CDS Risk Primleri ile Dış Borçlanma İlişkisi: Simetrik ve Asimetrik Nedensellik Analizi

Year 2021, Issue: 31, 215 - 228, 30.04.2021

Ömer Akkuş

https://doi.org/10.18092/ulikidince.928425

Cited By: 3

Abstract

Bu çalışma Türkiye’nin kamu ve özel sektör dış borcu ile kredi temerrüt swapları (CDS) arasındaki ilişkiyi 2000Q4-2019Q1 dönemi verilerinden yaralanarak incelemektedir. Kamu ve özel sektör dış borcu ile CDS arasındaki simetrik nedensellik ilişkisi Hacker ve Hatemi-J (2006) nedensellik testi ile incelenirken değişkenlerin pozitif ve negatif bileşenleri arasındaki ilişki Hatemi-J (2012) asimetrik nedensellik testi aracılığıyla incelenmektedir. Çalışmanın ampirik bulguları kamu dış borçlanması ile CDS primleri arasında çift yönlü bir nedensellik ilişkisinin varlığını ortaya koyarken özel sektör dış borcu ile CDS primleri arasında herhangi bir nedensellik ilişkinin bulunmadığı tespit edilmiştir. Kamu dış borcundaki pozitif bir şokun CDS primlerindeki pozitif ve negatif şokların bir nedeni olduğu ancak kamu dış borcundaki negatif bir şokun CDS primi bileşenlerinin bir nedeni olmadığı belirlenmiştir. Özel sektör dış borcundaki pozitif ve negatif şokların CDS risk primindeki pozitif şokların bir nedeni olduğu belirlenirken CDS risk primlerindeki pozitif şokun da özel sektör dış borcundaki negatif şokun bir nedeni olduğu sonucuna ulaşılmaktadır.

Keywords

CDS, Dış Borç, Asimetrik Nedensellik

The Relationship between CDS Risk Premium and External Debt: Symmetric and Asymmetric Causality Analysis

Abstract

This study examines relationship between Turkey's public and private sector external debt and credit default swaps (CDS) for the period 2000Q4-2019Q1. The symmetric causality relationship between public and private sector external debt and CDS is analyzed by the Hacker and Hatemi-J (2006) causality test. The relationship between the positive and negative components of the variables is examined through the Hatemi-J (2012) asymmetric causality test. While the empirical findings of the study reveal the existence of a bidirectional causality relationship between public external debt and CDS risk premium, there was no causal relationship between private sector external debt and CDS risk premium. It has been determined that a positive shock in public external debt is a cause of positive and negative shocks in CDS premiums, but a negative shock in public external debt is not a cause of CDS premium components. While it is determined that positive and negative shocks in private sector external debt are a cause of positive shocks in CDS risk premium, it is concluded that positive shock in CDS risk premiums is a cause of negative shock in private sector external debt.

Keywords

CDS, External Debt, Asymmetric Causality

References

• Aizenman, J. Jinjarak, Y. ve Park, D. (2016). Fundamentals and Sovereign Risk of Emerging Markets. Pacific Economic Review, 21(2), 151–177. doi:10.1111/1468-0106.12160
• Akçelik, F. ve Fendoğlu, S. (2019). Country Risk Premium and Domestic Macroeconomic Fundamentals When Global Risk Appetite Slides. CBRT Research Notes in Economics, No.19/04, 1-11.
• Akkaya, M. (2017). Türk Tahvillerinin CDS Primlerini Etkileyen İçsel Faktörlerin Analizi. Maliye Finans Yazıları, 1(107), 129-146. doi:10.33203/mfy.307177
• Badaoui, S., Cathcart, L. ve El-Jahel, L. (2013). Do Sovereign Credit Default Swaps Represent A Clean Measure of Sovereign Default Risk? A Factor Model Approach. Journal of Banking and Finance, 37(7), 2392-2407. doi:10.1016/j.jbankfin.2013.01.038
• Bellas, D., Papaioannou, M. ve Petrova, I. (2010). Determinants of Emerging Market Sovereign Bond Spreads: Fundamentals vs Financial Stress. IMF Working Paper, WP/10/281, 1-23.
• Blanco, R., Brennan, S. ve Marsh, I. (2005). An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps. The Journal of Finance, 60(5), 2255-2281. doi:10.1111/j.1540-6261.2005.00798.x
• Bulow, J. ve Rogoff, R. (1989). Sovereign Debt: Is to Forgive to Forget? The American Economic Review, 79(1), 43-50.
• Calice, G., Chen, J. ve Williams, J. (2013). Liquidity Spillovers in Sovereign Bond and CDS Markets: An Analysis of the Eurozone Sovereign Debt Crisis. Journal of Economic Behavior and Organization, 85(January), 122– 143. doi:10.1016/j.jebo.2011.10.013
• Chen, Y., Saffar, W., Shan, C. ve Wang, S. (2018). Credit Default Swaps and Corporate Debt Structure. 1-48. doi:10.2139/ssrn.3170485
• Eichengreen, B. ve Mody, A. (1998). What Explains Changing Spreads on EM Debt: Fundamentals or Market Sentiment? NBER Working Paper, No.6408, 1-45.
• Eyssell, T., Fung, H. ve Zhang, G. (2013). Determinants and Price Discovery of China Sovereign Credit Default Swaps. China Economic Review, 24(March), 1-15. doi:10.1016/j.chieco.2012.09.003
• Fontana, A. ve Scheicher, M. (2010). An Analysis of Euro Area Sovereign Cds and Their Relation with Government Bonds. European Central Bank, Working Paper Series No.1271, 1-49.
• Granger, C. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438. doi:10.2307/1912791
• Granger, C. ve Yoon, G. (2002). Hidden Cointegration. University of California Economics Working Paper No. 2002-02, 1-49. doi:10.2139/ssrn.313831
• Hassan, M. (2013). Determinants of credit default swaps spreads in European and Asian markets. Journal of Derivatives and Hedge Funds, 19(4), 295–310. doi:10.1057/jdhf.2014.1
• Hacker, R. ve Hatemi-J, A. (2006). Tests for Causality between Integrated Variables Using Asymptotic and Bootstrap Distributions: Theory and Application. Applied Economics, 38(13), 1489-1500. doi:10.1080/00036840500405763
• Hatemi-J, A. (2012). Asymmetric Causality Tests with An Application. Empirical Economics, 43(1), 447-456.
• Hernandez-Trillo, F. (1995). A Model-Based Estimation of the Probability of Default In Sovereign Credit Markets. Journal of Development Economics, 46(1), 163-179. doi:10.1016/0304-3878(94)00053-F
• Ho, S. (2016). Long and Short-Runs Determinants of the Sovereign CDS Spread in Emerging Countries. Research in International Business and Finance, 36(January), 579-590. doi:10.1016/j.ribaf.2015.07.001
• Ismailescu, I. ve Phillips, B. (2015). Credit Default Swaps and the Market for Sovereign Debt. Journal of Banking and Finance, 52(March), 43-61. doi:10.1016/j.jbankfin.2014.10.015
• Kapadia, N. ve Pu, X. (2012). Limited Arbitrage between Equity and Credit Markets. Journal of Financial Economics, 105(3), 542-564. doi:10.1016/j.jfineco.2011.10.014
• Kamin, S. ve Kleist, K. (1999). The Evolution and Determinants of EM Credit Spreads in the 1990s. International Finance Discussion Paper, No. 653, 1-46.
• Kılcı, E. (2019). Dış Borçların Ülke CDS Primleri Üzerindeki Etkisinin İncelenmesi: Türkiye Örneği. Sayıştay Dergisi, 112, 75-92.
• Kocsis, Z. ve Monostori, Z. (2016). The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences. Emerging Markets Review, 27(June), 140-168. doi:10.1016/j.ememar.2016.05.003
• Longstaff, F., Mithal, S. ve Neis, E. (2005). Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market. The Journal of Finance, 60(5), 2213-2253. doi:10.1111/j.1540-6261.2005.00797.x
• Mellios, C. ve Paget-Blanc, E. (2006). Which Factors Determine Sovereign Credit Ratings?. The European Journal of Finance, 12(4), 361-377. doi:10.1080/13518470500377406
• Min, H. (1998). Determinants of Emerging Market Bons Spread: Do Economic Fundamentals Matter? Policy Research Working Paper , No. 1899, 1-31. doi:10.1596/1813-9450-1899
• Panetta, F., Faeh, T., Grande, G., Ho, C., King, M., Levy, A. ve Zaghini, A. (2009). An Assessment of Financial Sector Rescue Programmes. Bank for International Settlements, BIS Paper No.48, 1-77.
• Qian, Z., Wang, W. ve Ji, K. (2017). Sovereign Credit Risk, Macroeconomic Dynamics, And Financial Contagion: Evıdence From Japan. Macroeconomic Dynamics, 21(8), 2096-2120. doi:10.1017/S1365100516000122
• Toda, H. ve Yamamoto, T. (1995). Statistical Inference in Vector Autoregressions with Possibly Integrated Processes. Journal of Econometrics, 66(1-2), 225-250. doi:10.1016/0304-4076(94)01616-8
• Tolikas, K. ve Topaloglou, N. (2017). Is Default Risk Priced Equally Fast in the Credit Default Swap and the Stock Markets? An Empirical Investigation. Journal of International Financial Markets, Institutions and Money, 51(November), 39-57. doi:10.1016/j.intfin.2017.09.029
• Wang, A., Yang, S. ve Yang, N. (2013). Information Transmission between Sovereign Debt CDS and other Financial Factors – The Case of Latin America. The North American Journal of Economics and Finance, 26(December), 586-601. doi:10.1016/j.najef.2013.02.02
• Yılmaz, A. ve Ünlü, A. (2018). Effect of Some Macroeconomic Variables on Risk Perception: The Turkish Case. Hacettepe University Journal of Economics and Administrative Sciences, 36(4), 117-147. doi:10.17065/huniibf.320139