EFFECT OF SOME MACROECONOMIC VARIABLES ON RISK PERCEPTION: THE TURKISH CASE

Year 2018, Volume: 36 Issue: 4, 117 - 147, 30.12.2018

Alper Yılmaz , Ahmet Ünlü

https://doi.org/10.17065/huniibf.320139

Cited By: 6

Abstract

Recently Turkish economy is classified
‘fragile five’ with Brazil, India, Indonesia and South Africa because of some structural
deficiencies and imbalances in its macroeconomic variables. Turkey’s fragility
can be observed or measured from some economic indicators and one of them is Credit
Default Swap (CDS) spread. It represents default probability of Turkish economy
and it’s affected by many macroeconomic indicators. This study examines the
determinants of CDS spread by using time series analysis for the period of
2011-2017 monthly data. On that note the relationships between the variables
were tested with Johansen cointegration test to determine relationship in the long
run . After determining long term relationship between the variables, the VECM
(Vector Error Correction) model in cointegration framework was estimated in
order to determine short term relationship. Lastly Granger test under VECM was
applied in order to establish the uni or bi-directional causality between
variables. In this frame we conclude that there is granger causality which
directed from Current Account to Foreign Exchange and Foreign Exchange to CDS
spread like a knock on effect. Also according to cointegration coefficient
there is positive relationship between Foreign Exchange and CDS spread but we
couldn’t support statistically significant relationship between Current Account
and CDS spread.

Keywords

Credit Default Swap, Current Account Deficit, Exchange Rate, VAR analysis, Cointegration

EFFECT OF SOME MACROECONOMIC VARIABLES ON RISK PERCEPTION: THE TURKISH CASE

Abstract

Türkiye ekonomisi bazı
yapısal yetersizlikler ve makroekonomik değişkenlerindeki bazı dengesizlikler
nedeniyle yükselen piyasa ekonomileri içinde Brezilya, Endonezya, G. Afrika ve
Hindistan ile birlikte kırılgan beşli olarak da adlandırılan ekonomilerden biri
olarak gösterilmektedir. Söz konusu kırılganlığı birtakım ekonomik değişkenler
üzerinden gözlemleyebilmek yada ölçebilmek mümkündür. Bu değişkenlerden birisi
olan Kredi Temerrüt Takası (CDS) Türkiye’nin borçlarını ödeyememe ihtimalini
yansıtmakta ve diğer makro değişkenlerden etkilenmektedir. Bu çalışma 2011-2017
dönemi aylık verilerini zaman serisi analiz yöntemleriyle kullanarak CDS
üzerindeki belirleyiciliğini inceleyecektir. Bu bağlamda değişkeneler
arasındaki uzun dönemli ilişkiler Johansen eş bütünleşme testi ile
araştırılmıştır. Değişkenler arasında uzun dönemli ilişki belirlendikten sonra
eşbütünleşme çerçevesinde VECM modeli ile kısa dönemli dinamikler
incelenmiştir. Son olarak değişkenler arasında tek yada çift yönlü nedensellik
ilişkisi olup olmadığı VECM nedensellik testi ile araştırılmıştır. Bu çerçevede
tıpkı bir zincirin halkaları gibi cari açık değişkeninden kur değişkenine ve
kur değişkeninde CDS değişkenine Granger nedensellik ilişkisi tespit
edilmiştir. Ayrıca eşbütünleşme katsayıları, döviz kuru değişkeni ile CDS
değişkeni arasında pozitif ilişkiye işaret ederken, cari açık değişkeni ile CDS
değişkeni arasında istatistiksel olarak anlamlı bir ilişki tespit
edilememiştir. 

Keywords

Kredi Temerrüt Takası, Cari Açık, Döviz Kuru, Analizi, VAR Analizi, Eşbütünleşme

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