Cari Açık Değerleri CDS Puanları Üzerinde Etkili midir? Türkiye İçin Bir Perspektif

Yıl 2018, Sayı: 80, 189 - 206, 01.10.2018

Cumhur Şahin

https://doi.org/10.25095/mufad.465937

Cited By: 8

Öz

Bu çalışmada, Türkiye’nin kredi temerrüt takası puanlarıyla cari açık rakamları arasındaki ilişki incelenmiştir. Bu inceleme kapsamında çalışmanın amacı Türkiye’nin cari işlem açık rakamlarının, kredi temerrüt takası puanlarındaki değişimleri açıklayan öncü bir gösterge olup olmadığını ortaya koyabilmektir. 2005M01 – 2017M11 döneminin ele alındığı çalışmanın ilk aşamasında serilerin durağanlıkları Carrion-i-Silvestre (2009) çoklu yapısal kırılmalı birim kök yöntemiyle test edilmiştir. Daha sonra değişkenlerin birbirleriyle olan uzun dönem ilişkilerinin analiz edilmesinde eşbütünleşme testleri kullanılmıştır. Uzun dönemli ilişkiye ait katsayılar belirlendikten sonra modelin diagnostik testlerine bakılarak modelin uygunluğuna karar verilmiştir. Değişkenler arasında kısa dönemli ilişkilerin belirlenmesinde ARDL’ye dayanan bir hata düzeltme modeli kullanılmıştır. Son aşamada ise Toda-Yamamoto yöntemi yardımıyla değişkenler arasındaki nedensellik ilişkisi ortaya konmuştur. Elde edilen bulgulara göre de Türkiye’nin cari açık rakamlarının Türkiye kredi temerrüt takası puanlarındaki değişimleri açıklayan bir öncü gösterge olarak ele alınabileceği sonucuna ulaşılmıştır.

Anahtar Kelimeler

Cari Açık, Kredi Temerrüt Takası, Çoklu Yapısal Kırılmalı Eşbütünleşme

Kaynakça

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