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A REVIEW OF THE CAUSALITY RELATIONSHIP BETWEEN CDS SPREADS AND ECONOMIC AND FINANCIAL VARIABLES OF THE SOVEREIGN: TURKEY CASE

Year 2017, Volume: 6 Issue: 12, 145 - 154, 26.12.2017

Abstract

Sound assessment of macroeconomic and financial outlook has great importance for international investors. In
the decision making process of international investors, a very important indicator, which the investors review
in evaluating a country’s economic and financial performance is sovereign credit risk. Sovereign credit risk
both reflects the economic and financial performance of a country and is a meaningful measure of the country’s
resistance against economic and financial shocks, directly affects the borrowing costs the country faces. CDS
spreads are significantly used in measuring the sovereign credit risk and evaluating the risk apetite of foreign
investors against the country. In this study, the relationship between macroeconomic and financial indicators
which leads to increase of sovereign credit risk in Turkey and CDS spreads is analyzed and tested that there is
a causality between these variables by using Toda-Yamamoto Causality Test. 

References

  • ADAM, Michal (2013), “Spillovers and Contagion in the Sovereign CDS Market”, Bank i Kredyt, 44 (6), Pages 571–604. BEERS, David T. and Marie CAVANAUGH (2008), “Sovereign Credit Ratings: A Primer”, Standard &Poor's, New York. BRANDORF, Christoffer ve Johan HOLMBERG (2010), “Determinants of Sovereign Credit Default Swap Spreads for PIIGS-A Macroeconomic Approach”, Bachelor Thesis, Lund Uniiversity School of Economics and Management. COLLIN-DUFRESNE, Pierre, Robert S. GOLDSTEIN, and J. Spencer MARTIN (2001), “The Determinants of Credit Spread Changes”, Journal of Finance 56, 2177-2207. COSSIN, Didier ve Gero JUNG (2005), “Do Major Financial Crises Provide İnformation On Sovereign Risk to The Rest of The World? A Look at Credit Default Swap Markets”, International Center for Financial Asset Management and Engineering, 134, ss.1-31. ÇİL, Yavuz (2006), “Türkiye’de Turizm Gelirlerinin Ekonomik Büyümeye Etkisinin Testi: Yapısal Kırılma ve Nedensellik Testi”, Doğuş Üniversitesi Dergisi, 7 (2), 162-171. FONTANA, A. and M. SCHEICHER (2010), “An Analysis of Euro Area Sovereign CDS”, European Central Bank Working Paper Series 1271. FONTANA, A. and M. SCHEICHER (2016), “An Analysis of Euro Area Sovereign CDS and Their Relation with Government Bonds”, Journal of Banking & Finance, Volume 62, January 2016, Pages 126-140. GONZALO Camba-Méndez, Konrad KOSTRZEWA, Anna MARSZAL and Dobromił SERWA (2016), “Pricing Sovereign Credit Risk of an Emerging Market”, ECB Working Paper Series, No: 1924, June 2016. HAZİNE MÜSTEŞARLIĞI, Ekonomik Göstergeler, https://www.hazine.gov.tr/tr-TR/Istatistik-Sunum Sayfasi?mid=249&cid=26&nm=41 HULL, John, Mirela PREDESCU and Alan WHITE (2004), “The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements”, Journal of Banking and Finance 28, 2789–2811. HULL, John (2008), Options, Futures and Other Derivatives, 7th edition, Prentice Hall, New Jersey. IMF (2011), Global Financial Stability Report, October 2011. ISMAILESCU, I. and H. KAZEMI (2010), “The Reaction of Emerging Market Credit Default Swap Spreads to Sovereign Credit Rating Changes”, Journal of Banking and Finance, 34(12), 2861 -2873. KLIBER, Agata (2011), “Sovereign CDS Instruments in Central Europe-Linkages and Interdependence”, Dynamic Econometric Models, 11, 111–128. KISGERGELY, K. (2009), “What Moved Sovereign CDS Spreads in the Period of Financial Turbulence?”, Report on Financial Stability, November 2009, Central Bank of Hungary. LONGSTAFF, Francis A., Jun Pan, Lasse H. PEDERSEN and Kenneth J. SINGLETON (2011), “How Sovereign Is Sovereign Credit Risk?”, American Economic Journal, 3(2), ss.75-103. O’KANE, D. and S. TURNBULL (2003), “Valuation of Credit Default Swaps”, Lehman Brothers Quantitative Credit Research Quarterly, 2003-Q1-Q2. O’KANE, D., and S. SEN (2004), “Credit Spreads Explained”, QCR Quarterly, Vol. 2004-Q1/Q2, Lehman Brothers, March 2004. PAN, J., and K.J. SINGLETON (2008), “Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads”, The Journal of Finance, Vol. 63, No. 5 (October 2008): 2345-2384. PLANK, Thomas J. (2010), “Do Macro-Economic Fundamentals Price Emerging Market Sovereign CDS Spreads?”, No: 10-5. REMOLONA, Eli M., Michela SCATIGNA and Eliza WU (2008), “The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion”, The Journal of Fixed Income, 17(4), ss.57-71. SAND, H.J. (2012), “The Impact of Macro-Economic Variables On The Sovereign CDS Spreads of The Eurozone Countries”, Master’s Thesis, University of Groningen. TANG, D.Y. and H. YAN (2007), “Liquidity and Credit Default Swap Spreads”, Working paper, Kennesaw State University and University of South Carolina. TANG, D.Y. and H. YAN (2009), “Market Conditions, Default Risk and Credit Spreads”, Journal of Banking & Finance, 34 (2010): 743-753. TODA, H.Y and YAMAMOTO (1995), “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes”, Journal of Econometrics, 66, 225-250. TCMB, İstatistikler, http://evds.tcmb.gov.tr/ TÜİK, Temel İstatistikler, http://www.tuik.gov.tr/UstMenu.do?metod=temelist WALLISON, P. (2009), “Everything You Wanted to Know About Credit Default Swaps: But Were Never Told”, The Journal of Structured Finance, 15 (2), 20–30. ZIVOT, E. and D. ANDREAS (1992), “Further Evidence on the Great Crash, the Oil Price Shock and the Unit-Root Hypothesis”, Journal of Business&Economic Statistics, 10(3), 251-270.

CDS PRİMLERİ İLE BİR ÜLKENİN EKONOMİK VE FİNANSAL DEĞİŞKENLERİ ARASINDAKİ NEDENSELLİK İLİŞKİSİNİN DEĞERLENDİRİLMESİ: TÜRKİYE ÖRNEĞİ

Year 2017, Volume: 6 Issue: 12, 145 - 154, 26.12.2017

Abstract

Bir ülkenin ekonomik ve finansal görünümünün doğru şekilde değerlendirilmesi, uluslararası yatırımcılar
açısından büyük önem taşımaktadır. Yatırımcıların karar süreçlerinde, ülkenin ekonomik ve finansal
performansını değerlendirirken inceledikleri önemli bir gösterge, ülke kredi riskidir. Ülke kredi riski, bir
ülkenin ekonomik ve finansal performansını yansıtmasının ve bir ülkenin ekonomik ve finansal şoklara karşı
dayanıklılığının anlamlı bir ölçüsü olmasının sonucunda, dış borçlanmalarda ülkenin karşılaşacağı kaynak
maliyetlerini doğrudan etkilemektedir. CDS (Kredi Temerrüt Swapları) Primleri ise, ülke kredi riskinin
ölçülmesinde ve özellikle uluslararası yatırımcıların ülkeye yönelik risk algısının değerlendirilmesinde
kullanılan önemli bir değişkendir. Bu çalışmada, Türkiye açısından, ülke kredi riskinin artmasına yol açan
makroekonomik ve finansal değişkenler ile ülke CDS primleri arasındaki ilişki analiz edilmiş; TodaYamamoto
Nedensellik Testi kullanılarak CDS primleri ile söz konusu değişkenler arasındaki nedensellik test
edilmiştir.

References

  • ADAM, Michal (2013), “Spillovers and Contagion in the Sovereign CDS Market”, Bank i Kredyt, 44 (6), Pages 571–604. BEERS, David T. and Marie CAVANAUGH (2008), “Sovereign Credit Ratings: A Primer”, Standard &Poor's, New York. BRANDORF, Christoffer ve Johan HOLMBERG (2010), “Determinants of Sovereign Credit Default Swap Spreads for PIIGS-A Macroeconomic Approach”, Bachelor Thesis, Lund Uniiversity School of Economics and Management. COLLIN-DUFRESNE, Pierre, Robert S. GOLDSTEIN, and J. Spencer MARTIN (2001), “The Determinants of Credit Spread Changes”, Journal of Finance 56, 2177-2207. COSSIN, Didier ve Gero JUNG (2005), “Do Major Financial Crises Provide İnformation On Sovereign Risk to The Rest of The World? A Look at Credit Default Swap Markets”, International Center for Financial Asset Management and Engineering, 134, ss.1-31. ÇİL, Yavuz (2006), “Türkiye’de Turizm Gelirlerinin Ekonomik Büyümeye Etkisinin Testi: Yapısal Kırılma ve Nedensellik Testi”, Doğuş Üniversitesi Dergisi, 7 (2), 162-171. FONTANA, A. and M. SCHEICHER (2010), “An Analysis of Euro Area Sovereign CDS”, European Central Bank Working Paper Series 1271. FONTANA, A. and M. SCHEICHER (2016), “An Analysis of Euro Area Sovereign CDS and Their Relation with Government Bonds”, Journal of Banking & Finance, Volume 62, January 2016, Pages 126-140. GONZALO Camba-Méndez, Konrad KOSTRZEWA, Anna MARSZAL and Dobromił SERWA (2016), “Pricing Sovereign Credit Risk of an Emerging Market”, ECB Working Paper Series, No: 1924, June 2016. HAZİNE MÜSTEŞARLIĞI, Ekonomik Göstergeler, https://www.hazine.gov.tr/tr-TR/Istatistik-Sunum Sayfasi?mid=249&cid=26&nm=41 HULL, John, Mirela PREDESCU and Alan WHITE (2004), “The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements”, Journal of Banking and Finance 28, 2789–2811. HULL, John (2008), Options, Futures and Other Derivatives, 7th edition, Prentice Hall, New Jersey. IMF (2011), Global Financial Stability Report, October 2011. ISMAILESCU, I. and H. KAZEMI (2010), “The Reaction of Emerging Market Credit Default Swap Spreads to Sovereign Credit Rating Changes”, Journal of Banking and Finance, 34(12), 2861 -2873. KLIBER, Agata (2011), “Sovereign CDS Instruments in Central Europe-Linkages and Interdependence”, Dynamic Econometric Models, 11, 111–128. KISGERGELY, K. (2009), “What Moved Sovereign CDS Spreads in the Period of Financial Turbulence?”, Report on Financial Stability, November 2009, Central Bank of Hungary. LONGSTAFF, Francis A., Jun Pan, Lasse H. PEDERSEN and Kenneth J. SINGLETON (2011), “How Sovereign Is Sovereign Credit Risk?”, American Economic Journal, 3(2), ss.75-103. O’KANE, D. and S. TURNBULL (2003), “Valuation of Credit Default Swaps”, Lehman Brothers Quantitative Credit Research Quarterly, 2003-Q1-Q2. O’KANE, D., and S. SEN (2004), “Credit Spreads Explained”, QCR Quarterly, Vol. 2004-Q1/Q2, Lehman Brothers, March 2004. PAN, J., and K.J. SINGLETON (2008), “Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads”, The Journal of Finance, Vol. 63, No. 5 (October 2008): 2345-2384. PLANK, Thomas J. (2010), “Do Macro-Economic Fundamentals Price Emerging Market Sovereign CDS Spreads?”, No: 10-5. REMOLONA, Eli M., Michela SCATIGNA and Eliza WU (2008), “The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion”, The Journal of Fixed Income, 17(4), ss.57-71. SAND, H.J. (2012), “The Impact of Macro-Economic Variables On The Sovereign CDS Spreads of The Eurozone Countries”, Master’s Thesis, University of Groningen. TANG, D.Y. and H. YAN (2007), “Liquidity and Credit Default Swap Spreads”, Working paper, Kennesaw State University and University of South Carolina. TANG, D.Y. and H. YAN (2009), “Market Conditions, Default Risk and Credit Spreads”, Journal of Banking & Finance, 34 (2010): 743-753. TODA, H.Y and YAMAMOTO (1995), “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes”, Journal of Econometrics, 66, 225-250. TCMB, İstatistikler, http://evds.tcmb.gov.tr/ TÜİK, Temel İstatistikler, http://www.tuik.gov.tr/UstMenu.do?metod=temelist WALLISON, P. (2009), “Everything You Wanted to Know About Credit Default Swaps: But Were Never Told”, The Journal of Structured Finance, 15 (2), 20–30. ZIVOT, E. and D. ANDREAS (1992), “Further Evidence on the Great Crash, the Oil Price Shock and the Unit-Root Hypothesis”, Journal of Business&Economic Statistics, 10(3), 251-270.
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Details

Primary Language Turkish
Journal Section Articles
Authors

Esra N. Kılcı

Publication Date December 26, 2017
Published in Issue Year 2017 Volume: 6 Issue: 12

Cite

APA Kılcı, E. N. (2017). CDS PRİMLERİ İLE BİR ÜLKENİN EKONOMİK VE FİNANSAL DEĞİŞKENLERİ ARASINDAKİ NEDENSELLİK İLİŞKİSİNİN DEĞERLENDİRİLMESİ: TÜRKİYE ÖRNEĞİ. Global Journal of Economics and Business Studies, 6(12), 145-154.