Vasıf ABİOĞLU, Munise ILIKKAN ÖZGÜR, Esra SOYU

The Effects of Economic, Financial and Political Risks on CDS Premium of Turkey

Bu çalışmanın amacı ekonomik, finansal ve politik risklerin Türkiye CDS primine etkilerini araştırmaktır. Bu amaçla, NARDL modeli kullanılarak 2000:10-2020:06 döneminde ekonomik, finansal ve politik risklerin Türkiye CDS primine asimetrik etkileri incelenmektedir. Analizden iki önemli sonuç çıkmaktadır. İlk olarak, elde edilen bulgulara göre, ekonomik ve finansal risklerin CDS primi üzerinde asimetrik etkileri bulunurken, politik risklerin CDS primi üzerinde simetrik etkisi bulunmuştur. İkinci olarak, finansal risklerdeki artışların CDS primini yükseltmesi ekonomik risklerdeki artışların CDS primini yükseltmesinden daha fazla iken, ekonomik risklerdeki azalışların CDS primini düşürmesi finansal risklerdeki azalışların CDS primini düşürmesinden daha fazla olmaktadır. Ampirik analiz sonuçlarına göre, ekonomik reformlar CDS primini düşürmede finansal reformlardan daha etkili olmaktadır.

Anahtar Kelimeler:

NARDL, CDS primi, Ekonomik risk, Finansal risk, Politik risk

İktisadi, Finansal ve Politik Risklerin Türkiye CDS Primine Etkileri

The purpose of this study is to analyze the effects of economic, financial and political risks on CDS premium of Turkey. For this purpose, we examine asymmetric effects of economic, financial and political risk variables on Turkey’s CDS by employing nonlinear autoregressive distributed lag model for the period 2000:10-2020:06. Our findings are two-fold. First, we find that both economic and financial risks have asymmetric effects on CDS premium, while political risks have symmetric effect on CDS. Second, we find that increases in financial risks raise CDS premium more than that of economic risks, while decreases in economic risks reduce CDS premium more than that of financial risks. The empirical results imply that economic reforms appear to be more efficient than the financial recovery measures in reducing CDS premium of Turkey.

Keywords:

CDS, Economic risk, Financial risk, NARDL,

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