KÜRESEL VE ULUSAL DEĞİŞKENLERDEN ÜLKE CDS PRİMİNE VOLATİLİTE YAYILMA ETKİLERİ: TÜRKİYE ÖRNEĞİ

Yıl 2020, Cilt: 11 Sayı: 26, 45 - 61, 28.02.2020

Çiğdem Kurt Cihangir

https://doi.org/10.21076/vizyoner.654420

Cited By: 3

Öz

Bu çalışmada Türkiye için ülke Kredi Temerrüt Takas (CDS) primini etkileyen küresel ve ulusal değişkenler araştırılmıştır. Çalışmada Ağustos 2009 – Eylül 2018 dönemine ait aylık veriler kullanılmıştır. Analiz iki aşamalı yapılmıştır: İlk aşamada ilgili değişkenler arasındaki nedens gvaellik ilişkisi Granger nedensellik testi ile araştırılmıştır. İkinci aşamada ise belirlenen bağımsız değişkenlerden ülke CDS primine simetrik ve asimetrik yayılma etkisi araştırılmıştır. Yapılan analizlerin sonucunda şu sonuçlara ulaşılmıştır: Birincisi, Türkiye’nin ülke CDS primlerindeki oynaklık hem küresel hem de ulusal değişkenlerdeki şoklardan etkilenmekle birlikte, ulusal değişkenlerin etkisinin daha fazla olduğu belirlenmiştir. İkincisi, dış kırılganlık, ulusal faiz oranı ve VIX değişkenleri için ortalama asimetrik etki olduğu belirlenmiştir. Üçüncüsü, ülke CDS priminin ulusal faiz oranları ve VIX’deki kötü bir habere eşit büyüklükteki pozitif bir şoktan daha fazla tepki verdiği test edilmiştir. Genel olarak, hem küresel koşullardaki belirsizlikler hem de Türkiye’nin dış borç ihtiyacının nispeten yüksek oluşu, çok yönlü bir politika oluşturma ve yönetme sürecini gerektirmektedir.

Anahtar Kelimeler

Ülke CDS Primi, Volatilite Yayılması, Dış Kırılganlık, Küresel Likidite

VOLATILITY SPILLOVER EFFECTS FROM GLOBAL AND NATIONAL VARIABLES TO SOVEREIGN CDS SPREADS: EVIDENCE FROM TURKEY

Öz

In this study global and national variables that affect the sovereign Credit Default Swaps (CDS) spreads for Turkey are examined. The study utilises monthly time-series data, spanning from August of 2009 to September 2018. Empirical analysis is done in two steps: In the first step, the causality relationships between related variables are investigated by the Granger causality test. In the second step, the effect of symmetric and asymmetric spillover effects on sovereign CDS spread is determined. The findings show that both national and global shocks are relevant for Turkey’ sovereign CDS spreads volatility, but national variables tend to have a greater impact. Furthermore, there exist mean asymmetric effects for external fragility, domestic interest rate and the VIX variables. It is tested that sovereign CDS spreads react more sharply to domestic interest rates and VIX bad news than a positive shock of equal size. Generally, both uncertainties in global conditions and the relatively high need for external borrowing of Turkey necessitates a multi-faceted policy-making and management process.

Anahtar Kelimeler

Sovereign CDS Spreads, Volatility Spillover, External Fragility, Global Liquidty

Kaynakça

• Adrian, T. and Shin, H. S. (2010). Liquidity and leverage. Journal of Financial Intermediation, 19(3), 418-437. doi:10.1016/j.jfi.2008.12.002
• Aizenman, J., Hutchison, M. and Jinjarak, Y. (2013a). 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. doi:10.1016/j.jimonfin.2012.11.011
• Aizenman, J., Jinjarak, Y. and Park, D. (2013b). Fundamentals and sovereign risk of emerging markets. NBER Working Paper Series, 18963, 1-39.
• Akyüz, Y. (2014). Internationalization of finance and changing vulnerabilities in emerging and developing economies. No. 217, November.
• Badaoui, S., Cathcart, L and El-Jahel, L. (2013). Do sovereign credit default swaps represent a clear measure of sovereign default risk? A factor model approach. Journal of Banking and Finance, 37, 2392-2407.
• Baldacci, E., Gupta, S. and Mati, A. (2011). Political and fiscal risk determinants of sovereign spreads in emerging markets. Review of Development Economics, 15(2), 251-263. doi:10.1111/j.1467-9361.2011.00606.x
• Başçı, E., Özel, Ö. and Sarıkaya, Ç. (2007). The monetary transmission mechanism in Turkey: New developments. Central Bank of Turkey Working Paper No: 07/04.
• Beirne, J. and Fratzscher, F. (2012). The pricing of sovereign risk and contagion during the European sovereign debt crisis. European Central Bank Working Paper Series, No. 1625.
• Bellas, D., Papaioannou, M. G. and Petrova, I. (2010). Determinants of emerging market sovereign bond spreads: fundamentals vs financial stress. IMF Working Paper.
• Blanchard, O. (2004). Fiscal dominance and inflation targeting: Lessons from Brazil. NBER Working Paper, No: 02138.
• Bloomberg (2018). https://www.bloomberg.com/news/articles/2018-11-07/guess-who-is-the-most-the-vulnerable-emerging-market-of-them-all
• Brooks, C. (2008). Introductory econometrics for finance. Second Edition, Cambridge University Press.
• Brunnermeier, M. K. (2009). Deciphering the liquidity and credit crunch 2007– 2008. Journal of Economic Perspectives, 23(1), 77-100. doi:10.1257/jep.23.1.77
• Bruno, V. and Shin, H. S. (2015). Cross-border banking and global liquidity. The Review of Economic Studies, 82(2), 535-564. doi:10.1093/restud/rdu042
• Bussiere, M. and Mulder, C. (1999). External vulnerability in emerging market economies: How high liquidity can offset weak fundamentals and the effects of contagion. IMF Working Papers 88. doi:10.5089/9781451851144.001
• Caceres, C., Guzzo, V. and Segoviano, M. (2010). Sovereign spreads: Global risk aversion, contagion or fundamentals?. IMF Working Paper No. 10/120.
• Calvo, A. G. (2006). Monetary policy challenges in emerging markets: Sudden stop, liability dollarization and lender of last resort. NBER Working Paper 12788.
• Calvo, G. A. and Reinhart, C. M. (2002). Fear of floating. NBER Working Paper No. 7993. doi:10.3386/w7993
• Calvo, G. A., Izquierdo, A. and Mejia, L. (2004). On the empirics of sudden stops: The relevance of balance-sheet effects. NBER Working Paper No: 10520.
• Chan-Lau, A.J. (2003). Anticipating credit events using credit default swaps with on application to sovereign debt crisis. IMF Working Paper.
• Christiansen, C. (2007). Volatility spillover effects in European bond markets. European Financial Management, 13(5), 923-948. doi:10.1111/j.1468-036X.2007.00403.x
• Dooley, M. and Hutchison, M. (2009). Transmission of the U.S. subprime crisis to emerging markets: Evidence on the decoupling–recoupling hypothesis. Journal of International Money and Finance, 28(8), 1331-1349. doi:10.1016/j.jimonfin.2009.08.004
• Eğilmez, A. M. and Kumcu, E. (2005). Ekonomi politikası: Teori ve Türkiye uygulaması. İstanbul: Remzi Kitabevi.
• Eichler, S. (2014). The political determinants of sovereign bond yield spreads. Journal of International Money and Finance, 46, 82-103. doi:10.1016/j.jimonfin.2014.04.003
• Eichengreen, B. and A. Mody. (1998). What explains changing spreads on emerging debt: Fundamentals or market sentiment?, NBER Working Paper 6408.
• Eichengreen, B., Hausmann, R. and Panizza, U. (2005). The mystery of original sin. B. Eichengreen and R. Hausmann (Ed.), Other People’s Money: Debt Denomination and Financial Instability in Emerging Market Economies in (233–265), Chicago: University of Chicago Press.
• Eyssell, T., Fung, H. G. and Zhang, G. (2013). Determinants and price discovery of China sovereign credit default swaps. China Economic Review, 24, 1-15. doi:10.1016/j.chieco.2012.09.003
• Fender, I., Hayo, B. and Neuenkirch, M. (2012). Daily Pricing of Emerging Market Sovereign CDS before and during The Global Financial Crisis. Journal of Banking and Finance, 36(10), 2786-2794. doi:10.1016/j.jbankfin.2012.06.017
• Fontana, A. and Scheicher, M. (2010). An analysis of Euro area sovereign CDS and their relation with government bonds. European Central Bank (ECB) Working Paper, No.1271.
• González‐Rozada, M. and Levy-Yeyati, E. (2008). Global factors and emerging market spreads. The Economic Journal, 118(533), 1917-1936. doi:10.1111/j.1468-0297.2008.02196.x
• Grabel, I. (2003). Averting crisis? Assessing measures to manage financial integration in emerging economies. Cambridge Journal of Economics, 27(3), 317-336. doi:10.1093/cje/27.3.317
• Greenspan, A. (1999). Currency reserves and debt. Federal Reserve System, April 29. Erişim adresi: https://www.federalreserve.gov/BoardDocs/Speeches/1999/19990429.htm.
• Guillaumont, P. (2009). An economic vulnerability index: Its desing and use for international development policy. CERDI, CNRS and Université d’ Auvergne, Etudes et Documents.
• Hacıhasanoğlu, E. and Soytaş, U. (2009). Global risk algılamasının gelişmekte olan piyasalara etkisi: Türkiye örneği, Ekonomik ve Sosyal Araştırmalar Dergisi, 5 (1), 39-50.
• Hartelius, K., Kashiwase, K. and Kodres, L. (2008). Emerging market spread compression: Is it real or is it liquidity?, IMF Working Paper, 08/10.
• Hassan, M. K., Ngow, T. S., Yu, J. S., and Hassan, A. (2013). Determinants of credit default swaps spreads in European and Asian markets. Journal of Derivatives and Hedge Funds, 19(4), 295-310.
• Hausmann, R. and Panizza, U. (2003). On the determinants of original sin: An empirical investigation. Journal of International Money and Finance. 22(7), 957-990. doi:10.1016/j.jimonfin.2003.09.006
• Hausmann, R. and Panizza, U. (2010). Redemption or abstinence? Original sin, currency mismatches and counter cyclical policies in the new millennium. Harvard University CID Working Paper 194.
• Heinz F. F. and Sun Y. (2014). Sovereign CDS spreads in Europe: The role of global risk aversion, economic fundamentals, liquidity, and spillovers. International Monetary Fund (14-17).
• Hilscher, J. and Y. Nosbusch. (2010). Determinants of sovereign risk: Macroeconomic fundamentals and the pricing of sovereign debt. Review of Finance, 14(2), 235-262.
• IMF. (1998). Financial crises: Characteristics and indicators of vulnerability. World Economic Outlook. doi:10.5089/9781557757401.081
• IMF. (2000). Debt and reserve - related indicators of external vulnerability. March 23. Erişim adresi: https://www.imf.org/external/np/pdr/debtres/#III_B.
• IMF. (2013). Global financial stability report, April, Washington, DC. www.imf.org (September 9, 2018).
• IMF. (2018). Staff report for Turkey, April, Country Report No. 18/110. Erişim adresi: https://www.imf.org/~/media/Files/Publications/CR/2018/cr18110.ashx.
• Irefin, D. and Yaaba, B. N. (2011). Determinants of foreign reserves in Nigeria: An autoregressive distributed lag approach. Journal of Applied Statistics, 2(2), 63-82.
• Levy-Yeyati, E. (2006). Financial dollarization: Evaluating the consequences. Economic Policy, 21(45), 61-118. doi:10.1111/j.1468-0327.2006.00154.x
• Levy-Yeyati, E. (2008). The cost of reserves. Economics Letters, 100(1), 39-42. doi:10.1016/j.econlet.2007.10.027
• Maier, P. and Vasishtha G. (2008). Good policies or good fortune: What drives the compression in emerging market spreads. Bank of Canada Working Paper no: 25.
• Morgan Stanley. (2013). https://www.morganstanley.com/institutional/research/pdf/FXPulse_20130801.pdf.
• McGuire P. and Schrijvers M.A. (2003). Common factors in emerging market spreads. BIS Quarterly Review, 4.
• Izadi, S. and Hassan, M.K. (2018). Impact of international and local conditions on sovereign bond spreads: international evidence. Borsa Istanbul Review, 18(1), 41-51. doi:10.1016/j.bir.2017.08.002
• Kadria, M. and Aissa, M. S. B. (2016). Inflation targeting and public deficit in emerging countries: A time varying treatment effect approach. Economic Modelling, 52, Part A, 108-114. doi:10.1016/j.econmod.2015.02.022
• Kim, S-J, Salem, L. and Wu, E. (2015). The role of macroeconomic news in sovereign CDS markets: Domestic and spillover news effects from the U.S., the Eurozone and China, Journal of Financial Stability, 18. https://doi.org/10.1016/j.jfs.2015.04.008
• Kliber, A. (2014). The dynamics of sovereign credit default swaps and the evolution of the financial crisis in selected central European economies. Finance a uver-Czech Journal of Economics and Finance, 64(4), 330-350.
• Lehto, T. (1994). The level of a central bank’s international reserves: Theory and cross-country analysis. Bank of Finland Discussion Paper, 15/94
• Liu, Y. and Morley, B. (2013). Sovereign credit ratings, the macroeconomy and credit default swap spread. Brussels Economic Review Cahiers Economiques De Bruxelles, 56(3/4), 335-348.
• Longstaff, F.A., Pan, J., Pedersen, L.H. and Singleton, K. J. (2011). How sovereign is sovereign credit risk?, American Economic Journal: Macroeconomics. 3(2), 75-103.
• Minsky, H. P. (1992). The financial instability hypothesis. The Jerome Levy Economic Institute of Bard College, Working Paper, No.74.
• Minsky, H. P. (1996). Uncertanity and the institutional structure of capitalist economies. The Jerome Levy Economics Institute of Bard College, Working Paper No.155.
• Ng, A. (2000). Volatility sillover effects from Japan and the US to the Pacific-Basin. Journal of International Money and Finance, 19(2), 207-233. doi:10.1016/S0261-5606(00)00006-1
• Özatay, F., Özmen, E. and Şahinbeyoğlu, G. (2009). Emerging market sovereign spreads, global financial conditions and U.S. macroeconomic news. Economic Modelling, 26(2), 526-531. doi:10.1016/j.econmod.2008.10.008
• Özmen, E. and Yalçın, C. (2007). Küresel finansal riskler karşısında Türkiye’de reel sektör finansal yapısı ve borç dolarizasyonu. Türkiye Cumhuriyet Merkez Bankası Çalışma Tebliği No:07/06. doi:10.3848/iif.2007.258.2780
• Pan, J. and Singleton, K. J. (2008). Default and recovery implicit in the term structure of sovereign CDS spreads. The Journal of Finance, 63(5).
• Reinhart, C.M., Rogoff, K. S. and Savastano, M. A. (2003). Debt intolerance, NBER Working Paper, No: 9908.
• Remolona, E. M., Scatigna, M. and Wu, E. (2007). Interpreting sovereign spreads. Erişim adresi: http://www.bis.org/repofficepubl/arpresearch_fs_200703.02.pdf, (December 20, 2018).
• Setser, B. W. (2018). Framing Turkey’s financial vulnerabilites: Some rhymes with the Asian crisis, but not a repeat, council on foreign relations. Erişim adresi: https://www.cfr.org/blog/Setser.
• Uribe, M. and Yue, V. Z. (2006). Country spreads and emerging countries: Who drives whom?, Journal of International Economics, 69(1), 6-36. doi:10.1016/j.jinteco.2005.04.003
• Varlık, S. and Varlık, N.,(2017). Türkiye’nin CDS priminin oynaklığı. Finans, Politik ve Ekonomik Yorumlar, 54 (632), 9-17.
• Yüksel, A. and Yüksel, A. (2017). Avrupa borç krizi döneminde global risk faktörleri ve ülke kredi temerrüt takası primi ilişkisi: 19 ülke örneği. Akdeniz İ.İ.B.F. Dergisi, (36), 1-18. doi:10.25294/auiibfd.357603
• Wang, A.T. and Yao, C. (2014). Risks of Latin America sovereign debts before and after the financial crisis. Applied Economics, 46(14), 1665-1676. doi:10.1080/00036846.2014.881976