BANKING INDUSTRY–SPECIFIC DETERMINANTS OF TÜRKIYE’S CREDIT DEFAULT SWAP PREMIUM

Öz

This paper investigates the nexus between a variety of banking sector indicators and the sovereign default swap premiums of Türkiye. The present study involves performing an autoregressive distributed lag bounds test using quarterly data over the 2009Q1–2023Q2 period. The findings indicate that an increase in the foreign currency liquidity coverage ratio causes a reduction in credit default swap premiums of Türkiye in the short–run, while an increase in capital adequacy ratio appears to reduce country risk in both the short– and long–run. The results show that decreasing level of total assets of the banking sector as a percentage of nominal gross domestic product is associated with lower sovereign default swap premium in the long–run. A decline in the overall open position in foreign exchange to total capital ratio causes country risk to decrease in both the long– and short–run. The findings reveal the essential role of the banking sector in terms of country risk assessment for Türkiye.

Anahtar Kelimeler

• Default swap
• Banking industry
• ARDL

TÜRKİYE'NİN KREDİ TEMERRÜT TAKASI PRİMİNİN BANKACILIK SEKTÖRÜ KAYNAKLI BELİRLEYİCİLERİ

Öz

Bu çalışmada ülke temerrüt takası priminin Türk bankacılık sektörüne ait bir dizi gösterge ile bağlantıları araştırılmıştır. Değişkenler arasındaki ilişki dağıtılmış otoregresif sınır testi yaklaşımına başvurulmak suretiyle analiz edilmiştir. 2009Q1–2023Q2 dönemindeki üçer aylık verilerle gerçekleştirilen araştırmanın tahmin sonuçları; sektörün yabancı para likidite karşılama oranındaki artışların kısa dönemde, sermaye yeterliliğindeki yükselişlerin ise hem kısa hem de uzun dönemde ülke temerrüt takası primlerini düşürdüğünü göstermektedir. Sektörün aktif toplamının gayri safi yurtiçi hasılaya oranındaki yükselişler uzun dönemde, net döviz pozisyonunun toplam özkaynaklara oranındaki artışlar her iki dönemde de ülke temerrüt takası primlerinin yükselmesine neden olmaktadır. Bulgular, ülke riski açısından bankacılık sektörünün önemini teyit etmektedir.

Anahtar Kelimeler

• Temerrüt takası
• Bankacılık sektörü
• ARDL

Kaynakça

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