VOLATILITY TRANSMISSION OF CREDIT DEFAULT SWAP (CDS) RISK PREMIUMS

Yıl 2015, Sayı: 45, 24 - 33, 04.08.2015

Mert Ural , Erhan Demireli

Öz

The importance of the volatility transmission across the international financial markets has become a current issue
by the effects of global crisis in 2008. The purpose of this study is to assign the effect of the global crisis among the Credit
Default Swap (CDS) risk premium volatilities in Brazil, Russia, China, South Africa and Turkey, and which country is more
effective than the others in the volatility transmission. We analyze these countries’ daily CDS returns for the period January 27th
,
2003 – November 4th
, 2014 by using a MGARCH model. The empirical results show that the CDS returns’ volatility has
increased during the global crisis period, the source of degree of innovation is China CDS risk premium and the source of
volatility transmission is Brazil and Turkey CDS risk premiums.

Anahtar Kelimeler

Credit Default Swap (CDS), Volatility Transmission, MGARCH

KREDİ TEMERRÜT TAKASI (CDS) RİSK PRİMLERİNDE OYNAKLIK GEÇİŞİ

Öz

 Küresel krizin ardından uluslararası finansal piyasalar arasında oynaklık geçişi giderek önem kazanmıştır. Bu çalışmanın
amacı, küresel krizin Brezilya, Rusya, Çin, Güney Afrika ve Türkiye’de Kredi Temerrüt Takası (CDS) risk primi oynaklık düzeyi
üzerine etkisini ve ülkeler arası oynaklık geçişlerini belirlemektir. Söz konusu ülkelere ait 27 Ocak 2003 – 4 Kasım 2014 dönemi
günlük CDS getirilerinin MGARCH yöntemiyle analiz edilmiştir. Elde edilen ampirik sonuçlara göre; küresel kriz döneminde
oynaklıkların arttığı ve haber etkisinin kaynağı Çin iken oynaklık geçişinin kaynağı Brezilya ve Türkiye olarak saptanmıştır.

Anahtar Kelimeler

Kredi Temerrüt Takası (CDS), Oynaklık Geçişi, MGARCH

Kaynakça

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