Kredi Temerrüt Swapları ve Tahvil Primleri Üzerine Ampirik Bir Çalışma

Öz

Çalışmada, CDS (Kredi Temerrüt Swapı) ve Euro-tahvil primleri arasındaki ilişkinin Avrupa Borç Krizi’nin başlangıç dönemini de içine alan Ocak 2009-Kasım 2012 döneminde ne şekilde gerçekleştiği incelenerek, bir öncü gösterge olarak hangisinin daha güçlü olduğunun ortaya konulması amaçlanmıştır. Seçilmiş sekiz ülkeye ait CDS primleri ile Euro-tahvil primleri arasındaki ilişki, birim kök testi ve Granger nedensellik analizi ile incelenmiştir. Bulunan sonuçlar Fransa ve İtalya CDS primlerinin tahvil primlerine yön verdiğine dair kanıtlar sunmaktadır.

Anahtar Kelimeler

• Kredi Temerrüt Swapları, Kredi Türevleri, Tahvil, Eurotahvil

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Öz

In this study, by examining the relationship between CDS (Credit Default Swaps) premiums and bonds during 2009-2012 period that covers The European Debt Crisis period, it is intended to expose which one is more powerful as a leading indicator. The relationship between CDS premiums and bonds premiums of eight countries were examined by unit root test and Granger causality test. Empirical results of France and Italy shows that changes in CDS premiums led to changes in the bond premiums

Anahtar Kelimeler

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Kaynakça

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