Kredi Temerrüt Takası, Büyüme ve Cari Açık İlişkisi: Türkiye Örneği

Son yıllarda kredi temerrüt takasları (CDS), piyasada ülke risklerini fiyatlandırmada ve araştırmada önemli bir kavram olarak ortaya çıkmıştır. Türkiye gibi ekonomik kırılganlıkları ve dışa bağımlılığı yüksek gelişmekte olan ülkeler için bu kavram daha önemli hale gelmiştir.Ülke riskinietkileyen makroekonomik göstergelerden cari açık ve ekonomik büyüme çalışmada kullanılmıştır. Çalışmada CDS ile olan ekonomik büyüme ve cari açık arasındaki ilişki 2007:Q2-2018:Q4 dönemi için Kapetanios (2005) birim kök testi, Maki (2012) eşbütünleşme testi ve Fourier Toda-Yamamoto nedensellik testi ile analiz edilmiştir. Elde edilen sonuçlar teorik açıdancari açığın ve ekonomide yaşanandaralmanın ülkenin dış borçlanma riski primi ve CDS oranlarında bir artışa neden olduğubeklentisiyle uyumlu olup;Türkiye'ye yönelik risk algısının makroekonomik değişkenlerinden etkilendiği tespit edilmiştir.

The Relationship Between Credit Default Swap, Economic Growth and Current Account Deficit: A Case of Turkey

In recent years, credit default swaps (CDS) have occured as a fundemental concept in pricing and surveyingcountryrisks inthemarket.Thisconcept has gainedgreater significance for developing countries such as Turkey because of their economic fragility and higherdependency to foreignfunds.Of the most important macroeconomic indicators affecting country risks,the current account deficit and economic growthwere studied in terms of their relationship with CDS.In this regard,this relationship was investigatedfor the period of 2007:Q2-2018:Q4 by using Kapetanios (2005) unit root test, Maki (2012) cointegrationtest and Fourier Toda-Yamamoto causality test. Obtainedresults suggested that the current account deficit and the economic constriction caused an increase with the country's external borrowing risk,andthatrisk perception towards Turkeywas found to beaffected by theconcerned macroeconomic variables.

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