Finansal Stres Endeksinin Ülke CDS Primleri Üzerine Etkisi

Yıl 2025, Cilt: 9 Sayı: 1, 75 - 91

Ercüment Doğru

https://doi.org/10.31200/makuubd.1641814

Öz

Finansal stres endeksi; piyasadaki belirsizlik, likidite sıkıntısı, faiz oranları ve kredi riskleri gibi bazı unsurları değerlendirerek finansal sistemdeki stres seviyesini ölçen bir göstergedir. Finansal piyasalarda artan risklere bağlı olarak finansal varlıklar ve piyasalar birbirlerini etkileyerek riskin yayılmasına ve istikrarın bozulmasına neden olabilmektedir. Bu çalışmada, finansal stres endeksi ile gelişmiş ve gelişmekte olan 11 ülkenin (Almanya, Brezilya, Çin, Endonezya, Fransa, Güney Afrika, Güney Kore, İngiltere, İtalya, Japonya, Türkiye) CDS primleri arasındaki ilişkiler 29/12/2008 ile 10/01/2025 tarihleri arası haftalık kapanış verileri kullanılarak Toda-Yamamoto Nedensellik testi ile incelenmiştir. Analiz sonucunda elde edilen bulgular, finansal stres endeksinin Brezilya, Güney Afrika ve Türkiye'nin CDS primleri
üzerinde anlamlı bir etkisinin olduğunu ortaya koymuştur. Finansal stres endeksi ile Brezilya ve Güney Afrika CDS primleri arasında karşılıklı nedensellik ilişkisi olduğu, finansal stres endeksinden Türkiye CDS primlerine doğru ise tek yönlü nedensellik ilişkisi olduğu belirlenmiştir. Ayrıca, Çin, Endonezya, Güney Kore, İngiltere ve Japonya'nın CDS primlerinin finansal stres üzerinde etkili olduğu sonucuna varılmıştır. Almanya, Fransa ve İtalya gibi gelişmiş ülkelerde ise anlamlı bir nedensellik ilişkisi bulunamamıştır. Bu bulgular, gelişmekte olan ülkelerde finansal stresin yatırımcı algısı ve ekonomik istikrar üzerindeki etkisinin daha belirgin olduğunu göstermektedir. Çalışma, özellikle gelişmekte olan ülkelerin finansal istikrarlarını sağlamak için yatırımcı güvenini artırıcı politikalar geliştirmeleri gerektiği konusunda çıkarımlar sunmaktadır.

Anahtar Kelimeler

Finansal Stres, CDS Primi, Toda-Yamamoto Nedensellik Testi

The Effect of Financial Stress Index on Country CDS Premiums

Öz

The financial stress index is an indicator that measures the level of stress in the financial system by assessing certain factors such as market uncertainty, liquidity shortages, interest rates and credit risks. Due to the increasing risks in financial markets, financial assets and markets may affect each other, leading to risk spillovers and destabilization. In this study, we use the financial stress index to measure the level of stress in the financial system of 11 developed and 11 emerging economies (Germany, Brazil, China, Indonesia, France, South Africa, South Korea, UK, Italy, Japan, Turkey). The relationship between CDS premiums is analyzed by Toda-Yamamoto Causality test using weekly closing data between 29/12/2008 and 10/01/2025. The findings of the analysis reveal that the financial stress index has a significant effect on the CDS premiums of Brazil, South Africa and Turkey. There is a reciprocal causality relationship between the financial stress index and Brazil and South Africa CDS premiums, while there is a
unidirectional causality relationship from the financial stress index to Turkey’s CDS premiums. Moreover, it is concluded that CDS premiums of China, Indonesia, South Korea, the UK and Japan have an impact on financial stress. On the other hand, no significant causality relationship is found in developed countries such as Germany, France and Italy. These findings suggest that the impact of financial stress on investor perception and economic stability is more pronounced in developing countries. The study suggests that especially developing countries should develop policies that increase investor confidence in order to ensure their financial stability.

Anahtar Kelimeler

Financial Stress, CDS Premium, Toda-Yamamoto Causality Test

Kaynakça

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