EFFECT OF SOME MACROECONOMIC VARIABLES ON RISK PERCEPTION: THE TURKISH CASE

Öz

Recently Turkish economy is classified ‘fragile five’ with Brazil, India, Indonesia and South Africa because of some structural deficiencies and imbalances in its macroeconomic variables. Turkey’s fragility can be observed or measured from some economic indicators and one of them is Credit Default Swap (CDS) spread. It represents default probability of Turkish economy and it’s affected by many macroeconomic indicators. This study examines the determinants of CDS spread by using time series analysis for the period of 2011-2017 monthly data. On that note the relationships between the variables were tested with Johansen cointegration test to determine relationship in the long run . After determining long term relationship between the variables, the VECM (Vector Error Correction) model in cointegration framework was estimated in order to determine short term relationship. Lastly Granger test under VECM was applied in order to establish the uni or bi-directional causality between variables. In this frame we conclude that there is granger causality which directed from Current Account to Foreign Exchange and Foreign Exchange to CDS spread like a knock on effect. Also according to cointegration coefficient there is positive relationship between Foreign Exchange and CDS spread but we couldn’t support statistically significant relationship between Current Account and CDS spread.

Anahtar Kelimeler

• Credit Default Swap,Current Account Deficit,Exchange Rate,VAR analysis,Cointegration

EFFECT OF SOME MACROECONOMIC VARIABLES ON RISK PERCEPTION: THE TURKISH CASE

Öz

Türkiye ekonomisi bazı yapısal yetersizlikler ve makroekonomik değişkenlerindeki bazı dengesizlikler nedeniyle yükselen piyasa ekonomileri içinde Brezilya, Endonezya, G. Afrika ve Hindistan ile birlikte kırılgan beşli olarak da adlandırılan ekonomilerden biri olarak gösterilmektedir. Söz konusu kırılganlığı birtakım ekonomik değişkenler üzerinden gözlemleyebilmek yada ölçebilmek mümkündür. Bu değişkenlerden birisi olan Kredi Temerrüt Takası (CDS) Türkiye’nin borçlarını ödeyememe ihtimalini yansıtmakta ve diğer makro değişkenlerden etkilenmektedir. Bu çalışma 2011-2017 dönemi aylık verilerini zaman serisi analiz yöntemleriyle kullanarak CDS üzerindeki belirleyiciliğini inceleyecektir. Bu bağlamda değişkeneler arasındaki uzun dönemli ilişkiler Johansen eş bütünleşme testi ile araştırılmıştır. Değişkenler arasında uzun dönemli ilişki belirlendikten sonra eşbütünleşme çerçevesinde VECM modeli ile kısa dönemli dinamikler incelenmiştir. Son olarak değişkenler arasında tek yada çift yönlü nedensellik ilişkisi olup olmadığı VECM nedensellik testi ile araştırılmıştır. Bu çerçevede tıpkı bir zincirin halkaları gibi cari açık değişkeninden kur değişkenine ve kur değişkeninde CDS değişkenine Granger nedensellik ilişkisi tespit edilmiştir. Ayrıca eşbütünleşme katsayıları, döviz kuru değişkeni ile CDS değişkeni arasında pozitif ilişkiye işaret ederken, cari açık değişkeni ile CDS değişkeni arasında istatistiksel olarak anlamlı bir ilişki tespit edilememiştir. 

Anahtar Kelimeler

• Kredi Temerrüt Takası,Cari Açık,Döviz Kuru,Analizi,VAR Analizi,Eşbütünleşme

Kaynakça

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