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

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.

Kaynakça

Abid, Fathi.- Naifar, Nader. (2006), “The Determinants of Credit Default Swap Rates: An Explanatory Study”, International Journal of Theoretical and Applied Finance, Vol 09, pp. 23–42.

Aizenman, J.- Hutchison, M.- Jinjarak, Y. (2013), “What Is The Risk of European Sovereign Debt Defaults? Fiscal Space, CDS Spreads And Market Pricing of Risk”, Journal of International Money and Finance, Journal of International Money and Finance 34, pp.37–59.

Arouri, Mohamed.- Hammoudeh, Shawkat.- Jawadi, Fredj.- Nguyen, Duc Khuong. (2014), “Financial Linkages Between US Sector Credit Default Swaps Markets”, Journal of International Financial Markets, Institutions & Money, Journal of International Financial Markets, Institutions and Money 33, pp. 223–243.

Azad, A. S. M. S.- Fang, V.- Wickramanayake, J. (2011), “Low-frequency Volatility of Yen Interest Rate Swap Market in Relation to Macroeconomic Risk.” International Review of Finance, 11(3), pp. 353–390.

Bai, J.- Perron, P. (1998), Estimating and Testing Linear Models with Multiple Structural Changes. Econometrica, 66(1), pp. 47–78.

Beber, A.- Brandt, M. W. (2009), “Resolving macroeconomic uncertainty in stock and bond markets.” Review of Finance, 13(1), pp. 1–45.

Black, F.- Scholes, M. (1973), “The Pricing of Options And Corporate Liabilities”. Journal of Political Economy, 81, pp. 637−654.

Black, F.- Cox, J. C. (1976), “Valuing Corporate Securities: Some Effects of Bond İndentures Provisions.” Journal of Finance, 31, pp. 351−367.

Blau, Benjamin. M. – Roseman, Brian. S. (2014), “The Reaction of European Credit Default Swap Spreads To The U.S. Credit Rating Downgrade”, International Review of Economics and Finance, 34, pp. 131-141.

Brandon, Kyle. I.- Fernandez, Frank. A. (2004), “Financial Innovation and Risk Management : An Introduction to Credit Derivatives”, SIA Research Reports, Volume: 5, No:13, pp. 52-63.

Brennan, M.- Schwartz, E. (1980), “Analyzing Convertible Bonds”. Journal of Financial and Quantitative Analysis, 15, pp. 907−929.Bruneau, Catherine.- Delattey, Anne-Laure.- Fouquau, Julien. (2012), “Is the European sovereign crisis self-fulfilling? Empirical evidence about the drivers of market sentiments”, Working Paper. Université Paris X Nanterre.

Carbaugh, R. J. (2009), International Economics. 12th Edition. USA: Cengage Learning.

Carrion-i-Silvestre, J. L-, Kim, D.- Perron, P. (2009), “GLS-Based Unit Root Tests with Multiple Structural Breaks Under Both the Null and the Alternative Hypotheses”, Econometric Theory, 25, pp. 1754-1792.

Chan, Kam. Fong.- Marsden, Alastair. (2014), “Macro Risk Factors of Credit Default Swap Indices In A Regime-Switching Framework”, Journal of International Financial Markets, Institutions & Money 29 , pp. 285-308.

Chen, N.F.- Roll, R.- Ross, S. A. (1986), Economic forces and the stock market. Journal of Business, 59(3), pp. 383–403.

Díaz, Antonio.- Groba, Jonatan.- Serrano, Pedro. (2013), “ What drives corporate default risk premia? Evidence from the CDS market”, Journal of International Money and Finance 37, pp. 529-563.

Diebold, F. X.- Yilmaz, K. (2008), “Macroeconomic volatility and stock market volatility, worldwide.” National Bureau of Economic Research, working paper (pp. 14269).

Dufey, Gunter.- Rehm, Florian. (2000), “An Introduction to Credit Derivatives”, University of Michigan Teaching Note.

Duffie, D.- Singleton, K. (1999), “Modeling Term Structures of Defaultable Bonds.” Review of Financial Studies 12, pp. 687–720.

Duffie, D.- Pedersen, L.- Singleton, K. (2003), “Modeling Sovereign Yield Spreads: A Case Study of Russian Debt.” Journal of Finance 58, pp. 119–159.

Ericsson, J.- Jacobs, K.- Oviedo, R. (2009), “The Determinants of Credit Default Premia”, Journal of Financial and Quantitative Analysis, , 44, pp. 109–132.

Esen, E.- Yıldırım, Z.- Kostakoğlu, S. F. (2012), “Feldstein-Horioka Hipotezinin Türkiye Ekonomisi İçin Sınanması: ARDL Modeli Uygulaması”, Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 7(1), ss. 251-267.

Eyssell, Thomas.- Fung, Hung.Gay.- Zhang, Gaiyan. (2013), “Determinants And Price Discovery of China Sovereign Credit Default Swaps”, China Economic Review 24, pp. 1–15.

Fender, Ingo.- Hayo, Bernd.- Neuenkirch, Matthias. (2012), “Daily Pricing of Emerging Market Sovereign CDS Before And During The Global Financial Crisis”, Journal of Banking & Finance (36), pp. 2786-2794.

Genberg, H.- Sulstarova, A. (2008), “Macroeconomic volatility, debt dynamics, and sovereign interest rate spreads.” Journal of International Money and Finance, 27(1), pp. 6–39.

Giesecke, K.- Weber, S. (2004), “Cyclical Correlations, Credit Contagion and Portfolio Losses”. Journal of Banking and Finance 28, pp. 3009-3036.

Hamilton, J.- Lin, G. (1996), “Stockmarket volatility and the business cycle”. Journal of Applied Econometrics, 5, pp. 573–593.

Kapetanios, G. (2005), “ Unit-Root Testing Against The Alternative Hypothesis of up to m Structural Breaks”, Journal of Time Series Analysis, 26(1), pp. 123–133.

Kunt, Abdullah. Selim.- Taş, Oktay. (2008), “Kredi Temerrüt Swapları ve Türkiye’nin CDS Priminin Tahmin Edilmesine Yönelik Bir Uygulama”, İTÜ Sosyal Bilimler Dergisi, Cilt:5, Sayı:1, ss. 78-89.

Lando, D. (1998), “On Cox Processes And Credit Risky Bonds”. Review of Derivatives Research 2, pp. 99–120.

Lee, J.- Strazicich, M.C. (2003), “Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks”, The Review of Economics and Statistics, 85(4), pp. 1082-1089.

Lee, J.- Strazicich, M.C (2004). Minimum Lagrange Multiplier Unit Root Test with One Structural Break. Working Paper, Department of Economics, Appalachain State University.

Longstaff, F. A.- Schwartz, E. S. (1995), “A Simple Approach To Valuing Risky Fixed And Floating Rate Debt.” Journal of Finance, 50, pp. 789−819.

Longstaff, F.A.- Pan, J.- Pedersen, L.H.- Singleton, K.J. (2011), “How Sovereign Is Sovereign Credit Risk”. American Economic Journal: Macroeconomics 3 (2), pp. 75–103.

Lumsdaine, R.L.- Papell, D.H. (1997), “Multiple Trend Breaks and the Unit Root Hypothesis”, The Review of Economics and Statistics, 79, pp. 212-218.

Markit, (2008). Markit Credit Indices: A Primer

Merton, R. C. (1974), “On The Pricing of Corporate Debts: The Risk Structure of Interest Rates” Journal of Finance, 29, pp. 449−470.

Ng, S.- Perron, P. (2001), “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power”, Econometrica, 69, pp. 1519-1554.

Norden, L.- Webber, M. (2009), “The Co-Movement of Credit Default Swap, Bond And Stock Markets: An Empirical Analysis”, European Financial Management, 15, pp. 529–562.

Officer, R. F. (1973), “The variability of the market factor of the New York stock exchange.” Journal of Business, 46, pp. 434–453.

Oskooee, B. M.- Ng, R. C. W. (2002), Long-run demand for money in Hong Kong: an application of the ARDL model. International journal of business and economics, 1(2), pp. 147-155.

Pan, J.- Singleton, K. (2008), “Default And Recovery Implicit In The Termstructure of Sovereign CDS Spreads.” Journal of Finance 63, pp. 2345–2384.

Paseran, M. H.- Shin, Y.- Smith, R. J. (2001), Bounds Testing Aproachesto The Analysis of Level Relationships, Journal of Applied Econometrics, 16, pp. 289-326.

Perron, P. (1989), “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis”, Econometrica, 57(2), pp. 1361-1401.

Perron, P. (1997), “Further Evidence on Breaking Trend Functions in Macroeconomic Veriables”, Journal of Econometric, 80, pp. 355-385.

Pu, Xiaoling.- Zhao, Xinlei. (2012), “Correlation in credit risk changes”, Journal of Banking & Finance, 2012, 36, pp. 1093-1106.

Remolona, Eli.- Scatigna, Michela.- Wu, Eliza. (2008), “The Dynamic Pricing of Sovereign Risk In Emerging Markets: Fundamentals And Risk Aversion”, The Journal of Fixed Income (4), Vol:17, pp. 57-71.

Saikkonen, P. (1992), Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation. Econometric Theory, 8(1), pp. 1-27.

Schwert, G. W. (1989), “Why does stock market volatility change over time?” Journal of Finance, 44, pp. 1115–1153.

Stock, J.- Watson, M.W. (1993), “A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems”, Econometrica, 61(4), pp. 783-820.

Tang, D.- Yan, H. (2010), “Market Conditions, Default Risk And Credit Spreads”. Journal of Banking and Finance 34, pp. 743–753.

Toda, H.Y.- Yamamoto, T. (1995), “Statistical Inference In Vector Autoregressions With Possibly Integrated Processes”, Journal of Econometrics, Vol:66, Issue:1-2,pp. 225-250.

Zhang, Benjamin. Yibin.- Zhou, Hao.- Zhu, Haibin. (2009), “Explaining Credit Default Swap Spreads with Equity Volatility and Jump Risks of Individual Firms”, Review of Financial Studies, 22, pp. 5099-5131.

Zivot, E.- Andrews, D. (1992), “Further Evidence on the Great Crash, the Oil-Price Shock and the Unit-Root Hypothesis”, Journal of Business Economic Statistics, 10(3), pp. 251-270. https://www.bis.org/publ/otc_hy1711.pdf