The Relationship Between Credit Default Swap (Cds), Central Government External Debt Stock, and the Current Account Deficit in Türkiye

Yıl 2023, Cilt: 12 Sayı: 5, 2625 - 2649, 31.12.2023

Emrah Noyan , Aylin İdikut Özpençe

https://doi.org/10.15869/itobiad.1307972

Öz

Debt ratios are often a static indicator of the borrowing situation in an economy. Since the debt burden, interest burden, or ratio to the national income of an economy shows the current situation, it does not provide health information for the future. Dynamic indicators are needed to understand potential debt relationships in the future. CDS spreads, which are based on a swap transaction and gained importance after the global crisis, have recently been used as a dynamic debt ratio. There are basically two reasons for this situation. The first reason is that static analyses are considered insufficient by market participants. The other reason is that CDS spreads clearly reveal the risk cost for the lender. The reason for the current account deficit and external borrowing can be sometimes the increased need for foreign exchange in a country. When considering foreign exchange and interest rate swaps within this framework, the relationship between the current account deficit and CDS spreads becomes more pronounced. This is because, among the reasons for foreign exchange inflows and outflows, there are factors such as foreign trade transactions, external borrowing, and swap transactions. The study analyzed the variables of central government external debt stock, current account deficit, and CDS spreads using wavelet coherence analysis in the R Studio program for the period of 2008:1-2023:3. The main reason for choosing this analysis method is that it obtains findings for the entire time period included in the analysis and increases the data set to very high dimensions with simulation. This characteristic of the analysis enhances the validity level of the findings. The study found no relationship between the central government external debt stock and CDS spreads in Türkiye, except for the two years following the 2008 global financial crisis. Additionally, a positive relationship was identified between the current account deficit and CDS spreads. These findings indicate that in Türkiye, the current account deficit has a greater impact on CDS spreads compared to the components of CDS spreads.

Anahtar Kelimeler

Swap Contracts, Credit Default Swap (CDS), Central Government External Debt Stock, Current Account Deficit, Wavelet Coherence Analysis

Türkiye’de Kredi Temerrüt Takası (CDS), Merkezi Yönetim Dış Borç Miktarı ve Cari Açık Arasındaki İlişki

Öz

Borç rasyoları genellikle bir ekonomideki borçlanmaya ilişkin durumun statik bir göstergesidir. Bir ekonominin içinde bulunduğu borç yükü, faiz yükü ya da bunların milli gelire oranı o anki durumu gösterdiği için geleceğe yönelik sağlıklı bir bilgi sunmaz. Gelecekte meydana gelebilecek bir borç ilişkisi için dinamik göstergelere ihtiyaç vardır. Temeli bir takas işlemi olan ve küresel kriz sonrası önem kazanan kredi temerrüt takası primleri son yıllarda dinamik bir borç rasyosu olarak kullanılmaya başlanmıştır. Bu durumun temelde iki sebebi bulunmaktadır. Bunlardan ilki statik analizlerin piyasadaki aktörler tarafından yetersiz bulunmasıdır. Diğeri ise CDS priminin borç veren taraf açısından risk maliyetini net bir şekilde ortaya koymasıdır. Cari açık ve dış borçlanmanın nedeni bazen ülkenin döviz ihtiyacının artmasından kaynaklanabilir. Döviz ve faiz swapları da bu çerçevede ele alındığında cari açık ve CDS primi ilişkisi daha belirgin hale gelmektedir. Çünkü döviz giriş çıkışlarının sebepleri arasında dış ticaret işlemleri ya da dış borçlanma gibi etmenlerin yanı sıra swap işlemleri de yer almaktadır. Çalışmada 2008:1-2023:3 dönemine ilişkin merkezi yönetim dış borç stoku, cari açık ve CDS primi değişkenleri R studio programında wavelet uyum analizi ile analiz edilmiştir. Bu analiz yönteminin tercih edilmesindeki en temel sebep analize dahil edilen zaman diliminin tamamına yönelik bulgu elde etmesi ve simülasyon ile veri kümesini çok yüksek boyutlara çıkarmasıdır. Analizin bu özelliği bulguların geçerlilik düzeyini artırmakla birlikte Türkiye’de merkezi yönetim dış borç stoku ile CDS primi arasında 2008 küresel krizi sonrasındaki iki yıl hariç ilişki tespit edilmemiştir. Diğer taraftan cari açık ve CDS primi arasında ise pozitif bir ilişki bulunmuştur. Elde edilen bulgular da göstermektedir ki Türkiye’de CDS priminin bileşenlerinden ziyade cari açık, CDS primlerine daha fazla etki etmektedir.

Anahtar Kelimeler

Swap Sözleşmeleri, Kredi Temerrüt Takası (CDS), Merkezi Yönetim Dış Borç Miktarı, Cari Açık, Wavelet Coherence Analizi

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