ECONOMETRIC ANALYSIS OF STRUCTURAL BREAKS IN TURKEY'S CREDIT DEFAULT SWAP (CDS)

Year 2018, Prof. Dr. Harun TERZI Special Issue, 181 - 192, 19.09.2018

Mehmet Dinç , Ümit Yıldız Mustafa Kırca

https://doi.org/10.18092/ulikidince.435156

Cited By: 4

Abstract

Credit default swap (CDS) is defined as a credit
derivative instrument that protects the creditor against a non-repayment risk
of a financial loan. CDS provides important information to investors about the
credibility of countries, as well as being a risk indicator closely followed by
market participants as it shows the credit risk concurrently. The purpose of this study
is to determine the structural breaks in the CDS for Turkey and the economic
and political reasons behind them. For this purpose, unit root test with multiple
structural breaks is used to determine the structural break dates, using
monthly-CDS data from January 2012 to December 2016 that based on 5-year CDS
base points.  According to the test results, significant structural breaks are found
at the credit risk premium for Turkey in April 2013, September 2014, June 2015
and finally in February 2016. It seems that the economic and political events
that took place on these dates were influential in the structural breaks on the
CDS.

Keywords

Credit Default Swap, Structural Break, Unit Root Test, Economic Uncertainties, Political Uncertainties

TÜRKİYE KREDİ RİSK PRİMİNDEKİ (CDS) YAPISAL KIRILMALARIN EKONOMETRİK ANALİZİ

Abstract

Kredi risk primi (CDS)
finansal bir kredinin geri ödenmeme riskine karşı, belirli bir tutar
karşılığında alacaklı tarafı koruma altına alan kredi türev enstrümanı şeklinde
tanımlanmaktadır. CDS’ler kredi riskini eş anlı olarak göstermesi bakımından
piyasa katılımcıları tarafından yakından takip edilen bir risk göstergesi
olmakla birlikte, yatırımcılara da ülkelerin kredibilitesi hakkında önemli
bilgiler sunar. Türkiye için hesaplanan CDS’lerde meydana gelen yapısal
kırılmaların ve bu kırılmaların arkasında yatan ekonomik ve siyasi nedenlerin
belirlenmesi bu çalışmanın amacını oluşturmaktadır. Bu amaca yönelik olarak
çalışmada, Ocak 2012 ile Aralık 2016 tarihlerini kapsayan ve 5 yıllık CDS baz
puanına göre belirlen aylık CDS verilerinde yaşanan kırılmalar, çok kırılmalı
birim kök testi yardımıyla belirlenmiştir. Testin sonuçlarına göre Türkiye’ye
ait kredi risk priminde Nisan 2013, Eylül 2014, Haziran 2015 ve son olarak
Şubat 2016’da anlamlı yapısal kırılmaların olduğu tespit edilmiştir. Bu
tarihlerde yaşanan ekonomik ve siyasal olayların CDS üzerinde meydana gelen
kırılmalarda etkili olduğu görülmektedir.

Keywords

Kredi Risk Primi, Yapısal Kırılma, Birim Kök Testi, Ekonomik Belirsizlikler, Politik Belirsizlikler

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