Nonlinearity of Turkish Credit Default Swap Spreads

Öz

In this paper we analyze the stationarity of Turkish credit default swap (CDS) spreads between 10:2000-08:2017 which is an important indicator for researchers and practitioners. For our data, although the most widely used linear unit root test namely augmented Dickey Fuller (ADF) test fails to reject the presence unit root, non-linear tests of Kapatenios, Snell and Shin (KSS) and Sollis claim stationarity with a smooth transition. Moreover, we detect asymmetry for the encountered smooth transition. Thus we encourage researchers to apply KSS and Sollis test along with ADF test in order to understand the driving processes better which will strengthen the predictability and modeling issues of CDS spreads.

Anahtar Kelimeler

• Credit Default Swap Spread,Unit root,Smooth Transition

Türk Kredi Temerrüt Takası Primlerindeki Doğrusal Olmayan Yapı

Öz

Bu çalışmada araştırmacı ve yatırımcılar için önemli gösterge niteliği taşıyan durağanlık kavramı Türk Kredi Temerrüt Takası (KTT) primleri özelinde incelenmiştir. Verimiz için her ne kadar en çok kullanılan doğrusal birim kök testi olan Dickey Fuller (ADF) birim kökün varlığının reddedemezken, doğrusal olmayan Kapatenios, Snell ve Shin (KSS) ve Sollis testleri yumuşak geçişli bir durağanlık saptamışlardır. Ayrıca, bu yumuşak geçişin asimetrik bir yapıda olduğu bulgularımız arasındadır. KTT primlerinin dinamiklerini anlama öngörülebilirlik ve modellemeyi güçlendireceğinden araştırmacılara ADF testi beraberinde KSS ve Sollis testlerini uygulamalarını da önetmekteyiz.

Anahtar Kelimeler

• Kredi Temerrüt Takası Primi,Birim Kök,Yumuşak Geçiş

Kaynakça

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