LONG TERM RELATIONSHIP BETWEEN CDS AND CURRENCY EXCHANGE RATES: THE TURKISH CASE

Year 2019, Volume: 22 Issue: 41, 219 - 236, 15.06.2019

Sezer Bozkuş Kahyaoğlu

https://doi.org/10.31795/baunsobed.580572

Cited By: 1

Abstract

The main
objective of this study is to analyze the long-term relationship between
exchange rate and credit default swaps (CDS) based on high frequency time
series as representative of Turkey's risk premium. In general, the long-term
relationship describes a long period of time in the literature. However,
although the time periods used in the testing of financial and economic
hypotheses have taken a long period of time, the use of new techniques is
needed due to the high frequencies. In the analysis of long-term relationships
with high-frequency time series, the transition and the continuity of the
shocks should be considered together. Therefore, in this study, partial
integration method considering these two features was used as an analysis tool.
The most important feature of the analysis is that it gives information about
the long term relationship based on these properties. This information is a
random process based on the tendency to revert to the mean in the period
covered and is the result of the applied test. Hence,
the relationship between variables, namely exchange rates and Turkey's CDS, are
analyzed by using non-linear causality tests. Thus, it is also analyzed whether
the effects such as jump and break on these variables change over time. Policy
recommendations are made for Turkey based on the empirical findings to
contribute to the relevant literature.

Keywords

Risk Premium, Credit Default Swaps (CDS), Nonlinear Granger Causality Test, High Frequency Time Series

CDS İLE DÖVİZ KURLARI ARASINDAKİ UZUN DÖNEMLİ İLİŞKİ: TÜRKİYE ÖRNEĞİ

Abstract

Bu çalışmanın temel amacı, Türkiye'nin risk primlerini temsil eden "kredi temerrüt takası" (CDS- credit default swap) ve döviz kurları arasındaki uzun  dönemli ilişkinin analizini yüksek frekanslı zaman  verilerine dayalı olarak analiz etmektir.  Genel  olarak  uzun dönemli ilişki literatürde uzun  bir zaman  dönemini tanımlamaktadır. Oysa günümüzde finansal ve iktisadi hipotezlerin testinde kullanılan zaman dönemleri uzun  bir dönemi almış olsalar bile, frekansların yüksek  olmasından dolayı,  yeni tekniklerin kullanımına ihtiyaç duyulmaktadır. Uzun dönemli ilişkilerin yüksek frekanslı zaman serileri ile analizinde şokların geçişgenliği ile  sürekliliği birlikte  dikkate alınmalıdır. Bundan dolayı bu  çalışmada  bu iki özelliği dikkate alan  kısmi  tümleşme yöntemi analiz aracı  olarak kullanılmıştır. Analizin en önemli özelliği  belirtilen özelliğe dayalı  uzun dönemli  ilişki hakkında bilgi  vermesidir. Bu bilgi  ele  alınan  dönemde ortalamaya  dönme eğilimine göre bir rastsal süreç olup uygulanan testin bir sonucu olmaktadır. Bu çalışmada kullanılan  yaklaşım ile  Türkiye’nin   CDS ile  döviz kurları arasındaki uzun  dönemli ilişki  yüksek frekanslı  zaman serileriyle analizi yapılmıştır.  Elde edilen ampirik bulgulara dayalı olarak Türkiye için politika önerileri sunulmuştur.

Keywords

Risk Primi, Kredi Temerrüt Takası (CDS), Doğrusal Olmayan Granger Nedensellik Testi, Yüksek Frekanslı Zaman Serisi

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