TÜRKİYE'DE ÖZEL SEKTÖR KISA VADELİ DIŞ BORCUNUN CDS PRİMLERİ ÜZERİNDEKİ ETKİSİ NEDİR? ASİMETRİK UYARLAMA YAKLAŞIMI KULLANILARAK YAPILAN BİR ANALİZ

Yıl 2020, Cilt: 15 Sayı: 1, 113 - 132, 30.04.2020

Esra N. Kılcı , Burcu Kıran

https://doi.org/10.17550/akademikincelemeler.632078

Öz

Ülke ekonomisinin olumsuz şoklara karşı mali gücüne işaret eden kısa vadeli dış borcunu ödeme gücü, karar alım süreçlerinde uluslararası yatırımcılar tarafından önemli ölçüde dikkate alınmaktadır. Türkiye’nin, özellikle son yirmi yıllık dönemde, özel sektör kısa vadeli dış borcunun kademeli bir şekilde arttığı görülmektedir. Bu çalışmanın amacı, 2000:Ç4-2017:Ç4 dönemi verilerinden yararlanılarak, özel sektör kısa vadeli dış borcu ile CDS (kredi temerrüt takası) primleri arasındaki uzun dönemli ilişkinin Enders ve Siklos (2001) tarafından geliştirilen TAR ve M-TAR yaklaşımları kullanılarak analiz edilmesidir. Analiz sonuçları, değişkenler arasında kointegrasyonun varlığına; dolayısıyla, CDS primleri ve özel sektör kısa vadeli dış borcu arasında uzun dönemli bir ilişkinin varlığına işaret etmektedir. Kointegrasyonun tespit edilmesini takiben, simetriklik-asimetriklik test edilmiş ve değişkenler arasında ilişkide simetrikliğin varlığına rastlanılmıştır. Bu sonuç, özel sektör kısa vadeli dış borcu ve CDS primleri arasındaki ilişkinin, genişleme ve daralma dönemlerinde aynı etkiye sahip olduğunu göstermektedir.

Anahtar Kelimeler

kısa vadeli dış borç, cds primleri

DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH

Öz

A country’s capacity to pay short-term external debt, which reflects the fiscal strenght of an economy against adverse shocks, is significantly taken into consideration by international investors in their decision making process. It has been seen that Turkey has experienced a gradually increasing private sector short-term external debt especially in the last twenty-year period. The objective of this study is to investigate the long-run relationship between private sector short-term external debt and CDS (credit default swap) premiums in Turkey for the period of 2000:Q4-2017:Q4 by using asymmetric threshold autoregressive (TAR) and momentum threshold autoregressive (M-TAR) procedures of Enders and Siklos (2001). The results indicate that CDS premiums and private sector short-term external debt in Turkey are cointegrated. After finding cointegration, the null hypothesis of symmetric adjustment is tested against the alternative of asymmetric adjustment and the evidence of symmetric adjustment is found, suggesting that the relationship between the private sector short-term external debt and CDS premiums has the same effect in expansion and contraction periods.

Anahtar Kelimeler

short-term external debt, cds premiums, asymmetric threshold cointegration

Kaynakça

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