Tahvil Faizleri İle CDS Primleri Arasındaki Oynaklık Yayılım Etkilerinin Belirlenmesi
Bu çalışmada tahviller ile CDS primleri arasında oynaklık yayılma etkisinin bulunup bulunmadığı araştırılarak bu iki finansal enstrüman arasındaki ilişkinin belirlenmesi amaçlanmıştır. Araştırmada Türkiye’nin 19.03.2012-24.10.2017 dönemine ait 5 yıllık CDS ve 5 yıllık gösterge tahvil faiz getiri verileri kullanılmıştır. Değişkenler arasındaki oynaklık yayılımının modellenmesinde CCC- MGARCH modelinden yararlanılmıştır. Araştırma sonucunda Türkiye’de 5 yıllık devlet tahvillerinin faiz oranları ile bu tahvillerden hareketle hesaplanan CDS risk primleri arasında yüksek pozitif korelasyon olduğu görülmektedir. Ayrıca CDS risk primlerinde meydana gelen oynaklıklar Türkiye’de devlet tahvillerine oynaklık yayılımı süreciyle aktarılmaktadır.
Determination of Volatility Spillover Effects between Bond Interest Rates and CDS Premiums
The aim of this study is to determine the relationship between the bonds and CDSs by investigating whether there is a volatility spillover effect between these two financial instruments. In the study, 5-year CDS and 5-year bonds interest return data of Turkey between 19.03.2012 and 24.10.2017 were used. CCC-MGARCH was used to model the volatility spillovers between variables. The results showed that there is a strong positive correlation between 5-year bonds interest rates of Turkey and CDS risk premiums calculated through those bonds. Also volatility in CDS risk premiums are being transferred to bonds of Turkey through volatility spillovers process.
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