A Study on Analysis of the Causality Relationship between Fiscal Balance and CDS Premiums; Evidence from Turkey

Öz

One of the major factors in the debt crisis in Euro-Area experienced over the period of 2010-2014 is the macroeconomic imbalances of the countries under financial stress such as Greece, Spain and Portugal. In the crisis period, the CDS (credit default swap) premiums of these countries increased significantly due to the weakening macroeconomic indicators, the deterioration in the global investor perception and the increase in the risk premium. Despite the austerity programs implemented, CDS premiums stayed in high levels for a period. The objective of this study to investigate the relationship between fiscal balances as budget deficit to GDP ratio and current account deficit to GDP ratio and sovereign CDS premiums in the period of 2006:Q1-2018:Q3. In the analysis, Fourier ADF unit root test and Fourier Granger causality test are employed by using the quarterly data obtained from TurkSTAT Statistics Database and Bloomberg. These test allow for taking into account multiple structural breaks in the analysis, contributing to credibility of the results. The results supported the causality relationship from current account to GDP ratio to sovereign CDS premiums for the period of 2006:Q1-2018:Q3 in Turkey. Accordingly, it is seen that current account to GDP ratio, one of the indicators of fiscal balance, has impact on CDS premiums in the relevant period. 

Anahtar Kelimeler

• Budget Deficit,Current Account Deficit,Fiscal Balance,SCDS Premiums,Structural Breaks

Mali Dengeler ile CDS Primleri Arasındaki Nedensellik İlişkisinin Analizine Yönelik Bir Çalışma; Türkiye Örneği

Öz

2010-2014 döneminde Avrupa Bölgesi’nde yaşanan borç krizinde temel faktörlerden biri, finansal stres yaşayan Yunanistan, İspanya ve Portekiz gibi ülkelerin makroekonomik temellerindeki dengesizliklerdir. Kriz döneminde, makroekonomik göstergelerdeki sıkıntılar, küresel yatırımcı algısının bozulması ve risk primindeki artışla birlikte, söz konusu ülke CDS (kredi temerrüt swap) primlerinin belirgin şekilde yükselmesine yol açmış; uygulanan tasarruf programlarına rağmen, CDS primleri yüksek seviyelerini bir süre korumuştur. Bu çalışmanın amacı, Türkiye’de, mali dengeye işaret eden bütçe açığı/GSYİH ve cari açık/GSYİH oranları ile ülke CDS primleri arasındaki ilişkinin 2006:Ç1-2018:Ç3 dönemi verileri kullanılarak analiz edilmesidir. Türkiye İstatistik Kurumu Veritabanı’ndan ve Bloomberg’ten elde edilen çeyrek dönem verileriyle yapılan analizde, Fourier ADF birimkök testi ve Fourier Granger nedensellik testi kullanılmıştır. Bu testler, çok sayıda yapısal kırılmanın analizde dikkate alınmasına olanak sağlayarak, sonuçların güvenirliğinin artmasına katkıda bulunmaktadır. Çalışma sonuçları, Türkiye’de, 2006:Ç1-2018:Ç3 döneminde cari açık/GSYİH oranı ile CDS primleri arasında bir nedensellik ilişkisi olduğuna işaret etmektedir. Buna göre, söz konusu dönemde, mali dengeye indikatörlerinden olan cari açık/GSYİH oranı, CDS primleri üzerinde kısa dönemde etkiye sahip bulunmaktadır.  

Anahtar Kelimeler

• Bütçe Açığı,Cari Açık,Mali Denge,Ülke CDS Primleri,Yapısal Kırılmalar

Kaynakça

1. CEPNİ, O., KÜÇÜKSARAÇ, D. & YILMAZ, M.H. (2017). The sensitivity of credit default swap premium to global risk factor: Evidence from emerging markets, Economics Letters, 159, 74-77.
2. CLARK, E. & KASSIMATIS, K. (2015). Macroeconomic effects on emerging-markets sovereign credit spreads, spreads, Journal of Financial Stability, 20, 1-13.
3. ENDERS, W. & LEE, J. (2012). The flexible Fourier form and the Dickey-Fuller type unit root tests, Economics Letters, 117, 196-199.
4. ENDERS, W. & JONES, P. (2016). Grain prices, oil prices, and multiple smooth breaks in a VAR", Studies in Nonlinear Dynamics & Econometrics, 20(4), 399-419.
5. FILIPPOS, A. (2017). The relationship between CDS spreads and macroeconomic factors of the countries of the Eurozone, Tilburg University, School of Economics and Management, Master’s Thesis, August 2017
6. FONTANA, A. & SCHEICHER, M. (2010). An analysis of Euro-Area sovereign CDS. European Central Bank Working Paper Series, No:1271, 1-47.
7. FONTANA, A. & SCHEICHER, M. (2016). An analysis of Euro-Area sovereign CDS and their relation with government bonds, Journal of Banking & Finance, 62(C), 126-140.
8. HEINZ, F. F. & SUN, Y. (2014). Sovereign CDS spreads in Europe - The role of global risk aversion, economic fundamentals, liquidity and spillovers, IMF Working Paper, WP/14/17, 1-77.

9. KLIBER, A. (2014). The dynamics of sovereign credit default swaps and the evolution of the financial crisis in selected Central European Economies, Czech Journal of Economics and Finance, 64(4), 330-350.
10. KOCSIS, Z. & MONOSTORI, Z. (2016). The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences, Emerging Markets Review, 27, 140-168.
11. LIU, Y. & MORLEY, B. (2013). Sovereign credit ratings, the macroeconomy and credit default swap spread, Brussels Economic Review, 56(3/4), 335-348.
12. MELLIOS, C. & PAGET-BLANC, E. (2006). The impact of macro-economic variables on the sovereign CDS spreads of the Eurozone countries: Examining the determinants of credit default swaps. Journal of Finance, 12(4), 363-382.
13. METIU, N. (2011). The EMU in debt distress: contagion in sovereign bond market. Research Paper, European Economic Association & Econometric Society 2011 Parallel Meetings, 25-29 August 2011, Oslo.
14. NERI, S. & ROPELE, T. (2015). The macroeconomic effects of the sovereign debt crisis in the Euro Area, Economic Working Papers, 1007, Bank of Italy, Economic Research and International Relations Area ,1-46.
15. NICKEL, C., ROTHER, P.C. & RULKE, J. C. (2009). Fiscal variables and bond spreads- Evidence from Eastern European Countries and Turkey, ECB Working Paper Series, No:1101, 1-42.
16. OLIVEIRA, L., CURTO, D. & NUNES, P. (2012). The determinants of sovereign credit spread changes in the Euro-zone, Journal of International Financial Markets, Institutions and Money, 22(2), 278-304.
17. SCHWAAB, B., KOPPMAN, S. J. & LUCAS, A. (2016). Global credit risk: world, country and industry factors, ECB Working Paper Series, No: 1922, 1-53.
18. SUNGUR, O. (2015). 2000 sonrası Türkiye ekonomisi: büyüme, enflasyon, işsizlik, borçlanma ve dış ticarette gelişmeler, Toplum ve Demokrasi, 9 (19-20), 243-269.
19. TCMB (2019). Elektronik Veri Dağıtım Sistemi, https://evds2.tcmb.gov.tr/index.php?/evds/serieMarket adresinden ulaşılmıştır.
20. TÜİK (2019), Temel İstatistikler, http://www.tuik.gov.tr/UstMenu.do?metod=temelist adresinden ulaşılmıştır.
21. YUAN, C. & PONGSIRI, T. J. (2015). Fiscal austerity, growth prospects, and sovereign CDS spreads: The Eurozone and beyond, International Economics, 141, 50-79.
22. YÜKSEL, A. & YÜKSEL, A. (2017). Avrupa borç krizi döneminde global risk faktörleri ve ülke kredi temerrüt takası primi ilişkisi: 19 ülke örneği, Akdeniz İ.İ.B.F. Dergisi, (36), 1-18.