Araştırma Makalesi
BibTex RIS Kaynak Göster

TÜRKİYE İÇİN KREDİ RİSK PRİMİ (CDS) VE EKONOMİK BÜYÜME ARASINDAKİ ZAMANLA DEĞİŞEN NEDENSELLİK İLİŞKİLERİ

Yıl 2020, Cilt: 5 Sayı: 10, 17 - 24, 30.06.2020

Öz

Kredinin geri ödenmeme riskine karşı alacaklıyı koruma altına alan kredi türev enstrümanı şeklinde tanımlanan, kredi risk primleri (CDS) özellikle kredi derecelendirme kuruluşları tarafından belirlenen ülke kredi notlarının yoğun eleştirilere maruz kaldığı bu dönemde piyasa aktörleri tarafından yakından takip edilen önemli bir risk göstergesi niteliğindedir. CDS primlerinin ülkelerin kredibilitesi hakkında önemli ipuçları sunuyor olması yatırımcıların kararlarını da önemli ölçüde etkileyebilmektedir. Bu yönüyle CDS’ler özellikle yatırım kanalıyla ekonomilerde üretim düzeyini etkileyebilmektedirler. Bu da CDS’ler ve ekonomik büyüme arasında bir nedensellik ilişkisinin olabileceğini göstermektedir.
Bu çalışmada da Türkiye’ye ait kredi risk primleri (CDS) ile ekonomik büyüme arasında bir nedensellik ilişkisinin olup olmadığı ve bu ilişkinin zamanla değişip değişmediğinin belirlenmesi amaçlanmaktadır. Bu amaca yönelik olarak çalışmada 2012M01-2016M12 dönemi için CDS’lerdeki değişim ile ekonomik büyümeyi temsilen sanayi üretim endeksindeki değişim (IPI) arasındaki zamanla değişen nedensellik ilişkileri incelenmiştir. Çalışmada öncelikle ilgili dönemin tamamı için nedensellik ilişkisi olup olmadığı Hacker ve Hatemi-j (2006) tarafından geliştirilmiş olan nedensellik analizi yöntemiyle araştırılmıştır. Sonrasında ise incelen dönem içinde istikrarsız ilişkilerin olabileceği düşüncesiyle, Hacker ve Hatemi-j (2006) yöntemine dayalı zamanla değişen nedensellik yöntemi kullanılarak değişkenler arasındaki nedensellik ilişkileri alt dönemler için analiz edilmiştir. Çalışmanın sonucunda incelenen dönemin tamamı için ekonomik büyüme ve CDS’ler arasında herhangi bir nedensellik ilişkisi olmamasına rağmen, alt dönemlerde değişkenler arasında farklı nedensellik ilişkilerinin varlığı tespit edilmiştir.

Kaynakça

  • AIZENMAN, J., JINJARAK, Y. and PARK, D. (2013). Fundamentals And Sovereign Risk Of Emerging Markets. NBER Working Paper, No: 18963.
  • ALTINTAŞ, N. ve OKUYAN, H.A. (2018). CDS - Büyüme İlişkisi: Yeni Kırılgan Beşli Ülkeler Üzerine Bir Uygulama. II. International Symposium on Economics, Finance and Econometrics, December 6-7, 2018, Bandırma/Balıkesir.
  • ARSLANTÜRK, Y., BALCILAR, M. and ÖZDEMİR, Z.A. (2011). “Time-Varying Linkages Between Tourism Receipts and Economic Growth in A Small Open Economy”, Economic Modelling, 28 (1):664-671.
  • BAUM, C. F. and WAN, C. (2010). “Macroeconomic Uncertainty and Credit Default Swap Spreads”, Applied Financial Economics, 20(15):1163-1171.
  • DANACI, M. C., ŞİT M. ve ŞİT A., (2017). “Kredi Temerrüt Swaplarının (CDS’lerin) Büyüme Oranıyla İlişkilendirilmesi: Türkiye Örneği”, Aksaray Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(2):67-78.
  • DI CESARE, A. and GUAZZAROTTI, G. (2010). “An Analysis of The Determinants of Credit Default Swap Spreads Changes Before and During The Subprime Financial Turmoil”, Banca D’Italia Temi di Discussione Working Paper, No: 749.
  • DOSHI, H., JACOBS, K. and ZURITA, V. (2017). “Economic and Financial Determinants of Credit Risk Premiums in The Sovereign CDS Market”, The Review of Asset Pricing Studies, 7(1):43-80.
  • DRAGO, D., DI TOMMASO, C. and THORNTON, J. (2017). “What Determines Bank CDS Spreads? Evidence From European and US Banks”, Finance Research Letters, 22:140-145.
  • ERICSSON, J., JACOBS, K., and OVIEDO, R. (2009). “The Determinants of Credit Default Swap Premia”, Journal of Financial and Quantitative Analysis, 44(1):109-132.
  • FINNERTY, J. D., MILLER, C. and CHEN, R.R. (2013). “The Impact of Credit Rating Announcements on Credit Default Swap Spreads”, Journal of Banking & Finance, 37:2011-2030.
  • GALIL, K., SHAPIR, O.M., AMIRAM, D. and BEN-ZION, U. (2014). “The Determinants of CDS Spreads”, Journal of Banking & Finance, 41:271-282.
  • HACKER, R. S. and HATEMI-J, A. (2006). “Tests for Causality Between Integrated Variables Using Asymptotic and Boostrap Distributions: Theory and Application”, Applied Economics, 38 (13):1489-1500.
  • HO, S. H. (2016). “Long and Short-Runs Determinants of The Sovereign CDS Spread in Emerging Countries”, Research in International Business and Finance, 36:579-590.
  • HULL, J. PREDESCU, M. and WHITE, A. (2004). The Relationship Between Credit Default Swap Spreads, Bond Yields and Credit Rating Announcements”, Journal of Banking & Finance, 28:2789-2811.
  • KAJUROVA, V. (2015). “The Determinants of CDS Spreads: The Case of UK Companies”, Procedia Economics and Finance, 23:1302-1307.
  • KIM, T. S., PARK, J.W. and PARK, Y.J. (2017). “Macroeconomic Conditions and Credit Default Swap Spread Changes”, Journal of Futures Markets, 37(8):766-802.
  • KLIBER, A. (2011). “Sovereign CDS Instruments in Central Europe-Linkages and Interdependence”, Dynamic Econometric Models, 11:111–128.
  • SAMANIEGO-MEDINA, R., TRUJILLO-PONCE, A., PARRADO-MARTINEZ, P. and DI PIETRO, F. (2016). “Determinants of Bank CDS Spreads in Europe”, Journal of Economics and Business, 86:1-15.
  • TANG, C.F. (2008). “Wagner’s Law Versus Keynesian Hypothesis: New evidence From Recursive Regression-Based Causality Approaches”, ICFAI Journal of Public Finance, 6(4):29-38.
  • TODA, H. Y. and YAMAMOTO, T. (1995). “Statistical Inference in vector Auto Regressions With Possibly Integrated Processes”, Journal of Econometrics, 66 (1-2):225-250.
  • WENGNER, A., BURGHOF, H.P. and SCHNEIDER, J. (2015). “The Impact of Credit Rating Announcements on Corporate CDS Markets – Are Intra-industry Effects Observable?”, Journal of Economics and Business, 78:79-91.
  • https://evds2.tcmb.gov.tr/ (Erişim tarihi: 18.03.2018)
  • http://www.bloomberght.com/cds/turkiye-cds (Erişim tarihi: 18.03.2018)

THE TIME-VARYING CAUSALITY BETWEEN CREDIT DEFAULT SWAP (CDS) AND ECONOMIC GROWTH FOR TURKEY

Yıl 2020, Cilt: 5 Sayı: 10, 17 - 24, 30.06.2020

Öz

The credit risk premiums (CDS), which are defined as the credit derivative instrument that protects the creditor against the risk of non-repayment of the loan, is an important risk indicator that is closely followed by market actors in this period when the sovereign credit ratings determined by credit rating agencies are subject to intense criticism. The fact that CDS offer important clues about the credibility of countries can also significantly affect investors' decisions. This indicates that there may be a causality relationship between CDS and economic growth.
In this study, it is aimed to determine whether there is a causality relationship between Turkey's CDS and economic growth and whether this relationship changes over time.For this purpose, we examine the time-varying causality relationships between the change in CDS and the change in the industrial production index (IPI) representing economic growth.for the period 2012M01-2016M12. In the study, first of all, whether there is causality relation for the entire period is examined by the causality analysis method developed by Hacker and Hatemi-j (2006). Afterwards, the causality relationship between the variables was analyzed for the sub-periods using the time-varying causality method based on Hacker and Hatemi-j (2006), with the idea that unstable relations might exist during the whole period. Despite the absence of any causal relationship between economic growth and CDS for the whole period, the existence of different causality relationships among the variables in the sub-periods is determined in the study.  

Kaynakça

  • AIZENMAN, J., JINJARAK, Y. and PARK, D. (2013). Fundamentals And Sovereign Risk Of Emerging Markets. NBER Working Paper, No: 18963.
  • ALTINTAŞ, N. ve OKUYAN, H.A. (2018). CDS - Büyüme İlişkisi: Yeni Kırılgan Beşli Ülkeler Üzerine Bir Uygulama. II. International Symposium on Economics, Finance and Econometrics, December 6-7, 2018, Bandırma/Balıkesir.
  • ARSLANTÜRK, Y., BALCILAR, M. and ÖZDEMİR, Z.A. (2011). “Time-Varying Linkages Between Tourism Receipts and Economic Growth in A Small Open Economy”, Economic Modelling, 28 (1):664-671.
  • BAUM, C. F. and WAN, C. (2010). “Macroeconomic Uncertainty and Credit Default Swap Spreads”, Applied Financial Economics, 20(15):1163-1171.
  • DANACI, M. C., ŞİT M. ve ŞİT A., (2017). “Kredi Temerrüt Swaplarının (CDS’lerin) Büyüme Oranıyla İlişkilendirilmesi: Türkiye Örneği”, Aksaray Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(2):67-78.
  • DI CESARE, A. and GUAZZAROTTI, G. (2010). “An Analysis of The Determinants of Credit Default Swap Spreads Changes Before and During The Subprime Financial Turmoil”, Banca D’Italia Temi di Discussione Working Paper, No: 749.
  • DOSHI, H., JACOBS, K. and ZURITA, V. (2017). “Economic and Financial Determinants of Credit Risk Premiums in The Sovereign CDS Market”, The Review of Asset Pricing Studies, 7(1):43-80.
  • DRAGO, D., DI TOMMASO, C. and THORNTON, J. (2017). “What Determines Bank CDS Spreads? Evidence From European and US Banks”, Finance Research Letters, 22:140-145.
  • ERICSSON, J., JACOBS, K., and OVIEDO, R. (2009). “The Determinants of Credit Default Swap Premia”, Journal of Financial and Quantitative Analysis, 44(1):109-132.
  • FINNERTY, J. D., MILLER, C. and CHEN, R.R. (2013). “The Impact of Credit Rating Announcements on Credit Default Swap Spreads”, Journal of Banking & Finance, 37:2011-2030.
  • GALIL, K., SHAPIR, O.M., AMIRAM, D. and BEN-ZION, U. (2014). “The Determinants of CDS Spreads”, Journal of Banking & Finance, 41:271-282.
  • HACKER, R. S. and HATEMI-J, A. (2006). “Tests for Causality Between Integrated Variables Using Asymptotic and Boostrap Distributions: Theory and Application”, Applied Economics, 38 (13):1489-1500.
  • HO, S. H. (2016). “Long and Short-Runs Determinants of The Sovereign CDS Spread in Emerging Countries”, Research in International Business and Finance, 36:579-590.
  • HULL, J. PREDESCU, M. and WHITE, A. (2004). The Relationship Between Credit Default Swap Spreads, Bond Yields and Credit Rating Announcements”, Journal of Banking & Finance, 28:2789-2811.
  • KAJUROVA, V. (2015). “The Determinants of CDS Spreads: The Case of UK Companies”, Procedia Economics and Finance, 23:1302-1307.
  • KIM, T. S., PARK, J.W. and PARK, Y.J. (2017). “Macroeconomic Conditions and Credit Default Swap Spread Changes”, Journal of Futures Markets, 37(8):766-802.
  • KLIBER, A. (2011). “Sovereign CDS Instruments in Central Europe-Linkages and Interdependence”, Dynamic Econometric Models, 11:111–128.
  • SAMANIEGO-MEDINA, R., TRUJILLO-PONCE, A., PARRADO-MARTINEZ, P. and DI PIETRO, F. (2016). “Determinants of Bank CDS Spreads in Europe”, Journal of Economics and Business, 86:1-15.
  • TANG, C.F. (2008). “Wagner’s Law Versus Keynesian Hypothesis: New evidence From Recursive Regression-Based Causality Approaches”, ICFAI Journal of Public Finance, 6(4):29-38.
  • TODA, H. Y. and YAMAMOTO, T. (1995). “Statistical Inference in vector Auto Regressions With Possibly Integrated Processes”, Journal of Econometrics, 66 (1-2):225-250.
  • WENGNER, A., BURGHOF, H.P. and SCHNEIDER, J. (2015). “The Impact of Credit Rating Announcements on Corporate CDS Markets – Are Intra-industry Effects Observable?”, Journal of Economics and Business, 78:79-91.
  • https://evds2.tcmb.gov.tr/ (Erişim tarihi: 18.03.2018)
  • http://www.bloomberght.com/cds/turkiye-cds (Erişim tarihi: 18.03.2018)
Toplam 23 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Mustafa Kırca 0000-0002-5630-7525

Ümit Yıldız 0000-0002-2677-2098

Yayımlanma Tarihi 30 Haziran 2020
Yayımlandığı Sayı Yıl 2020 Cilt: 5 Sayı: 10

Kaynak Göster

APA Kırca, M., & Yıldız, Ü. (2020). TÜRKİYE İÇİN KREDİ RİSK PRİMİ (CDS) VE EKONOMİK BÜYÜME ARASINDAKİ ZAMANLA DEĞİŞEN NEDENSELLİK İLİŞKİLERİ. Uluslararası Afro-Avrasya Araştırmaları Dergisi, 5(10), 17-24.

All rights reserved. International Journal of Afro-Eurasian Research (IJAR) is an International refereed journal and published biannually. Authors are responsible for the content and linguistic of their articles. Articles published here could not be used without referring to the Journal. The opinions in the articles published belong to the authors only and do not reflect those of International Journal of Afro-Eurasian Research.