikleri. İktisat, İşletme ve Finans, 28, 51-56.
  • Fontana, A., & Scheicher, M. (2016). An analysis of euro area sovereign CDS and their relation with government bonds. Journal of Banking & Finance, 62, 126-140. https://doi.org/10.1016/j.jbankfin.2015.10.010
  • Galil, K., Shapir, O. M., Amiram, D., & Ben-Zion, U. (2014). The Determinants of CDS Spreads, Journal of Banking & Finance. 41, 271-282. https://doi.org/10.1016/j.jbankfin.2013.12.005
  • Galil, K., & Soffer, G. (2011). Good news, bad news, and rating announcements: an empirical investigation, Journal of Banking & Finance, 35(11), 3101-3119. https://doi.org/10.1016/j.jbankfin.2011.04.010
  • Hammoudeh, S., Liu, T., Chang, C. L., & McAleer, M. (2013). Risk spillovers in oil-related CDS, stock and credit markets. Energy Economics, 36, 526-535. https://doi.org/10.1016/j.eneco.2012.10.010
  • Hardle, W. K., & Simar, L. (2015). Principal components analysis, in applied multivariate statistical analysis (pp. 319-358). Springer, Berlin, Heidelberg.
  • Hasan, I., Liu, L., & Zhang, G. (2016). The determinants of global bank credit-default-swap spreads. Journal of Financial Services Research, 50(3), 275-309. DOI 10.1007/s10693-015-0232-z
  • Hassan, M. K., Ngene, G. M., & Yu, J. S. (2015). Credit default swaps and sovereign debt markets. Economic Systems, 39(2), 240-252. https://doi.org/10.1016/j.ecosys.2014.07.002
  • Hassan, M. K., Kayhan, S., & Bayat, T. (2017). Does credit default swap spread affect the value of the Turkish lira against the US Dollar? Borsa Istanbul Review, 17(1), 1-9. https://doi.org/10.1016/j.bir.2016.10.002
  • Hibbert, A. M., & Pavlova, I. (2017). The drivers of dovereign CDS dpread changes: Local versus global factors. Financial Review, 52(3), 435-457. https://doi.org/10.1111/fire.12140
  • Hull, J., Predescu, M., & White, A. (2004). The relationship between credit default swap spreads, bond yields, and credit rating announcements. Journal of Banking & Finance, 28(11), 2789-2811. https://doi.org/10.1016/j.jbankfin.2004.06.010
  • Jorion, P., & Zhang, G. (2007). Good and bad credit contagion, evidence from credit defaults swaps. Journal of Finance Economics, 84(3), 860-883. https://doi.org/10.1016/j.jfineco.2006.06.001
  • Kartal, M. T. (2020). The behavior of sovereign credit default swaps (CDS) spread: Evidence from Turkey with the effect of Covid-19 pandemic. Quantitative Finance and Economics, 4(3), 489-502. doi: 10.3934/QFE.2020022
  • Kocsis, Z., & Monostori, Z. (2016). The role of country-specific fundamentals in sovereign CDS spreads eastern european experiences, Emerging Markets Review, 27, 140-168. https://doi.org/10.1016/j.ememar.2016.05.003
  • Küçüksaraç, D., & Duran, M. (2016). How different are the factors affecting the credit ratings of developed and emerging countries? CBRT Research and Monetary Policy Department, No. 2016-09.
  • Lahiani, A., Hammoudeh, S., & Gupta, R. (2016). Linkages between financial sector CDS spreads and macroeconomic ınfluence in a nonlinear setting. International Review of Economics & Finance, 43, 443-456. https://doi.org/10.1016/j.iref.2016.01.007
  • Liu, Y., Sun, S., Dou, L., & Hou, J. (2020). An improved probability combination scheme based on principal component analysis and permanence of ratios model - an application to a fractured reservoir modeling, ordos basin. Journal of Petroleum Science and Engineering, 107123. https://doi.org/10.1016/j.petrol.2020.107123
  • Longstaff, F. A., & Schwartz, E. S. (1995). A Simple approach to valuing risky fixed and floating rate debt. The Journal of Finance, 50(3), 789-819. https://doi.org/10.1111/j.1540-6261.1995.tb04037.x
  • Merton, R. C. (1974). On the pricing of corporate debt: The risk structure of interest rates. The Journal of Finance, 29(2), 449-470. https://doi.org/10.2307/2978814
  • Miyazaki, T., & Hamori, S. (2013). Testing for causality between the gold return and stock market performance: Evidence for gold investment in case of emergency. Applied Financial Economics, 23(1), 27-40. https://doi.org/10.1080/09603107.2012.699184
  • Ng, S., & Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69(6), 1519-1554. https://doi.org/10.1111/1468-0262.00256
  • Nobre, J., & Neves, R. F. (2019). Combining principal component analysis, discrete wavelet transform and xgboost to trade in the financial markets. Expert Systems with Applications, 125, 181-194. https://doi.org/10.1016/j.eswa.2019.01.083
  • Norden, L., & Weber, M. (2004). Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements. Journal of Banking & Finance, 28(11), 2813-2843. https://doi.org/10.1016/j.jbankfin.2004.06.011
  • Park, Y. J., Kutan, A. M., & Ryu, D. (2019). The impacts of overseas market shocks on the CDS-option basis. The North American Journal of Economics and Finance, 47, 622-636. https://doi.org/10.1016/j.najef.2018.07.003
  • Pavlova, I., De Boyrie, M. E., & Parhizgari, A. M. (2018). A dynamic spillover analysis of crude oil effects on the sovereign credit risk of exporting countries. The Quarterly Review of Economics and Finance, 68, 10-22. https://doi.org/10.1016/j.qref.2018.03.003
  • Shahzad, S. J. H., Nor, S. M., Ferrer, R., & Hammoudeh, S. (2017). Asymmetric determinants of CDS spreads US industry-level evidence through the NARDL approach. Economic Modelling, 60, 211-230. https://doi.org/10.1016/j.econmod.2016.09.003
  • Stock, J. H., & Watson, M. W. (2002). Forecasting using principal components from a large number of predictors. Journal of the American Statistical Association, 97(460), 1167-1179. https://doi.org/10.1198/016214502388618960
  • Wang, J., Sun, X., & Li, J. (2020). How do sovereign credit default swap spreads behave under extreme oil price movements? Evidence from G7 and BRICS countries, Finance Research Letters, 101350. https://doi.org/10.1016/j.frl.2019.101350
  • Wold, S., Esbensen, K., & Geladi, P. (1987). Principal component analysis. Chemometrics and Intelligent Laboratory Systems, 2(1-3), 37-52. https://doi.org/10.1016/0169-7439(87)80084-9
  • Yang, L., Yang, L., & Hamori, S. (2018). Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries.International Review of Financial Analysis, 59, 19-34. https://doi.org/10.1016/j.irfa.2018.06.001
  • Zhang, B. Y., Zhou, H., & Zhu, H. (2009). Explaining credit default swap Spreads with the equity volatility and jump risks of individual firms. The Review of Financial Studies, 22(12), 5099-5131.
  • Zhao, H., Zheng, J., Xu, J., & Deng, W. (2019). Fault diagnosis method based on principal component analysis and broad learning system, IEEE Access, 7, 99263-99272.
  • Zhu, H. (2006). An Empirical comparison of credit spreads between the bond market and the credit default swap market. Journal of Financial Services Research, 29(3), 211-235. DOI 10.1007/s10693-006-7626-x
  • Zivot, E., & 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
Toplam 54 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
Yazarlar

Mustafa Tevfik Kartal 0000-0001-8038-8241

Hasan Murat Ertuğrul 0000-0001-9822-4683

Fatih Ayhan 0000-0002-7447-5506

Yayımlanma Tarihi 27 Aralık 2022
Gönderilme Tarihi 5 Ocak 2022
Yayımlandığı Sayı Yıl 2022

Kaynak Göster

APA Kartal, M. T., Ertuğrul, H. M., & Ayhan, F. (2022). DETERMINANTS OF SOVEREIGN CREDIT DEFAULT SWAP (CDS) SPREADS IN EMERGING COUNTRIES: EVIDENCE FROM TURKEY. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 40(4), 742-761. https://doi.org/10.17065/huniibf.1054042
AMA Kartal MT, Ertuğrul HM, Ayhan F. DETERMINANTS OF SOVEREIGN CREDIT DEFAULT SWAP (CDS) SPREADS IN EMERGING COUNTRIES: EVIDENCE FROM TURKEY. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. Aralık 2022;40(4):742-761. doi:10.17065/huniibf.1054042
Chicago Kartal, Mustafa Tevfik, Hasan Murat Ertuğrul, ve Fatih Ayhan. “DETERMINANTS OF SOVEREIGN CREDIT DEFAULT SWAP (CDS) SPREADS IN EMERGING COUNTRIES: EVIDENCE FROM TURKEY”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 40, sy. 4 (Aralık 2022): 742-61. https://doi.org/10.17065/huniibf.1054042.
EndNote Kartal MT, Ertuğrul HM, Ayhan F (01 Aralık 2022) DETERMINANTS OF SOVEREIGN CREDIT DEFAULT SWAP (CDS) SPREADS IN EMERGING COUNTRIES: EVIDENCE FROM TURKEY. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 40 4 742–761.
IEEE M. T. Kartal, H. M. Ertuğrul, ve F. Ayhan, “DETERMINANTS OF SOVEREIGN CREDIT DEFAULT SWAP (CDS) SPREADS IN EMERGING COUNTRIES: EVIDENCE FROM TURKEY”, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, c. 40, sy. 4, ss. 742–761, 2022, doi: 10.17065/huniibf.1054042.
ISNAD Kartal, Mustafa Tevfik vd. “DETERMINANTS OF SOVEREIGN CREDIT DEFAULT SWAP (CDS) SPREADS IN EMERGING COUNTRIES: EVIDENCE FROM TURKEY”. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 40/4 (Aralık 2022), 742-761. https://doi.org/10.17065/huniibf.1054042.
JAMA Kartal MT, Ertuğrul HM, Ayhan F. DETERMINANTS OF SOVEREIGN CREDIT DEFAULT SWAP (CDS) SPREADS IN EMERGING COUNTRIES: EVIDENCE FROM TURKEY. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2022;40:742–761.
MLA Kartal, Mustafa Tevfik vd. “DETERMINANTS OF SOVEREIGN CREDIT DEFAULT SWAP (CDS) SPREADS IN EMERGING COUNTRIES: EVIDENCE FROM TURKEY”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, c. 40, sy. 4, 2022, ss. 742-61, doi:10.17065/huniibf.1054042.
Vancouver Kartal MT, Ertuğrul HM, Ayhan F. DETERMINANTS OF SOVEREIGN CREDIT DEFAULT SWAP (CDS) SPREADS IN EMERGING COUNTRIES: EVIDENCE FROM TURKEY. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2022;40(4):742-61.

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