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Testing for Causality among CDS, Interest, and Exchange Rates: New Evidence from the Granger Coherence Analysis

Yıl 2021, Cilt 16, Sayı 2, 427 - 445, 01.08.2021
https://doi.org/10.17153/oguiibf.854172

Öz

We study the relationship between weekly and monthly observations of CDS, interest, and exchange rates (USDTRY) during 2005-2020 in Turkey. The findings suggest a positive relationship between the variables. The bivariate Granger Coherence approach indicates that the dynamic causal and reverse causal interactions mainly intensify in the short- and intermediate-term. Using a bootstrap time-varying causality approach with a fixed size of 37 weeks, the casual linkages are strong but not homogenous in both non-crisis and crisis periods. There is also a unidirectional causality running from interest rates to foreign exchange rates during the period of COVID-19, yielding important implications for investors and policymakers.

Kaynakça

  • Agca, S., Birge, J. R., Wang, Z., and Wu, J. (2020), “The Impact of COVID-19 on Supply Chain Credit Risk”, Available at SSRN 3639735.
  • Aizenman, J., Hutchison, M., and Jinjarak, Y. (2013), “What is The Risk of European Sovereign Debt Defaults? - Fiscal Space, CDS Spreads and Market Pricing of Risk, Journal of International Money and Finance, No. 34: 37–59.
  • Akkaya, M. (2017), “Türk Tahvillerinin CDS Primlerini Etkileyen Içsel Faktörlerin Analizi”, Maliye ve Finans Yazıları, Vol. 1 No. 107: 130–145.
  • Aksoylu, E. and Görmüş, Ş. (2018), “Gelişmekte Olan Ülkelerde Ülke Riski Göstergesi Olarak Kredi Temerrüt Swaplari: Asimetrik Nedensellik Yöntemi”, Ekonomik ve Sosyal Araştırmalar Dergisi, Vol. 14 No. 1: 15–33.
  • Andrieş, A. M., Căpraru, B., Ihnatov, I., and Tiwari, A. T. (2017), “The Relationship between Exchange Rates and Interest Rates in A Small Open Emerging Economy: The Case of Romania”, Economic Modelling, No. 67: 261–274.
  • Apergis, N, Christou, C., and Kynigakis, I. (2019), “Contagion across US and European Financial Markets: Evidence From the CDS Markets”, Journal of International Money and Finance, No. 96: 1–12.
  • Augustin, P., Chernov, M., and Song, D. (2019), “Sovereign Credit Risk and Exchange Rates: Evidence from CDS quanto Spreads”, NBER, Working Paper, (2019.24506).
  • Bautista, C. C. (2003), “Interest Rate-Exchange Rate Dynamics in the Philippines: A DCC Analysis”, Applied Economics Letters, Vol. 10 No. 2: 107–111.
  • Bernanke, B. (1990), “On the Predictive Power of Interest Rates and Interest Rate Spreads. New England Economic Review, (Nov), 51–68.
  • Branson, W. H. (1981), “Macroeconomic Determinants of Real exchange Rates”, NBER, Working Paper, (1981.801).
  • Branson, W. H., Halttunen, Hannu, & Masson, Paul. (1979), “Exchange Rates in the Short Run: Some Further Results”, European Economic Review, Vol. 12 No. 4: 395–402.
  • Çonkar, M. K. and Vergili, G. (2017), “Kredi Temerrüt Swapları İle Döviz Kurları Arasındaki İlişki: Türkiye İçin Ampirik Bir Analiz”, Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Vol. 10 No. 4: 59–66.
  • Davis, E. P. and Fagan, G. (1997), “Are Financial Spreads Useful Indicators Of Future Inflation And Output Growth In EU Countries?”, Journal of Applied Econometrics, Vol.12 No. 6: 701–714.
  • Drazen, A. and Hubrich, S. (2006), “A Simple Test of the Effect of Interest Rate Defence”, Journal of the Japanese and International Economies, Vol. 20 No. 4: 612–636.
  • Feng, Q., Sun, X, Liu, C., and Li, J. (2020), “Spillovers between Sovereign CDS and Exchange Rate Markets: The Role of Market Fear”, The North American Journal of Economics and Finance, No. 101308.
  • Fisher, I. (1930), Theory Of Interest: As Determined By Impatience To Spend Income And Opportunity To Invest It. Clifton: Augustusm Kelly Publishers.
  • Foroni, C., Ravazzolo, F., and Sadaba, B. (2018), “Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns”, Journal of International Money and Finance, No. 81: 242–264.
  • Forte, S. and Pena, J. I. (2009), “Credit Spreads: An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS”, Journal of Banking & Finance, Vol. 33 No. 11: 2013–2025.
  • Gök, R. (2020), “Causality between Stock Market and Macroeconomic Variables in Turkey: New Evidence from Wavelet Coherence Analysis”, Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, No. 56: 229–254.
  • Granger, C. W. (1969), “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”, Econometrica: Journal of the Econometric Society, Vol. 37 No. 3: 424–438.
  • Gün, M., Kutlu, M., and Karamustafa, O. (2016), “Gezi Parki Olaylarının Türkiye Kredi Temerrüt Swaplari (CDS) Üzerine Etkisi”, Journal of Business Research Turk, Vol. 8 No. 1: 557–575.
  • Hacker, R. S. and Hatemi-J, A. (2012), “A Bootstrap Test for Causality with Endogenous Lag Length Choice: Theory And Application In Finance”, Journal of Economic Studies, Vol. 39 No. 2: 144–160.
  • Hacker, R. S., Karlsson, H. K., and Månsson, K. (2014), “An Investigation of the Causal Relations between Exchange Rates and Interest Rate Differentials Using Wavelets”, International Review of Economics & Finance, No. 29: 321–329.
  • Hammoudeh, S., and Sari, R. (2011), “Financial CDS, Stock Market and Interest Rates: Which Drives Which?”, The North American Journal of Economics and Finance, Vol. 22 No. 3: 257–276.
  • Hatemi-J, A. (2003), “A New Method To Choose Optimal Lag Order in Stable and Unstable VAR Models”, Applied Economics Letters, Vol. 10 No. 3: 135-137.
  • Hatemi-J, A. (2008), “Tests for Cointegration with Two Unknown Regime Shifts with an Application to Financial Market Integration”, Empirical Economics, Vol. 35 No. 3: 497–505.
  • Hofmann, B., Shim, I., and Shin, H. S. (2020), “Emerging market economy exchange rates and local currency bond markets amid the Covid-19 pandemic”, Bank for International Settlements, (2020.5)
  • Kar, M., Bayat, T., and Kayhan, S. (2016), “Impacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euro”, International Journal of Financial Studies, Vol. 4 No. 3: 1–18.
  • Kartal, M. T. (2020), “The Behavior of Sovereign Credit Default Swaps (CDS) spread: evidence from Turkey with the effect of Covid-19 pandemic”, Available at SSRN 3642652.
  • Kayhan, S., Bayat, T., and Uğur, A. (2013), “Interest Rates and Exchange Rate Relationship in BRIC-T Countries”, Ege Academic Review, Vol. 13 No. 2: 227–236.
  • Kerstin, B. and Helmut, H. (2019), “Exchange Rates, Foreign Currency Exposure and Sovereign Risk”, DIW Discussion Papers, (2019.1792).
  • Koy, A. (2014), “Kredi Temerrüt Swapları Ve Tahvil Primleri Üzerine Ampirik Bir Çalışma”, International Review of Economics and Management, Vol. 2 No. 2: 63–79.
  • Lee, J. and Strazicich, M. C. (2003), “Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks”, The Review of Economics and Statistics, Vol. 85 No. 4: 1082–1089.
  • Lemmens, A., Croux, C., and Dekimpe, M. G. (2008), “Measuring and Testing Granger Causality Over The Spectrum: An Application To European Production Expectation Surveys”, International Journal of Forecasting, Vol. 24 No. 3: 414–431.
  • MacDonald, R. and Nagayasu, J. (2000), “The Long-Run Relationship between Real Exchange Rates and Real Interest Rate Differentials: A Panel Study”, IMF Econ Rev, No. 47: 116–128.
  • Merton, R. C. (1974), “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”, The Journal of Finance, Vol. 29 No. 2: 449–470.
  • Norden, L. and Weber, M. (2009), “The Co‐Movement of Credit Default Swap, Bond And Stock Markets: An Empirical Analysis. European Financial Management, Vol. 15 No. 3: 529–562.
  • Ozer, M. and Kamisli, M. (2016), “Frequency Domain Causality Analysis of Interactions between Financial Markets of Turkey”, International Business Research, Vol. 9 No. 1: 176–186.
  • Özpınar, Ö., Özman, H., and Doru, O. (2018), “Kredi Temerrüt Takası (CDS) Ve Kur-Faiz İlişkisi: Türkiye Örneği”, Bankacılık ve Sermaye Piyasası Araştırmaları Dergisi, Vol. 2 No. 4: 31–45.
  • Pierce, D. A. (1979), “R-Squared Measures for Time Series”, Journal of the American Statistical Association, No. 74: 901–910.
  • Reinhart, C. M. (2002), “Default, Currency Crises, and Sovereign Credit Ratings”, The World Bank Economic Review, Vol. 16 No. 2: 151–170.
  • Sanchez, M. (2008), “The Link Between Interest Rates And Exchange Rates: Do Contractionary Depreciations Make A Difference?”, International Economic Journal, Vol. 22 No. 1: 43–61.
  • Şentürk, M. and Dücan, E. (2014), “Türkiye'de Döviz Kuru-Faiz Oranı ve Borsa Getirisi İlişkisi: Ampirik Bir Analiz”, Business & Economics Research Journal, Vol. 5 No. 3: 67–80.
  • Uzunoğlu, S., Ozdurak, C., and Dursun, S. (2020), “Dış Politik Aktörlerle İlişkiler, Döviz Kuru ve CDS Arasındaki İlişki: Türkiye Örneği 2007-2020”, Maliye ve Finans Yazıları, No. 114: 129-128.
  • Zhang, G., Yau, J., and Fung, H. G. (2010), “Do Credit Default Swaps Predict Currency Values?”, Applied Financial Economics, Vol. 20 No. 6: 439–458.

CDS, Faiz ve Döviz Kuru Arasındaki Nedensellik İlişkisinin Analizi: Granger Coherence Metodundan Yeni Kanıtlar

Yıl 2021, Cilt 16, Sayı 2, 427 - 445, 01.08.2021
https://doi.org/10.17153/oguiibf.854172

Öz

Bu çalışmada 2005 ve 2020 dönemi kapsamında haftalık ve aylık gözlemlerde CDS, faiz oranı ve USDTRY arasındaki ilişki incelenmiştir. Test sonuçlarına göre tüm değişkenler arasında pozitif yönlü bir ilişki bulunmuştur. Granger Coherence test sonucuna göre değişkenler arasında orta ve kısa döneme yoğunlaşan çift taraflı nedensellik sonucuna ulaşılmıştır. 37 pencere uzunluğundaki Boostraplı zamanla değişen nedensellik test bulgularına göre, değişkenler arasında hem kriz hem kriz dışı dönemlerde geçerli, ancak heterojen özellikler gösteren nedensellik bulunmuştur. Ayrıca, COVID-19 periyodunu içeren zaman aralığında, sadece faiz oranı ve döviz kuru arasında geçerli tek yönlü nedensellik bulgusuna rastlanmıştır. Bulgular hem yatırımcılar hem de politika yapıcılar için önemli sonuçlar doğurmaktadır.

Kaynakça

  • Agca, S., Birge, J. R., Wang, Z., and Wu, J. (2020), “The Impact of COVID-19 on Supply Chain Credit Risk”, Available at SSRN 3639735.
  • Aizenman, J., Hutchison, M., and Jinjarak, Y. (2013), “What is The Risk of European Sovereign Debt Defaults? - Fiscal Space, CDS Spreads and Market Pricing of Risk, Journal of International Money and Finance, No. 34: 37–59.
  • Akkaya, M. (2017), “Türk Tahvillerinin CDS Primlerini Etkileyen Içsel Faktörlerin Analizi”, Maliye ve Finans Yazıları, Vol. 1 No. 107: 130–145.
  • Aksoylu, E. and Görmüş, Ş. (2018), “Gelişmekte Olan Ülkelerde Ülke Riski Göstergesi Olarak Kredi Temerrüt Swaplari: Asimetrik Nedensellik Yöntemi”, Ekonomik ve Sosyal Araştırmalar Dergisi, Vol. 14 No. 1: 15–33.
  • Andrieş, A. M., Căpraru, B., Ihnatov, I., and Tiwari, A. T. (2017), “The Relationship between Exchange Rates and Interest Rates in A Small Open Emerging Economy: The Case of Romania”, Economic Modelling, No. 67: 261–274.
  • Apergis, N, Christou, C., and Kynigakis, I. (2019), “Contagion across US and European Financial Markets: Evidence From the CDS Markets”, Journal of International Money and Finance, No. 96: 1–12.
  • Augustin, P., Chernov, M., and Song, D. (2019), “Sovereign Credit Risk and Exchange Rates: Evidence from CDS quanto Spreads”, NBER, Working Paper, (2019.24506).
  • Bautista, C. C. (2003), “Interest Rate-Exchange Rate Dynamics in the Philippines: A DCC Analysis”, Applied Economics Letters, Vol. 10 No. 2: 107–111.
  • Bernanke, B. (1990), “On the Predictive Power of Interest Rates and Interest Rate Spreads. New England Economic Review, (Nov), 51–68.
  • Branson, W. H. (1981), “Macroeconomic Determinants of Real exchange Rates”, NBER, Working Paper, (1981.801).
  • Branson, W. H., Halttunen, Hannu, & Masson, Paul. (1979), “Exchange Rates in the Short Run: Some Further Results”, European Economic Review, Vol. 12 No. 4: 395–402.
  • Çonkar, M. K. and Vergili, G. (2017), “Kredi Temerrüt Swapları İle Döviz Kurları Arasındaki İlişki: Türkiye İçin Ampirik Bir Analiz”, Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Vol. 10 No. 4: 59–66.
  • Davis, E. P. and Fagan, G. (1997), “Are Financial Spreads Useful Indicators Of Future Inflation And Output Growth In EU Countries?”, Journal of Applied Econometrics, Vol.12 No. 6: 701–714.
  • Drazen, A. and Hubrich, S. (2006), “A Simple Test of the Effect of Interest Rate Defence”, Journal of the Japanese and International Economies, Vol. 20 No. 4: 612–636.
  • Feng, Q., Sun, X, Liu, C., and Li, J. (2020), “Spillovers between Sovereign CDS and Exchange Rate Markets: The Role of Market Fear”, The North American Journal of Economics and Finance, No. 101308.
  • Fisher, I. (1930), Theory Of Interest: As Determined By Impatience To Spend Income And Opportunity To Invest It. Clifton: Augustusm Kelly Publishers.
  • Foroni, C., Ravazzolo, F., and Sadaba, B. (2018), “Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns”, Journal of International Money and Finance, No. 81: 242–264.
  • Forte, S. and Pena, J. I. (2009), “Credit Spreads: An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS”, Journal of Banking & Finance, Vol. 33 No. 11: 2013–2025.
  • Gök, R. (2020), “Causality between Stock Market and Macroeconomic Variables in Turkey: New Evidence from Wavelet Coherence Analysis”, Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, No. 56: 229–254.
  • Granger, C. W. (1969), “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”, Econometrica: Journal of the Econometric Society, Vol. 37 No. 3: 424–438.
  • Gün, M., Kutlu, M., and Karamustafa, O. (2016), “Gezi Parki Olaylarının Türkiye Kredi Temerrüt Swaplari (CDS) Üzerine Etkisi”, Journal of Business Research Turk, Vol. 8 No. 1: 557–575.
  • Hacker, R. S. and Hatemi-J, A. (2012), “A Bootstrap Test for Causality with Endogenous Lag Length Choice: Theory And Application In Finance”, Journal of Economic Studies, Vol. 39 No. 2: 144–160.
  • Hacker, R. S., Karlsson, H. K., and Månsson, K. (2014), “An Investigation of the Causal Relations between Exchange Rates and Interest Rate Differentials Using Wavelets”, International Review of Economics & Finance, No. 29: 321–329.
  • Hammoudeh, S., and Sari, R. (2011), “Financial CDS, Stock Market and Interest Rates: Which Drives Which?”, The North American Journal of Economics and Finance, Vol. 22 No. 3: 257–276.
  • Hatemi-J, A. (2003), “A New Method To Choose Optimal Lag Order in Stable and Unstable VAR Models”, Applied Economics Letters, Vol. 10 No. 3: 135-137.
  • Hatemi-J, A. (2008), “Tests for Cointegration with Two Unknown Regime Shifts with an Application to Financial Market Integration”, Empirical Economics, Vol. 35 No. 3: 497–505.
  • Hofmann, B., Shim, I., and Shin, H. S. (2020), “Emerging market economy exchange rates and local currency bond markets amid the Covid-19 pandemic”, Bank for International Settlements, (2020.5)
  • Kar, M., Bayat, T., and Kayhan, S. (2016), “Impacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euro”, International Journal of Financial Studies, Vol. 4 No. 3: 1–18.
  • Kartal, M. T. (2020), “The Behavior of Sovereign Credit Default Swaps (CDS) spread: evidence from Turkey with the effect of Covid-19 pandemic”, Available at SSRN 3642652.
  • Kayhan, S., Bayat, T., and Uğur, A. (2013), “Interest Rates and Exchange Rate Relationship in BRIC-T Countries”, Ege Academic Review, Vol. 13 No. 2: 227–236.
  • Kerstin, B. and Helmut, H. (2019), “Exchange Rates, Foreign Currency Exposure and Sovereign Risk”, DIW Discussion Papers, (2019.1792).
  • Koy, A. (2014), “Kredi Temerrüt Swapları Ve Tahvil Primleri Üzerine Ampirik Bir Çalışma”, International Review of Economics and Management, Vol. 2 No. 2: 63–79.
  • Lee, J. and Strazicich, M. C. (2003), “Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks”, The Review of Economics and Statistics, Vol. 85 No. 4: 1082–1089.
  • Lemmens, A., Croux, C., and Dekimpe, M. G. (2008), “Measuring and Testing Granger Causality Over The Spectrum: An Application To European Production Expectation Surveys”, International Journal of Forecasting, Vol. 24 No. 3: 414–431.
  • MacDonald, R. and Nagayasu, J. (2000), “The Long-Run Relationship between Real Exchange Rates and Real Interest Rate Differentials: A Panel Study”, IMF Econ Rev, No. 47: 116–128.
  • Merton, R. C. (1974), “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”, The Journal of Finance, Vol. 29 No. 2: 449–470.
  • Norden, L. and Weber, M. (2009), “The Co‐Movement of Credit Default Swap, Bond And Stock Markets: An Empirical Analysis. European Financial Management, Vol. 15 No. 3: 529–562.
  • Ozer, M. and Kamisli, M. (2016), “Frequency Domain Causality Analysis of Interactions between Financial Markets of Turkey”, International Business Research, Vol. 9 No. 1: 176–186.
  • Özpınar, Ö., Özman, H., and Doru, O. (2018), “Kredi Temerrüt Takası (CDS) Ve Kur-Faiz İlişkisi: Türkiye Örneği”, Bankacılık ve Sermaye Piyasası Araştırmaları Dergisi, Vol. 2 No. 4: 31–45.
  • Pierce, D. A. (1979), “R-Squared Measures for Time Series”, Journal of the American Statistical Association, No. 74: 901–910.
  • Reinhart, C. M. (2002), “Default, Currency Crises, and Sovereign Credit Ratings”, The World Bank Economic Review, Vol. 16 No. 2: 151–170.
  • Sanchez, M. (2008), “The Link Between Interest Rates And Exchange Rates: Do Contractionary Depreciations Make A Difference?”, International Economic Journal, Vol. 22 No. 1: 43–61.
  • Şentürk, M. and Dücan, E. (2014), “Türkiye'de Döviz Kuru-Faiz Oranı ve Borsa Getirisi İlişkisi: Ampirik Bir Analiz”, Business & Economics Research Journal, Vol. 5 No. 3: 67–80.
  • Uzunoğlu, S., Ozdurak, C., and Dursun, S. (2020), “Dış Politik Aktörlerle İlişkiler, Döviz Kuru ve CDS Arasındaki İlişki: Türkiye Örneği 2007-2020”, Maliye ve Finans Yazıları, No. 114: 129-128.
  • Zhang, G., Yau, J., and Fung, H. G. (2010), “Do Credit Default Swaps Predict Currency Values?”, Applied Financial Economics, Vol. 20 No. 6: 439–458.

Ayrıntılar

Birincil Dil İngilizce
Konular Sosyal
Bölüm Makaleler
Yazarlar

Remzi GÖK (Sorumlu Yazar)
DİCLE ÜNİVERSİTESİ
0000-0002-9216-5210
Türkiye


Erkan KARA
Necmettin Erbakan University
0000-0001-7228-0396
Türkiye

Yayımlanma Tarihi 1 Ağustos 2021
Başvuru Tarihi 5 Ocak 2021
Kabul Tarihi 22 Nisan 2021
Yayınlandığı Sayı Yıl 2021, Cilt 16, Sayı 2

Kaynak Göster

APA Gök, R. & Kara, E. (2021). Testing for Causality among CDS, Interest, and Exchange Rates: New Evidence from the Granger Coherence Analysis . Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi , 16 (2) , 427-445 . DOI: 10.17153/oguiibf.854172