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THE RELATIONSHIP BETWEEN PRIVATE SECTOR EXTERNAL DEBT AND CDS PREMIUM IN TURKEY

Yıl 2021, Cilt: 10 Sayı: 3, 199 - 212, 10.09.2021

Öz

Turkey has managed to achieve a strong growth performance after the 2008-09 Global Crisis, after the crisis, it started to erode by exhibiting an extremely unstable growth performance especially in the second half of the 2010s. The macroeconomic balances/datas began to deteriorate when the political crises/uncertainties in the country were added to the worsening with the global conjuncture of US Federal Reserve's announcement that it would raise interest rates. As a matter of fact, Turkey's CDS premiums increased significantly with the emergence of a new conjuncture in which the exchange rate increase accelerated and growth slowed down with the foreign exchange crisis in August 2018. The increase in CDS premiums, which is an indicator that measures the risks of countries/companies cannot repay their debts, increases the probability of a country's debt crisis and therefore increases borrowing costs. This situation has increased the concerns about the ability of the private sector, which has a high external debt burden, to pay its debts. In this context, the study aims to examine the causality relationship between country CDS premiums and private sector external debt in Turkey for the period 2010:Q1-2020:Q3. For this purpose, the Toda-Yamamoto and Fourier Toda-Yamamoto causality tests were used. According to the results of the analysis, there is no causality relationship between the variables. This result indicates that global factors are more effective in determining Turkey's CDS premium.

Kaynakça

  • AIZENMAN, J., HUTCHISON, M. M. & 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, 34, 37-59.
  • BENBOUZID, N., & MALLICK, S. (2013). Determinants of bank credit default swap spreads: The role of the housing sector. The North American Journal of Economics and Finance, 24, 243-259. https://doi.org/10.1016/j.najef.2012.10.004
  • BENKERT, C. (2004). Explaining credit default swap premia. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 24(1): 71-92.
  • CASTRO, V. (2013). Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI. Economic Modelling, 31, 672-683.
  • CHODNICKA-JAWORSKA, P., & JAWORSKI, P. (2017). Fundamental determinants of credit default risk for European and American banks. Journal of International Studies, 10 (3), 51-63. doi:10.14254/2071-8330.2017/10-3/4 DRAGO, D., DI TOMMASO, C., & THORNTON, J. (2017). What determines bank CDS spreads? Evidence from European and US banks. Finance Research Letters, 22, 140-145. https://doi.org/10.1016/j.frl.2016.12.035
  • DI CESARE, A. & GUAZZAROTTİ, G. (2010), “An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil”, Banca d’Italia, Working Papers, No:749
  • DI FEBO, E., & ANGELINI, E. (2018). The Relevance of Market Variables in the CDS Spread Volatility: An Empirical Post-crisis Analysis. Global Business Review, 19(6), 1462-1477.
  • ENDERS, W. & LEE, J. (2012a), A unit root test using a Fourier series to approximate smooth breaks, Oxford Bulletin of Economics and Statistics, 74(4), 574-599.
  • ENDERS, W. & LEE, J. (2012b). The flexible Fourier form and Dickey-Fuller type unit root tests. Economic Letters, 117, 196-199
  • ERICSSON, J., JACOBS, K., & OVIEDO, R. (2009). The determinants of credit default swap premia. Journal of Financial and Quantitative Analysis, 44(1), 109-132.
  • EYSSELL, T., FUNG, H. G., & ZHANG, G. (2013). Determinants and price discovery of China sovereign credit default swaps. China Economic Review, 24, 1-15.
  • FU, X., LI, M.C. & MOLYNEUX, P. (2021). Credit default swap spreads: market conditions, firm performance, and the impact of the 2007–2009 financial crisis. Empirical Economics. 60 (5). 2203-2225
  • GRANGER, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of The Econometric Society, 424-438.
  • HUANG, W., LIN, S., & YANG, J. (2019). Institutional quality and sovereign credit default swap spreads. Journal of Futures Markets, 39(6), 686-703.
  • 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. & PARK, Y. J. (2017). Macroeconomic conditions and credit default swap spread changes. Journal of Futures Markets, , 37(8): 766-802.
  • KOCSIS, Z., & MONOSTORI, Z. (2016). The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences. Emerging Markets Review, 27, 140-168.
  • KOJU, L., KOJU, R., & WANG, S. (2020). Macroeconomic determinants of credit risks: evidence from high-income countries. European Journal of Management and Business Economics. 29 (1), 41-53.
  • LIU, Y., QIU, B., & WANG, T. (2021). Debt rollover risk, credit default swap spread and stock returns: Evidence from the COVID-19 crisis. Journal of Financial Stability, 53, 100855.
  • LONGSTAFF, F. A, PAN, J., PEDERSEN, L. H & SINGLETON, K. (2011), How Sovereign is Sovereign Credit Risk?, American Economic Journal: Macroeconomics, 3(2), 75-103.
  • MENG L., & GWİLYM O. (2016) The Characteristics and Evolution of Credit Default Swap Trading. In: Satchell S. (eds) Derivatives and Hedge Funds. Palgrave Macmillan, London. https://doi.org/10.1057/9781137554178_10
  • NAZLIOGLU, S., GORMUS, N. A., & SOYTAS, U. (2016). Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis. Energy Economics, 60, 168-175.
  • ÖTKER-ROBE, I., & PODPIERA, J., (2010). The fundamental determinants of credit default risk for European large complex financial institutions. International Monetary Fund, IMF Working Paper No. 10.
  • PAN, W. F., WANG, X., WU, G., & XU, W. (2021). The COVID-19 pandemic and sovereign credit risk. China Finance Review International. 11 (3), 287-301.
  • TERZİ, N., & ULUCAY, K. (2011). The role of credit default swaps on financial market stability. Procedia-Social and Behavioral Sciences, 24, 983-990.
  • TODA, H. Y., & YAMAMOTO, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225

TÜRKİYE’DE ÖZEL SEKTÖR DIŞ BORCU VE KREDİ RİSK PRİMİ İLİŞKİSİ

Yıl 2021, Cilt: 10 Sayı: 3, 199 - 212, 10.09.2021

Öz

2008-09 Küresel Krizinden sonra güçlü bir büyüme performansı yakalamayı başaran Türkiye özellikle 2010’ların ikinci yarısından itibaren son derece istikrarsız bir büyüme performansı sergileyerek güç kaybetmeye başlamıştır. ABD Merkez Bankası’nın faiz artırımı yapacağına ilişkin açıklamasıyla kötüleşen küresel konjonktüre, ülke içerisindeki siyasi krizler de eklenince makroekonomik dengeler bozulmaya başlamıştır. Nitekim 2018 Ağustos döviz krizi ile kur artışının hızlandığı ve büyümenin yavaşladığı yeni bir konjonktür ortaya çıkmasıyla, Türkiye’nin CDS primleri belirgin şekilde yükselmiştir. Ülkelerin/şirketlerin aldıkları borçları geri ödememe risklerini ölçen bir gösterge olan CDS primlerinin yükselmesi, ülkenin borç krizi yaşama olasılığının arttırmakta ve dolayısıyla borçlanma maliyetlerini yükseltmektedir. Bu durum yüksek dış borç yükü taşıyan özel sektörünün borç ödeme kabiliyetine ilişkin kaygıları arttırmıştır. Bu çerçevede çalışmada, Türkiye’de, ülke CDS primleri ve özel sektör dış borcu arasındaki nedensellik ilişkisini 2010:Q1-2020:Q3 dönemi verilerini kullanılarak incelemeyi amaçlanmaktadır. Bu amaca yönelik olarak yapılan analizde, Toda-Yamamoto ve Fourier Toda-Yamamoto nedensellik testi kullanılmıştır. Analiz sonuçlarına göre değişkenler arasında bir nedensellik ilişkisi bulunmamaktadır. Bu sonuç, Türkiye’nin CDS priminin belirlenmesinde küresel faktörlerin daha etkili olduğuna işaret etmektedir.

Kaynakça

  • AIZENMAN, J., HUTCHISON, M. M. & 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, 34, 37-59.
  • BENBOUZID, N., & MALLICK, S. (2013). Determinants of bank credit default swap spreads: The role of the housing sector. The North American Journal of Economics and Finance, 24, 243-259. https://doi.org/10.1016/j.najef.2012.10.004
  • BENKERT, C. (2004). Explaining credit default swap premia. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 24(1): 71-92.
  • CASTRO, V. (2013). Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI. Economic Modelling, 31, 672-683.
  • CHODNICKA-JAWORSKA, P., & JAWORSKI, P. (2017). Fundamental determinants of credit default risk for European and American banks. Journal of International Studies, 10 (3), 51-63. doi:10.14254/2071-8330.2017/10-3/4 DRAGO, D., DI TOMMASO, C., & THORNTON, J. (2017). What determines bank CDS spreads? Evidence from European and US banks. Finance Research Letters, 22, 140-145. https://doi.org/10.1016/j.frl.2016.12.035
  • DI CESARE, A. & GUAZZAROTTİ, G. (2010), “An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil”, Banca d’Italia, Working Papers, No:749
  • DI FEBO, E., & ANGELINI, E. (2018). The Relevance of Market Variables in the CDS Spread Volatility: An Empirical Post-crisis Analysis. Global Business Review, 19(6), 1462-1477.
  • ENDERS, W. & LEE, J. (2012a), A unit root test using a Fourier series to approximate smooth breaks, Oxford Bulletin of Economics and Statistics, 74(4), 574-599.
  • ENDERS, W. & LEE, J. (2012b). The flexible Fourier form and Dickey-Fuller type unit root tests. Economic Letters, 117, 196-199
  • ERICSSON, J., JACOBS, K., & OVIEDO, R. (2009). The determinants of credit default swap premia. Journal of Financial and Quantitative Analysis, 44(1), 109-132.
  • EYSSELL, T., FUNG, H. G., & ZHANG, G. (2013). Determinants and price discovery of China sovereign credit default swaps. China Economic Review, 24, 1-15.
  • FU, X., LI, M.C. & MOLYNEUX, P. (2021). Credit default swap spreads: market conditions, firm performance, and the impact of the 2007–2009 financial crisis. Empirical Economics. 60 (5). 2203-2225
  • GRANGER, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of The Econometric Society, 424-438.
  • HUANG, W., LIN, S., & YANG, J. (2019). Institutional quality and sovereign credit default swap spreads. Journal of Futures Markets, 39(6), 686-703.
  • 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. & PARK, Y. J. (2017). Macroeconomic conditions and credit default swap spread changes. Journal of Futures Markets, , 37(8): 766-802.
  • KOCSIS, Z., & MONOSTORI, Z. (2016). The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences. Emerging Markets Review, 27, 140-168.
  • KOJU, L., KOJU, R., & WANG, S. (2020). Macroeconomic determinants of credit risks: evidence from high-income countries. European Journal of Management and Business Economics. 29 (1), 41-53.
  • LIU, Y., QIU, B., & WANG, T. (2021). Debt rollover risk, credit default swap spread and stock returns: Evidence from the COVID-19 crisis. Journal of Financial Stability, 53, 100855.
  • LONGSTAFF, F. A, PAN, J., PEDERSEN, L. H & SINGLETON, K. (2011), How Sovereign is Sovereign Credit Risk?, American Economic Journal: Macroeconomics, 3(2), 75-103.
  • MENG L., & GWİLYM O. (2016) The Characteristics and Evolution of Credit Default Swap Trading. In: Satchell S. (eds) Derivatives and Hedge Funds. Palgrave Macmillan, London. https://doi.org/10.1057/9781137554178_10
  • NAZLIOGLU, S., GORMUS, N. A., & SOYTAS, U. (2016). Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis. Energy Economics, 60, 168-175.
  • ÖTKER-ROBE, I., & PODPIERA, J., (2010). The fundamental determinants of credit default risk for European large complex financial institutions. International Monetary Fund, IMF Working Paper No. 10.
  • PAN, W. F., WANG, X., WU, G., & XU, W. (2021). The COVID-19 pandemic and sovereign credit risk. China Finance Review International. 11 (3), 287-301.
  • TERZİ, N., & ULUCAY, K. (2011). The role of credit default swaps on financial market stability. Procedia-Social and Behavioral Sciences, 24, 983-990.
  • TODA, H. Y., & YAMAMOTO, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225
Toplam 26 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Ekonomi
Bölüm Makaleler
Yazarlar

Mehmet Zeki Ak Bu kişi benim 0000-0003-1271-920X

Yayımlanma Tarihi 10 Eylül 2021
Yayımlandığı Sayı Yıl 2021 Cilt: 10 Sayı: 3

Kaynak Göster

APA Ak, M. Z. (2021). TÜRKİYE’DE ÖZEL SEKTÖR DIŞ BORCU VE KREDİ RİSK PRİMİ İLİŞKİSİ. Sakarya İktisat Dergisi, 10(3), 199-212.