FİNANSAL HİZMETLER GÜVEN ENDEKSİ, KREDİ TEMERRÜT TAKASI VE BIST HİZMETLER ENDEKSİ ARASINDAKİ İLİŞKİ: AMPİRİK BİR ANALİZ

Öz

Finansal hizmetler sektörü, ekonomik büyümenin temel taşlarından biridir ve bu sektörle ilişkili güven endeksleri ile risk primleri, piyasa hareketlerini anlamada kritik göstergeler olarak hizmet eder. Finansal Hizmetler Güven Endeksi (FHGE) ve Kredi Temerrüt Takası (CDS) primleri, finansal piyasalarda risk algısını ve yatırımcı beklentilerini yansıtan temel değişkenlerdir. Borsa İstanbul Hizmetler Endeksi (XUHIZ), Türkiye hizmetler sektörünün performansını ve finansal piyasalarla olan etkileşimini analiz etmek için önemli bir gösterge olarak kabul edilmektedir. Bu çalışma, FHGE, CDS primleri ve XUHIZ arasındaki ilişkiyi araştırmayı amaçlamaktadır. FHGE’nin yayımlanmaya başlandığı tarih Ağustos 2012 ile Şubat 2025 arasındaki aylık veriler kullanılarak, söz konusu değişkenler arasındaki ilişki Hacker ve Hatemi-J (2006) tarafından geliştirilen simetrik nedensellik testi ve Hatemi-J (2012) tarafından geliştirilen asimetrik nedensellik testi kullanılarak analiz edilmiştir. İlk olarak değişkenlerin durağanlığı test edilmiş ve optimal gecikme uzunluğu belirlenmiştir. Simetrik nedensellik testinin sonuçları, değişkenler arasında doğrudan bir nedensel ilişki olmadığını göstermektedir. Ancak, asimetrik nedensellik testi sonuçları, FHGE ve CDS primlerinin XUHIZ üzerindeki etkisinin bileşenlere göre değiştiğini ortaya koymuştur. Sonuçlar, FHGE ile BIST Hizmetler Endeksi arasında doğrudan bir nedensellik bulunmamasına rağmen, belirli şoklar yoluyla dolaylı etkilerin meydana geldiğini göstermektedir.

Anahtar Kelimeler

• Finansal Hizmetler Güven Endeksi
• Kredi Temerrüt Takası
• Simetrik Nedensellik
• Asimetrik Nedensellik.

THE RELATIONSHIP BETWEEN THE FINANCIAL SERVICES CONFIDENCE INDEX, CREDIT DEFAULT SWAP AND THE BIST SERVICES INDEX: AN EMPIRICAL ANALYSIS

Öz

The financial services sector is a cornerstone of economic growth, with confidence indices and risk premiums serving as key indicators of market dynamics. The Financial Services Confidence Index (FSCI) and Credit Default Swap (CDS) premiums reflect risk perception and investor expectations, while the Borsa Istanbul Services Index (XUHIZ) is an important gauge of Türkiye’s services sector performance and its link to financial markets. This study examines the relationship between the FSCI, CDS premiums, and XUHIZ using monthly data from August 2012-when the FSCI was first published-through February 2025. The analysis employs the symmetric causality test of Hacker and Hatemi-J (2006) and the asymmetric causality test of Hatemi-J (2012). Stationarity tests and optimal lag length selection were conducted prior to analysis. The symmetric causality test found no statistically significant causal relationships among the variables. However, the asymmetric causality test revealed that the effects of the FSCI and CDS premiums on XUHIZ differ across components. These findings suggest that while there is no direct causality between the FSCI and the BIST Services Index, indirect effects emerge through specific shocks.

Anahtar Kelimeler

• Financial Services Confidence Index (FSCI)
• Credit Default Swap (CDS)
• Symmetric Causality
• Asymmetric Causality.

Kaynakça

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