Research Article
BibTex RIS Cite

An Empirical Analysis of the Relationship Between Türkiye’s CDS Premium and Economic, Financial and Political Risk

Year 2023, Volume: 31 Issue: 58, 81 - 104, 26.10.2023

Esra Soyu Munise Ilıkkan Özgür

https://doi.org/10.17233/sosyoekonomi.2023.04.04

Abstract

This study investigates the causal relationship between Türkiye’s economic, financial, and political risk rates and CDS premiums. This assessment uses the Bootstrap TY and time-varying causality test to scrutinise the relationship between the risk rates and CDS premium between the periods 2000:10 and 2020:06. While the former analysis finds no causal relationship among the variables, the latter analysis deduces a significant causality. The Bootstrap TY asymmetric causality test findings discover causality arising from the negative shocks from political risk to CDS premium. The findings of the time-varying causality test identify periods in Türkiye in which a causal relationship is prevalent between economic, financial, and political risk with CDS premium.

Keywords

CDS Premium Economic Risk Financial Risk Political Risk Causality Analysis

References

  • Aizenman, J. et al. (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.
  • Akkaya, M. & S. Kanar (2017), “Sosyal ve Toplumsal Olayların Finansal Yapıya Etkisi: Türkiye-Rusya Krizi ve 15 Temmuz Olayı”, International Congress On Management Economics and Business-ICMEB'17, 119-124.
  • Alexe, S. et al. (2003), “A Non-Recursive Regression Model For Country Risk Rating”, RUTCOR-Rutgers University Research Report, 3, 1-38.
  • Arslantürk, Y. et al. (2011), “Time-Varying Linkages Between Tourism Receipts and Economic Growth in A Small Open Economy”, Economic Modelling, 28(1-2), 664-671.
  • Ayaydın, H. et al. (2016), “Ülke Riskinin Hisse Senedi Getirisine Etkisi: Ampirik Bir Analiz”, Küresel İktisat ve İşletme Çalışmaları Dergisi, 5(10), 66-75.
  • Balcilar, M. & Z. Özdemir (2013), “Asymmetric and Time-Varying Causality Between Inflation and Inflation Uncertainty in G-7 Countries”, J. Political Econ., 60(1), 1-42.
  • Balcılar, M. et al. (2010), “Economic Growth and Energy Consumption Causal Nexus Viewed Through a Bootstrap Rolling Window”, Energy Economics, 32(6), 1398-1410.
  • Balding, C. (2011), “CDS Pricing and Elections in Emerging Markets”, Journal of Emerging Market Finance, 10(2), 121-173.
  • Başarır, Ç. & M. Keten (2016), “Gelişmekte Olan Ülkelerin CDS Primleri ile Hisse Senetleri ve Döviz Kurları Arasındaki Kointegrasyon İlişkisi”, Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 8(15), 369-380.
  • Bekaert, G. et al. (2014), “Political Risk Spreads”, Journal of International Business Studies, 45(4), 471-493.
  • Belkhir, M. et al. (2018), “Islamic Banks and Political Risk: International Evidence”, Quarterly Review of Economics and Finance, 74, 39-55.
  • Bozkurt, I. & M.V. Kaya (2018), “Arap Baharı Coğrafyasından Gelen Haberleri̇n CDS Pri̇mleri Üzeri̇ndeki Etki̇si̇: Türki̇ye Örneği̇”, Uluslararası İktisadi ve İdari İncelemeler Dergisi -JEAS, 20, 1-16.
  • Braga-Alves, M.V. (2018), “Political Risk and the Equity Trading Costs of Cross-Listed Firms”, Quarterly Review of Economics and Finance, 69, 232-244.
  • Brandorf, C. & J. Holmberg (2010), “Determinants of Sovereign Credit Default Swap Spreads for PIIGS-A: Macroeconomic Approach”, Bachelor Thesis, Lund University Department of Economics, 1-35.
  • Brooks, C. & M. Hinich (1998), “Episodic Nonstationarity in Exchange Rates”, Appl. Econ. Lett., 5(11), 719-722.
  • Can, A.N. & M. Acar (2019), “Credit Default Swaps: The Case of Turkey”, 4th International Conference On Economıcs Business Management And Socıal Scıences, 46-56.
  • Çavdar, M. (2015), “Avrupa Borç Krizi Sonrası Euro Bölgesi Ülkelerinin Bono Getirileri ile CDS Primleri ve Kredi Notları Arasındaki İlişki”, Maliye ve Finans Yazıları, 104, 145-166.
  • Cekic, S. et al. (2018), “Time, Frequency, and Time‐Varying Granger-Causality Measures in Neuroscience”, Statistics in Medicine, 37(11), 1910-1931.
  • Chen, H. et al. (2016), “Impacts of OPEC’s Political Risk on The International Crude Oil Prices: An Empirical Analysis Based on the SVAR Models”, Energy Economıcs, 57, 42-49.
  • Chow, S.C. et al. (2019), “Long-Run Movement and Predictability of Bond Spread for BRICS and PIIGS: The Role of Economic, Financial and Political Risks”, Journal of Reviews on Global Economics, 8, 239-257.
  • Chuffart, T. & E. Hooper (2019), “An Investigation of Oil Prices Impact on Sovereign Credit Default Swaps in Russia and Venezuela”, Energy Economics, 80, 904-916.
  • Çonkar, M.K. & G. Vergili (2017), “Kredi Temerrüt Swapları ile Döviz Kurları Arasındakı̇ İlişki: Türkiye için Amprik Bir Analiz”, Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(4), 59-66.
  • Cooray, A. & R. Dzhumashev (2018), “The Effect of Corruption on Labour Market Outcomes”, Economic Modelling, 74, 207-218.
  • Değirmenci, N. & H. Babuçcu (2016), “Borsa İstanbul ve Risk Primi Arasındaki Etkileşim: Var ve Narx Model”, Akademik Sosyal Araştırmalar Dergisi, 4(35), 248-261.
  • Dinç, M. et al. (2018), “Türkiye Kredi Risk Primindeki (CDS) Yapısal Kırılmaların Ekonometrik Analizi”, Uluslararası İktisadi ve İdari İncelemeler Dergisi, (Özel Sayı), 181-192.
  • Ekrem, B. et al. (2018), “Makroekonomik Göstergelerin CDS Primini Açıklama Gücü: Kırılgan Beşli Ülkeleri İçin Bir Panel ARDL Analizi”, IV. ICOAEF - International Conference on Applied Economics and Finance, 487-500.
  • Erdoğan, S. et al. (2019), “A Note on Time-Varying Causality Between Natural Gas Consumption and Economic Growth in Turkey”, Resources Policy, 64, 1-7.
  • Ericsson, J. et al. (2009), “The Determinants of Credit Default Swap Premia”, Journal of Financial and Quantitative Analysis, 44(1), 109-132.
  • Ersan, İ. & S. Günay (2009), “Kredi Riski Göstergesi Olarak Kredi Temerrüt Swapları (CDSs) ve Kapatma Davasının Türkiye Riski Üzerine Etkisine Dair Bir Uygulama”, Bankacılar Dergisi, 71, 3-22.
  • Filippou, I. et al. (2018), “Global Political Risk and Currency Momentum”, Journal of Financial and Quantitative Analysis, 53(5), 2227-2259.
  • Flores Mendez, L.A. (2018), “Determination of the Country Risk Index in Nicaragua for the Period 2014-2017 and its Outlook for the Year 2018”, Reice-Revista Electronica De Investigacion En Ciencias Economicas, 6(12), 21-41.
  • Fontana, A. & M. Scheicher (2010), “An Analysis of Euro Area Sovereign CDS and Their Relation with Government Bonds”, ECB Working Paper, 12, 5-8.
  • Fulghieri, P. et al. (2014), “The Economics of Solicited and Unsolicited Credit Ratings”, Review of Financial Studies, 27(2), 484-518.
  • Gakpa, L.L. (2019), “Political Instability, FDI and Effects on Economic Growth in Sub-Saharan African Countries: A Dynamic Simultaneous Equation Model”, Region et Developpement, 20, 89-117.
  • Gao, B. et al. (2020), “Internal Conflict and Bank Liquidity Creation: Evidence from the Belt and Road Initiative”, Research in International Business and Finance, 53(January), 101227, 1-10.
  • Granger, C. & G. Yoon (2002), “Hidden cointegration”, Department of Economics Working Paper University of California, No:2002-02.
  • Gregory, R.P. (2019), “Financial Openness and Entrepreneurship”, Research in International Business and Finance, 48, 48-58.
  • Guesmi, K. et al. (2018), “On the Determinants of Industry-CDS Index Spreads: Evidence From A Nonlinear Setting”, Journal of International Financial Markets, Institutions and Money, 56, 233-254.
  • Gujarati, D.N. (1995), Basic Econometrics (Third edit), McGraw Hill Com. Inc.
  • Gün, M. et al. (2016), “Gezi Parkı Olaylarının Türkiye Kredi Temerrüt Swapları (CDS) Üzerine Etkisi”, Journal of Business Research, 8(1), 556-575.
  • Hacker, R. & A. Hatemi-J (2006), “Tests for Causality Between Integrated Variables Using Asymptotic and Bootstrap Distributions: Theory and Application”, Appl. Econ., 38(13), 1489-1500.
  • Hancı, G. (2014), “Kredi Temerrüt Takasları ve BIST-100 Arasındaki İlişkinin İncelenmesi”, Maliye Finans Yazıları, 28(102), 9-22.
  • Hasan, I. et al. (2016), “The Determinants of Global Bank Credit-Default-Swap Spreads”, J Financ Serv Res, 50, 275-309.
  • Hassan, M.K. et al. (2013), “Determinants of Credit Default Swaps Spreads in European and Asian Markets”, Journal of Derivatives and Hedge Funds, 19(4), 295-310.
  • Hatemi-J, A. (2012), “Asymmetric causality tests with an application”, Empirical Economics, 43(1), 447-456.
  • Hatemi-J, A. (2021), “Dynamic Asymmetric Causality Tests with an Application”, Papers 2106.07612, arXiv.org.
  • Hoti, S. (2005), “Modelling Country Spillover Effects in Country Risk Ratings”, Emerging Markets Review, 6, 324-345.
  • Howell, L.D. & B. Chaddick (1994), “Models of Political Risk for Foreign Investment and Trade- An Assessment of Three Approaches”, The Columbia Journal of World Business, 70-91.
  • Howell, L.D. (2011), International Country Risk Guide Methodology, East Syracuse, NY: PRS Group.
  • Huang, T. et al. (2015), “International Political Risk and Government Bond Pricing”, Journal of Banking and Finance, 55, 393-405.
  • Huang, W. et al. (2019), “Institutional Quality and Sovereign Credit Default Swap Spreads”, Journal of Futures Markets, 39(6), 686-703.
  • İltaş, Y. & G. Üçler (2019), “Kurumsal Kalite ve Finansal Riskin Menkul Kıymetler Borsası Üzerine Etkisi: Türkiye için Ampirik Bir İnceleme”, Sosyoekonomi, 27(41), 113-128.
  • İltaş, Y. (2020), “Farklı Risk Türleri ve Borsa Endeksi Arasındaki İlişki: Türkiye için Nedensellik Testleri”, Business and Economics Research Journal, 11(2), 371-384.
  • Inglesi-Lotz, R. et al. (2014), “Time-Varying Causality Between Research Output and Economic Growth in US”, Scientometrics, 100(1), 203-216.
  • Kajurova, V. (2015), “The Determinants of CDS Spreads: The Case of UK Companies”, Procedia Economics and Finance, 23, 1302-1307.
  • Kanda, P. et al. (2018), “Time-Varying Causality Between Equity and Currency Returns in the United Kingdom: Evidence from over Two Centuries of Data”, Physica A: Statistical Mechanics and its Applications, 506, 1060-1080.
  • Kapar, B. & J. Olmo (2011), “The Determinants of Credit Default Swap Spreads in the Presence of Structural Breaks and Counterparty Risk”, Working Papers 11/02, Department of Economics, City University London.
  • Kartal, G. & S. Öztürk (2017), “Türkiye’de Politik İstikrarsızlık ve Ekonomik Büyüme İlişkisi”, Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi, 10(4), 250-270.
  • Kaya, H.P. (2019), “Politik ve Finansal Riskin Bist İmalat Sektörünün Performansı Üzerindeki Etkisi”, Uluslararası Yönetim İktisat ve İşletme Dergisi, 1(15), 30-45.
  • Kiff, J. & R. Morrow (2000), “Credit Derivatives”, Bank of Canada Review, (Autumn), 3-11.
  • Kılcı, E.N. (2017), “CDS Primleri ile Bir Ülkenin Ekonomik ve Finansal Değişkenleri Arasındaki Nedensellik İlişkisinin Değerlendirilmesi: Türkiye Örneği”, Küresel İktisat ve İşletme Çalışmaları Dergisi, 12(6), 145-154.
  • Kılcı, E.N. (2019a), “Dış Borçların Ülke CDS Primleri Üzerindeki Etkisinin İncelenmesi: Türkiye Örneği”, Sayıştay Dergisi, 12, 75-92.
  • Kılcı, E.N. (2019b), “Mali Dengeler ile CDS Primleri Arasındaki Nedensellik İlişkisinin Analizine Yönelik Bir Çalışma; Türkiye Örneği”, İstanbul Gelişim Üniversitesi Sosyal Bilimler Dergisi, 6, 59-71.
  • Kök, R. et al. (2015), “Ülke Riski Bileşenlerinin Bankacılık ve Reel Sektör Üzerine Etkileri: Türkiye Örneği, 1993-2015”, Çukurova Üniversitesi İİBF Dergisi, 19(2), 151-171.
  • Kunt, A.S. & O. Taş (2008), “Kredi Temerrüt Swapları ve Türkiye’nin CDS Priminin Tahmin Edilmesine Yönelik Bir Uygulama”, Itüdergisi/b Sosyal Bilimler, 5(1), 78-89.
  • Law, S.H. et al. (2013), “Institutions and Economic Development: A Granger Causality Analysis of Panel Data Evidence”, Economic Systems, 37(4), 610-624.
  • Lee, H.H. & J.S. Hyun (2019), “The Asymmetric Effect of Equity Volatility on Credit Default Swap Spreads”, Journal of Banking and Finance, 98, 125-136.
  • Li, C. & S. Tanna (2019), “The Impact of Foreign Direct Investment on Productivity: New Evidence for Developing Countries”, Economic Modelling, 80, 453-466.
  • Li, Y. et al. (2018), “Time-Varying Nonlinear Causality Detection Using Regularized Orthogonal Least Squares and Multi-wavelets with Applications to EEG”, IEEE Access, 6, 17826-17840.
  • Meyer, D.F. & T. Habanabakize (2018), “An Analysis of the Relationship Between Foreign Direct Investment (FDI), Political Risk and Economic Growth in South Africa”, Business and Economic Horizons, 14(4), 777-788.
  • Mshelia, J.B. & J.R. Anchor (2019), “Political Risk Assessment by Multinational Corporations in African Markets: A Nigerian Perspective”, Thunderbird International Business Review, 61(2), 133-142.
  • Norden, L. & M. Weber (2009), “The Co-movement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis”, European Financial Management, 15(3), 529-562.
  • Oral, İ.O. & C. Yılmaz (2017), “Finansal ve Politik Risk Endeksinin Bist Sınai Endeksi Üzerindeki Etkisi”, Karadeniz, 33, 192-202.
  • Özpınar, Ö. et al. (2018), “Kredi Temerrüt Takası (CDS) ve Kur-Faiz İlişkisi: Türkiye Örneği”, Bankacılık ve Sermaye Piyasası Araştırmaları Dergisi-BSPAD, 2(4), 31-45.
  • Pulok, M.H. & M.U. Ahmed (2017), “Does Corruption Matter for Economic Development? Long Run Evidence from Bangladesh”, International Journal of Socıal Economics, 44(3), 350-361.
  • Ranciere, R.G. (2002), “Credit Derivatives in Emerging Markets”, IMF Policy Discussion Paper, 1-24.
  • Randrianarisoa, L.M. et al. (2015), “Effects of Corruption on Efficiency of the European Airports”, Transportation Research Part A-Policy And Practice, 79, 65-83.
  • Rashid, A. et al. (2017), “Exploring the Relationship Between Macroeconomic Indicators and Sovereign Credit Default Swap in Pakistan”, The Journal of Risk Finance, 18(4), 368-380.
  • Şahin, E.E. & O. Özkan (2018), “Kredi Temerrüt Takası, Döviz Kuru ve Bist100 Endeks İlişkisi”, Hitit Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 3, 1939-1945.
  • Şahin, Ö. (2018), “Cari Açık Değerleri CDS Puanları Üzerinde Etkili midir? Türkiye İçin Bir Perspektif”, Muhasebe ve Finansman Dergisi, Ekim, 189-204.
  • Sand, H.J.H. (2012), “The Impact of Macro-economic Variables on the Sovereign CDS Spreads of the Eurozone Countries: Examining the Determinants of Credit Default Swaps”, Master Thesis, University of Groningen Faculty of Economics and Business.
  • Şanlısoy, S. & R. Kök (2010), “Politik İstikrarsızlık - Ekonomik Büyüme İlişkisi: Türkiye Örneği (1987-2006)”, Dokuz Eylül Üniversitesi İİBF Dergisi, 25(1), 101-125.
  • Sekkat, K. & M.A. Veganzones-Varoudakis (2007), “Openness, Investment Climate, and FDI in Developing Countries”, Review of Development Economics, 11(4), 607-620.
  • Shahzad, S.J.H. et al. (2017), “The Determinants of Credit Risk: Analysis of US Industry-level Indices”, Global Business Review, 19(5), 1-14.
  • Sovbetov, Y. & H. Saka (2018), “Does It Take Two to Tango: Interaction Between Credit Default Swaps and National Stock Indices”, Journal of Economics and Financial Analysis, 2(1), 129-149.
  • Suleman, T. & M. Berka (2017), Political Risk, Exchange Rate Return and Volatility, <https://www.nzfc.ac.nz/archives/2018/papers/updated/159.pdf>, 15.08.2020.
  • Süsay, A. & A.E. Ünal (2020), “Seçilmiş Güven Endeksleri, VIX ve CDS Primlerinin Büyümeye Etkisi: Türkiye Örneği”, Ufuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 9(18), 83-97.
  • Tamakoshi, G. & S. Hamori (2018), Credit Default Swap Markets in the Global Economy, Routledge, 1-69.
  • Tang, C.F. (2008), “Wagner’s Law Versus Keynesian Hypothesis: New evidence From Recursive Regression Based Causality Approaches”, ICFAI Journal of Public Finance, 6(4), 29-38.
  • Tanzi, V. (1998), “Corruption Around the World: Causes, Consequences, Scope, and Cures”, IMF Working Paper.
  • The PRS Group (2020), Country Data Online, <https://www.prsgroup.com/explore-our-products/countrydata-online/>, 05.01.2020.
  • Toda, H. & T. Yamamoto (1995), “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes”, J. Econom., 66(1), 225-250.
  • Topal, M.H. & Ö.S. Gül (2016), “Ekonomik Risk ile Doğrudan Yabanci Sermaye Yatırımları Arasindaki İli̇şki̇: Türki̇ye Örneği̇”, Gümüşhane Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 7(15), 229-247.
  • Tükenmez, N.M. & N. Kutay (2016), “Ülke Riskinin Hisse Senetleri Getirileri Üzerine Etkisi: Türkiye ve Arjantin Piyasaları İçin Bir Karşılaştırma”, Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 20(2), 631-645.
  • Tuncay, M. (2018), “Do Political Risks Matter in the Financial Markets?: Evidence From Turkey”, Eurasıan Busıness Review, 8(2), 209-227.
  • Üçler, G. & D. Uysal (2017), “Türk Bankacılık Sektörünün Finansal Performansı ve Makroekonomik Performans Arasındaki Asimetrik İlişki”, Journal of Economics, Finance and Accounting, 2, 87-97.
  • Üçler, G. (2017), “Doğrudan Yabancı Yatırımlar için Kurumların Önemi: Gelişmekte Olan Ülkeler Üzerine Ekonometrik Bir Analiz”, Finans Politik & Ekonomik Yorumlar, 54(627), 73-85.
  • Ulusoy, T. & S. Kendirli (2019), “Türkiye’de Gerçekleşen Terör Saldırılarının Olay Analizi: VIX Korku Endeksi, BIST 100 ve Kredi Temerrüt Swapları Üzerine Etkileri”, İnsan ve Toplum Bilimleri Araştırmaları Dergisi, 8(2), 1125-1144.
  • Yapraklı, S. & B. Güngör (2007), “Ülke Riskinin Hisse Senedi Fiyatlarına Etkisi: IMKB100 Endeksi Üzerine Bir Araştırma”, Ankara Üniversitesi SBF Dergisi, 62(2), 199-201.
  • Yılancı, V. & Ş. Bozoklu (2014), “Türk Sermaye Piyasasında Fiyat ve İşlem Hacmi İlişkisi: Zamanla Değişen Asimetrik Nedensellik Analizi”, Ege Akademik Bakış, 14(2), 211-220.
  • Yılmaz, A. & A. Ünlü (2018), “Effect of Some Macroeconomic Variables on Risk Perception: The Turkish Case”, Hacettepe University Journal of Economics and Administrative Sciences, 36(4), 117-147.
  • Yılmaz, C. & C. Meydan (2019), “Finansal ve Politik Risk ile Borsa İstanbul (BIST) Yabancı Yatırımcı İşlem Hacmi Arasındaki İlişki”, Finans Politik & Ekonomik Yorumlar, 647, 125-144.
  • Zeren, F. & M. Koç (2016), “Time Varying Causality Between Stock Market and Exchange Rate: Evidence from Turkey, Japan and England”, Econ. Res. Ekonomska Istraživanja, 29(1), 696-705.

Türkiye’nin CDS Primi ile Ekonomik, Finansal ve Politik Risk Arasındaki İlişkinin Ampirik Analizi

Year 2023, Volume: 31 Issue: 58, 81 - 104, 26.10.2023

Esra Soyu Munise Ilıkkan Özgür

https://doi.org/10.17233/sosyoekonomi.2023.04.04

Abstract

Bu çalışmanın amacı, Türkiye’nin ekonomik, finansal ve politik risk oranları ile CDS primi arasındaki nedensellik ilişkilerini incelemektir. Çalışmada 2000:10-2020:06 döneminde söz konusu risk oranları ile CDS primi arasındaki ilişkiyi incelemek için Bootstrap TY ve zamanla değişen nedensellik testi kullanılmıştır. Bootstrap TY nedensellik analizi bulgularına göre ekonomik risk ve finansal risk ile CDS primi arasında nedensellik ilişkisi bulunmazken, politik risk ile CDS primi arasında nedensellik ilişkisinin bulunduğu görülmektedir. Bootstrap TY asimetrik nedensellik testi bulgularına göre politik risk değişkeninden CDS primine doğru negatif şoklardan kaynaklanan bir nedensellik ilişkisi söz konusudur. Zamanla değişen nedensellik analizi bulgularına göre ise Türkiye’de ekonomik, finansal ve politik risk ile CDS primi arasındaki nedensellik ilişkisinin bulunduğu dönemler tespit edilmiştir.

Keywords

CDS Primi Ekonomik Risk Finansal Risk Politik Risk Nedensellik Analizi

References

  • Aizenman, J. et al. (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.
  • Akkaya, M. & S. Kanar (2017), “Sosyal ve Toplumsal Olayların Finansal Yapıya Etkisi: Türkiye-Rusya Krizi ve 15 Temmuz Olayı”, International Congress On Management Economics and Business-ICMEB'17, 119-124.
  • Alexe, S. et al. (2003), “A Non-Recursive Regression Model For Country Risk Rating”, RUTCOR-Rutgers University Research Report, 3, 1-38.
  • Arslantürk, Y. et al. (2011), “Time-Varying Linkages Between Tourism Receipts and Economic Growth in A Small Open Economy”, Economic Modelling, 28(1-2), 664-671.
  • Ayaydın, H. et al. (2016), “Ülke Riskinin Hisse Senedi Getirisine Etkisi: Ampirik Bir Analiz”, Küresel İktisat ve İşletme Çalışmaları Dergisi, 5(10), 66-75.
  • Balcilar, M. & Z. Özdemir (2013), “Asymmetric and Time-Varying Causality Between Inflation and Inflation Uncertainty in G-7 Countries”, J. Political Econ., 60(1), 1-42.
  • Balcılar, M. et al. (2010), “Economic Growth and Energy Consumption Causal Nexus Viewed Through a Bootstrap Rolling Window”, Energy Economics, 32(6), 1398-1410.
  • Balding, C. (2011), “CDS Pricing and Elections in Emerging Markets”, Journal of Emerging Market Finance, 10(2), 121-173.
  • Başarır, Ç. & M. Keten (2016), “Gelişmekte Olan Ülkelerin CDS Primleri ile Hisse Senetleri ve Döviz Kurları Arasındaki Kointegrasyon İlişkisi”, Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 8(15), 369-380.
  • Bekaert, G. et al. (2014), “Political Risk Spreads”, Journal of International Business Studies, 45(4), 471-493.
  • Belkhir, M. et al. (2018), “Islamic Banks and Political Risk: International Evidence”, Quarterly Review of Economics and Finance, 74, 39-55.
  • Bozkurt, I. & M.V. Kaya (2018), “Arap Baharı Coğrafyasından Gelen Haberleri̇n CDS Pri̇mleri Üzeri̇ndeki Etki̇si̇: Türki̇ye Örneği̇”, Uluslararası İktisadi ve İdari İncelemeler Dergisi -JEAS, 20, 1-16.
  • Braga-Alves, M.V. (2018), “Political Risk and the Equity Trading Costs of Cross-Listed Firms”, Quarterly Review of Economics and Finance, 69, 232-244.
  • Brandorf, C. & J. Holmberg (2010), “Determinants of Sovereign Credit Default Swap Spreads for PIIGS-A: Macroeconomic Approach”, Bachelor Thesis, Lund University Department of Economics, 1-35.
  • Brooks, C. & M. Hinich (1998), “Episodic Nonstationarity in Exchange Rates”, Appl. Econ. Lett., 5(11), 719-722.
  • Can, A.N. & M. Acar (2019), “Credit Default Swaps: The Case of Turkey”, 4th International Conference On Economıcs Business Management And Socıal Scıences, 46-56.
  • Çavdar, M. (2015), “Avrupa Borç Krizi Sonrası Euro Bölgesi Ülkelerinin Bono Getirileri ile CDS Primleri ve Kredi Notları Arasındaki İlişki”, Maliye ve Finans Yazıları, 104, 145-166.
  • Cekic, S. et al. (2018), “Time, Frequency, and Time‐Varying Granger-Causality Measures in Neuroscience”, Statistics in Medicine, 37(11), 1910-1931.
  • Chen, H. et al. (2016), “Impacts of OPEC’s Political Risk on The International Crude Oil Prices: An Empirical Analysis Based on the SVAR Models”, Energy Economıcs, 57, 42-49.
  • Chow, S.C. et al. (2019), “Long-Run Movement and Predictability of Bond Spread for BRICS and PIIGS: The Role of Economic, Financial and Political Risks”, Journal of Reviews on Global Economics, 8, 239-257.
  • Chuffart, T. & E. Hooper (2019), “An Investigation of Oil Prices Impact on Sovereign Credit Default Swaps in Russia and Venezuela”, Energy Economics, 80, 904-916.
  • Çonkar, M.K. & G. Vergili (2017), “Kredi Temerrüt Swapları ile Döviz Kurları Arasındakı̇ İlişki: Türkiye için Amprik Bir Analiz”, Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(4), 59-66.
  • Cooray, A. & R. Dzhumashev (2018), “The Effect of Corruption on Labour Market Outcomes”, Economic Modelling, 74, 207-218.
  • Değirmenci, N. & H. Babuçcu (2016), “Borsa İstanbul ve Risk Primi Arasındaki Etkileşim: Var ve Narx Model”, Akademik Sosyal Araştırmalar Dergisi, 4(35), 248-261.
  • Dinç, M. et al. (2018), “Türkiye Kredi Risk Primindeki (CDS) Yapısal Kırılmaların Ekonometrik Analizi”, Uluslararası İktisadi ve İdari İncelemeler Dergisi, (Özel Sayı), 181-192.
  • Ekrem, B. et al. (2018), “Makroekonomik Göstergelerin CDS Primini Açıklama Gücü: Kırılgan Beşli Ülkeleri İçin Bir Panel ARDL Analizi”, IV. ICOAEF - International Conference on Applied Economics and Finance, 487-500.
  • Erdoğan, S. et al. (2019), “A Note on Time-Varying Causality Between Natural Gas Consumption and Economic Growth in Turkey”, Resources Policy, 64, 1-7.
  • Ericsson, J. et al. (2009), “The Determinants of Credit Default Swap Premia”, Journal of Financial and Quantitative Analysis, 44(1), 109-132.
  • Ersan, İ. & S. Günay (2009), “Kredi Riski Göstergesi Olarak Kredi Temerrüt Swapları (CDSs) ve Kapatma Davasının Türkiye Riski Üzerine Etkisine Dair Bir Uygulama”, Bankacılar Dergisi, 71, 3-22.
  • Filippou, I. et al. (2018), “Global Political Risk and Currency Momentum”, Journal of Financial and Quantitative Analysis, 53(5), 2227-2259.
  • Flores Mendez, L.A. (2018), “Determination of the Country Risk Index in Nicaragua for the Period 2014-2017 and its Outlook for the Year 2018”, Reice-Revista Electronica De Investigacion En Ciencias Economicas, 6(12), 21-41.
  • Fontana, A. & M. Scheicher (2010), “An Analysis of Euro Area Sovereign CDS and Their Relation with Government Bonds”, ECB Working Paper, 12, 5-8.
  • Fulghieri, P. et al. (2014), “The Economics of Solicited and Unsolicited Credit Ratings”, Review of Financial Studies, 27(2), 484-518.
  • Gakpa, L.L. (2019), “Political Instability, FDI and Effects on Economic Growth in Sub-Saharan African Countries: A Dynamic Simultaneous Equation Model”, Region et Developpement, 20, 89-117.
  • Gao, B. et al. (2020), “Internal Conflict and Bank Liquidity Creation: Evidence from the Belt and Road Initiative”, Research in International Business and Finance, 53(January), 101227, 1-10.
  • Granger, C. & G. Yoon (2002), “Hidden cointegration”, Department of Economics Working Paper University of California, No:2002-02.
  • Gregory, R.P. (2019), “Financial Openness and Entrepreneurship”, Research in International Business and Finance, 48, 48-58.
  • Guesmi, K. et al. (2018), “On the Determinants of Industry-CDS Index Spreads: Evidence From A Nonlinear Setting”, Journal of International Financial Markets, Institutions and Money, 56, 233-254.
  • Gujarati, D.N. (1995), Basic Econometrics (Third edit), McGraw Hill Com. Inc.
  • Gün, M. et al. (2016), “Gezi Parkı Olaylarının Türkiye Kredi Temerrüt Swapları (CDS) Üzerine Etkisi”, Journal of Business Research, 8(1), 556-575.
  • Hacker, R. & A. Hatemi-J (2006), “Tests for Causality Between Integrated Variables Using Asymptotic and Bootstrap Distributions: Theory and Application”, Appl. Econ., 38(13), 1489-1500.
  • Hancı, G. (2014), “Kredi Temerrüt Takasları ve BIST-100 Arasındaki İlişkinin İncelenmesi”, Maliye Finans Yazıları, 28(102), 9-22.
  • Hasan, I. et al. (2016), “The Determinants of Global Bank Credit-Default-Swap Spreads”, J Financ Serv Res, 50, 275-309.
  • Hassan, M.K. et al. (2013), “Determinants of Credit Default Swaps Spreads in European and Asian Markets”, Journal of Derivatives and Hedge Funds, 19(4), 295-310.
  • Hatemi-J, A. (2012), “Asymmetric causality tests with an application”, Empirical Economics, 43(1), 447-456.
  • Hatemi-J, A. (2021), “Dynamic Asymmetric Causality Tests with an Application”, Papers 2106.07612, arXiv.org.
  • Hoti, S. (2005), “Modelling Country Spillover Effects in Country Risk Ratings”, Emerging Markets Review, 6, 324-345.
  • Howell, L.D. & B. Chaddick (1994), “Models of Political Risk for Foreign Investment and Trade- An Assessment of Three Approaches”, The Columbia Journal of World Business, 70-91.
  • Howell, L.D. (2011), International Country Risk Guide Methodology, East Syracuse, NY: PRS Group.
  • Huang, T. et al. (2015), “International Political Risk and Government Bond Pricing”, Journal of Banking and Finance, 55, 393-405.
  • Huang, W. et al. (2019), “Institutional Quality and Sovereign Credit Default Swap Spreads”, Journal of Futures Markets, 39(6), 686-703.
  • İltaş, Y. & G. Üçler (2019), “Kurumsal Kalite ve Finansal Riskin Menkul Kıymetler Borsası Üzerine Etkisi: Türkiye için Ampirik Bir İnceleme”, Sosyoekonomi, 27(41), 113-128.
  • İltaş, Y. (2020), “Farklı Risk Türleri ve Borsa Endeksi Arasındaki İlişki: Türkiye için Nedensellik Testleri”, Business and Economics Research Journal, 11(2), 371-384.
  • Inglesi-Lotz, R. et al. (2014), “Time-Varying Causality Between Research Output and Economic Growth in US”, Scientometrics, 100(1), 203-216.
  • Kajurova, V. (2015), “The Determinants of CDS Spreads: The Case of UK Companies”, Procedia Economics and Finance, 23, 1302-1307.
  • Kanda, P. et al. (2018), “Time-Varying Causality Between Equity and Currency Returns in the United Kingdom: Evidence from over Two Centuries of Data”, Physica A: Statistical Mechanics and its Applications, 506, 1060-1080.
  • Kapar, B. & J. Olmo (2011), “The Determinants of Credit Default Swap Spreads in the Presence of Structural Breaks and Counterparty Risk”, Working Papers 11/02, Department of Economics, City University London.
  • Kartal, G. & S. Öztürk (2017), “Türkiye’de Politik İstikrarsızlık ve Ekonomik Büyüme İlişkisi”, Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi, 10(4), 250-270.
  • Kaya, H.P. (2019), “Politik ve Finansal Riskin Bist İmalat Sektörünün Performansı Üzerindeki Etkisi”, Uluslararası Yönetim İktisat ve İşletme Dergisi, 1(15), 30-45.
  • Kiff, J. & R. Morrow (2000), “Credit Derivatives”, Bank of Canada Review, (Autumn), 3-11.
  • Kılcı, E.N. (2017), “CDS Primleri ile Bir Ülkenin Ekonomik ve Finansal Değişkenleri Arasındaki Nedensellik İlişkisinin Değerlendirilmesi: Türkiye Örneği”, Küresel İktisat ve İşletme Çalışmaları Dergisi, 12(6), 145-154.
  • Kılcı, E.N. (2019a), “Dış Borçların Ülke CDS Primleri Üzerindeki Etkisinin İncelenmesi: Türkiye Örneği”, Sayıştay Dergisi, 12, 75-92.
  • Kılcı, E.N. (2019b), “Mali Dengeler ile CDS Primleri Arasındaki Nedensellik İlişkisinin Analizine Yönelik Bir Çalışma; Türkiye Örneği”, İstanbul Gelişim Üniversitesi Sosyal Bilimler Dergisi, 6, 59-71.
  • Kök, R. et al. (2015), “Ülke Riski Bileşenlerinin Bankacılık ve Reel Sektör Üzerine Etkileri: Türkiye Örneği, 1993-2015”, Çukurova Üniversitesi İİBF Dergisi, 19(2), 151-171.
  • Kunt, A.S. & O. Taş (2008), “Kredi Temerrüt Swapları ve Türkiye’nin CDS Priminin Tahmin Edilmesine Yönelik Bir Uygulama”, Itüdergisi/b Sosyal Bilimler, 5(1), 78-89.
  • Law, S.H. et al. (2013), “Institutions and Economic Development: A Granger Causality Analysis of Panel Data Evidence”, Economic Systems, 37(4), 610-624.
  • Lee, H.H. & J.S. Hyun (2019), “The Asymmetric Effect of Equity Volatility on Credit Default Swap Spreads”, Journal of Banking and Finance, 98, 125-136.
  • Li, C. & S. Tanna (2019), “The Impact of Foreign Direct Investment on Productivity: New Evidence for Developing Countries”, Economic Modelling, 80, 453-466.
  • Li, Y. et al. (2018), “Time-Varying Nonlinear Causality Detection Using Regularized Orthogonal Least Squares and Multi-wavelets with Applications to EEG”, IEEE Access, 6, 17826-17840.
  • Meyer, D.F. & T. Habanabakize (2018), “An Analysis of the Relationship Between Foreign Direct Investment (FDI), Political Risk and Economic Growth in South Africa”, Business and Economic Horizons, 14(4), 777-788.
  • Mshelia, J.B. & J.R. Anchor (2019), “Political Risk Assessment by Multinational Corporations in African Markets: A Nigerian Perspective”, Thunderbird International Business Review, 61(2), 133-142.
  • Norden, L. & M. Weber (2009), “The Co-movement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis”, European Financial Management, 15(3), 529-562.
  • Oral, İ.O. & C. Yılmaz (2017), “Finansal ve Politik Risk Endeksinin Bist Sınai Endeksi Üzerindeki Etkisi”, Karadeniz, 33, 192-202.
  • Özpınar, Ö. et al. (2018), “Kredi Temerrüt Takası (CDS) ve Kur-Faiz İlişkisi: Türkiye Örneği”, Bankacılık ve Sermaye Piyasası Araştırmaları Dergisi-BSPAD, 2(4), 31-45.
  • Pulok, M.H. & M.U. Ahmed (2017), “Does Corruption Matter for Economic Development? Long Run Evidence from Bangladesh”, International Journal of Socıal Economics, 44(3), 350-361.
  • Ranciere, R.G. (2002), “Credit Derivatives in Emerging Markets”, IMF Policy Discussion Paper, 1-24.
  • Randrianarisoa, L.M. et al. (2015), “Effects of Corruption on Efficiency of the European Airports”, Transportation Research Part A-Policy And Practice, 79, 65-83.
  • Rashid, A. et al. (2017), “Exploring the Relationship Between Macroeconomic Indicators and Sovereign Credit Default Swap in Pakistan”, The Journal of Risk Finance, 18(4), 368-380.
  • Şahin, E.E. & O. Özkan (2018), “Kredi Temerrüt Takası, Döviz Kuru ve Bist100 Endeks İlişkisi”, Hitit Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 3, 1939-1945.
  • Şahin, Ö. (2018), “Cari Açık Değerleri CDS Puanları Üzerinde Etkili midir? Türkiye İçin Bir Perspektif”, Muhasebe ve Finansman Dergisi, Ekim, 189-204.
  • Sand, H.J.H. (2012), “The Impact of Macro-economic Variables on the Sovereign CDS Spreads of the Eurozone Countries: Examining the Determinants of Credit Default Swaps”, Master Thesis, University of Groningen Faculty of Economics and Business.
  • Şanlısoy, S. & R. Kök (2010), “Politik İstikrarsızlık - Ekonomik Büyüme İlişkisi: Türkiye Örneği (1987-2006)”, Dokuz Eylül Üniversitesi İİBF Dergisi, 25(1), 101-125.
  • Sekkat, K. & M.A. Veganzones-Varoudakis (2007), “Openness, Investment Climate, and FDI in Developing Countries”, Review of Development Economics, 11(4), 607-620.
  • Shahzad, S.J.H. et al. (2017), “The Determinants of Credit Risk: Analysis of US Industry-level Indices”, Global Business Review, 19(5), 1-14.
  • Sovbetov, Y. & H. Saka (2018), “Does It Take Two to Tango: Interaction Between Credit Default Swaps and National Stock Indices”, Journal of Economics and Financial Analysis, 2(1), 129-149.
  • Suleman, T. & M. Berka (2017), Political Risk, Exchange Rate Return and Volatility, <https://www.nzfc.ac.nz/archives/2018/papers/updated/159.pdf>, 15.08.2020.
  • Süsay, A. & A.E. Ünal (2020), “Seçilmiş Güven Endeksleri, VIX ve CDS Primlerinin Büyümeye Etkisi: Türkiye Örneği”, Ufuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 9(18), 83-97.
  • Tamakoshi, G. & S. Hamori (2018), Credit Default Swap Markets in the Global Economy, Routledge, 1-69.
  • Tang, C.F. (2008), “Wagner’s Law Versus Keynesian Hypothesis: New evidence From Recursive Regression Based Causality Approaches”, ICFAI Journal of Public Finance, 6(4), 29-38.
  • Tanzi, V. (1998), “Corruption Around the World: Causes, Consequences, Scope, and Cures”, IMF Working Paper.
  • The PRS Group (2020), Country Data Online, <https://www.prsgroup.com/explore-our-products/countrydata-online/>, 05.01.2020.
  • Toda, H. & T. Yamamoto (1995), “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes”, J. Econom., 66(1), 225-250.
  • Topal, M.H. & Ö.S. Gül (2016), “Ekonomik Risk ile Doğrudan Yabanci Sermaye Yatırımları Arasindaki İli̇şki̇: Türki̇ye Örneği̇”, Gümüşhane Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 7(15), 229-247.
  • Tükenmez, N.M. & N. Kutay (2016), “Ülke Riskinin Hisse Senetleri Getirileri Üzerine Etkisi: Türkiye ve Arjantin Piyasaları İçin Bir Karşılaştırma”, Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 20(2), 631-645.
  • Tuncay, M. (2018), “Do Political Risks Matter in the Financial Markets?: Evidence From Turkey”, Eurasıan Busıness Review, 8(2), 209-227.
  • Üçler, G. & D. Uysal (2017), “Türk Bankacılık Sektörünün Finansal Performansı ve Makroekonomik Performans Arasındaki Asimetrik İlişki”, Journal of Economics, Finance and Accounting, 2, 87-97.
  • Üçler, G. (2017), “Doğrudan Yabancı Yatırımlar için Kurumların Önemi: Gelişmekte Olan Ülkeler Üzerine Ekonometrik Bir Analiz”, Finans Politik & Ekonomik Yorumlar, 54(627), 73-85.
  • Ulusoy, T. & S. Kendirli (2019), “Türkiye’de Gerçekleşen Terör Saldırılarının Olay Analizi: VIX Korku Endeksi, BIST 100 ve Kredi Temerrüt Swapları Üzerine Etkileri”, İnsan ve Toplum Bilimleri Araştırmaları Dergisi, 8(2), 1125-1144.
  • Yapraklı, S. & B. Güngör (2007), “Ülke Riskinin Hisse Senedi Fiyatlarına Etkisi: IMKB100 Endeksi Üzerine Bir Araştırma”, Ankara Üniversitesi SBF Dergisi, 62(2), 199-201.
  • Yılancı, V. & Ş. Bozoklu (2014), “Türk Sermaye Piyasasında Fiyat ve İşlem Hacmi İlişkisi: Zamanla Değişen Asimetrik Nedensellik Analizi”, Ege Akademik Bakış, 14(2), 211-220.
  • Yılmaz, A. & A. Ünlü (2018), “Effect of Some Macroeconomic Variables on Risk Perception: The Turkish Case”, Hacettepe University Journal of Economics and Administrative Sciences, 36(4), 117-147.
  • Yılmaz, C. & C. Meydan (2019), “Finansal ve Politik Risk ile Borsa İstanbul (BIST) Yabancı Yatırımcı İşlem Hacmi Arasındaki İlişki”, Finans Politik & Ekonomik Yorumlar, 647, 125-144.
  • Zeren, F. & M. Koç (2016), “Time Varying Causality Between Stock Market and Exchange Rate: Evidence from Turkey, Japan and England”, Econ. Res. Ekonomska Istraživanja, 29(1), 696-705.
There are 103 citations in total.

Details

Primary Language English
Subjects Economics
Journal Section Articles
Authors

Esra Soyu 0000-0003-1614-0967

Munise Ilıkkan Özgür 0000-0002-8711-3264

Publication Date October 26, 2023
Submission Date September 15, 2022
Published in Issue Year 2023 Volume: 31 Issue: 58

Cite

APA Soyu, E., & Ilıkkan Özgür, M. (2023). An Empirical Analysis of the Relationship Between Türkiye’s CDS Premium and Economic, Financial and Political Risk. Sosyoekonomi, 31(58), 81-104. https://doi.org/10.17233/sosyoekonomi.2023.04.04
AMA Soyu E, Ilıkkan Özgür M. An Empirical Analysis of the Relationship Between Türkiye’s CDS Premium and Economic, Financial and Political Risk. Sosyoekonomi. October 2023;31(58):81-104. doi:10.17233/sosyoekonomi.2023.04.04
Chicago Soyu, Esra, and Munise Ilıkkan Özgür. “An Empirical Analysis of the Relationship Between Türkiye’s CDS Premium and Economic, Financial and Political Risk”. Sosyoekonomi 31, no. 58 (October 2023): 81-104. https://doi.org/10.17233/sosyoekonomi.2023.04.04.
EndNote Soyu E, Ilıkkan Özgür M (October 1, 2023) An Empirical Analysis of the Relationship Between Türkiye’s CDS Premium and Economic, Financial and Political Risk. Sosyoekonomi 31 58 81–104.
IEEE E. Soyu and M. Ilıkkan Özgür, “An Empirical Analysis of the Relationship Between Türkiye’s CDS Premium and Economic, Financial and Political Risk”, Sosyoekonomi, vol. 31, no. 58, pp. 81–104, 2023, doi: 10.17233/sosyoekonomi.2023.04.04.
ISNAD Soyu, Esra - Ilıkkan Özgür, Munise. “An Empirical Analysis of the Relationship Between Türkiye’s CDS Premium and Economic, Financial and Political Risk”. Sosyoekonomi 31/58 (October 2023), 81-104. https://doi.org/10.17233/sosyoekonomi.2023.04.04.
JAMA Soyu E, Ilıkkan Özgür M. An Empirical Analysis of the Relationship Between Türkiye’s CDS Premium and Economic, Financial and Political Risk. Sosyoekonomi. 2023;31:81–104.
MLA Soyu, Esra and Munise Ilıkkan Özgür. “An Empirical Analysis of the Relationship Between Türkiye’s CDS Premium and Economic, Financial and Political Risk”. Sosyoekonomi, vol. 31, no. 58, 2023, pp. 81-104, doi:10.17233/sosyoekonomi.2023.04.04.
Vancouver Soyu E, Ilıkkan Özgür M. An Empirical Analysis of the Relationship Between Türkiye’s CDS Premium and Economic, Financial and Political Risk. Sosyoekonomi. 2023;31(58):81-104.
 Download Cover Image