Kredi Temerrüt Swapları ve Makroekonomik Değişkenler Arasındaki İlişkinin Analizi

Kredi Temerrüt Swap (CDS) primleri, ülkelerin kredi riskinin bir göstergesi olarak kabul edilmektedir. Bu çalışmada Türkiye’nin CDS primlerini etkileyen makroekonomik faktörlerin belirlenmesi amaçlanmaktadır. Bu amaç doğrultusunda, makroekonomik faktörler arasından dış borç stoku, reel efektif döviz kuru, uluslararası altın ve döviz rezervleri değişkenleri ele alınmış ve 2008:Q4-2022:Q2 dönemi üçer aylık veriler kullanılarak analizler gerçekleştirilmiştir. Çalışma kapsamında Doğrusal Olmayan Otoregresif Gecikmesi Dağıtılmış (NARDL) modeller kullanılarak, makroekonomik faktörlerde meydana gelen pozitif ve negatif şokların etkilerinin ayrı ayrı gözlemlenmesi amaçlanmıştır. NARDL modelinden elde edilen bulgular, dış borç stokunda meydana gelecek artışın CDS primlerinde artışa neden olacağını, dış borç stokunda meydana gelecek azalışın ise CDS primlerinde azalışa neden olacağını göstermektedir. Yine elde edilen sonuçlar, reel efektif döviz kurunda meydana gelecek artışların CDS primlerinde azalışa neden olacağını göstermektedir. Uluslararası döviz rezervlerinde meydana gelecek artışlar CDS primleri üzerinde anlamlı etkiye sahip iken, döviz rezervlerinde meydana gelecek azalışların CDS primleri üzerinde anlamlı etkiye sahip olmadığı belirlenmiştir. Son olarak uluslararası altın rezervleri değerlendirildiğinde, rezervlerin Türkiye’nin CDS primleri üzerinde uzun dönemde etkin olduğu ve etkinin asimetrik olduğu sonucuna ulaşılmıştır.

Anahtar Kelimeler:

CDS, Makroekonomik değişkenler, NARDL

Analysis of the Relationship between Credit Default Swaps and Macroeconomic Variables

Credit Default Swap (CDS) premiums are accepted as an indicator of countries' credit risk. The aim of the study is to determine the macroeconomic factors which affect Turkey's CDS premiums. For this purpose, among the macroeconomic factors, external debt stock, real effective exchange rate, international gold, and foreign exchange reserves are considered, and quarterly data for the period of 2008: Q4-2022: Q2 are analyzed. Within the scope of the study, it is aimed to observe the effects of positive and negative shocks on macroeconomic factors separately by using Nonlinear Autoregressive Distributed Lag (NARDL) models. According to the long-term model, positive shocks in external debt cause an increase in CDS premiums, while negative shocks in external debt cause a decrease in CDS premiums. Moreover, the real effective exchange rate has a negative and statistically significant effect on CDS premiums. In addition, while positive shocks in international foreign exchange reserves have a statistically significant effect on CDS premiums, the effects of negative shocks in international foreign exchange reserves are not statistically significant. On the other hand, positive and negative shocks in international gold reserves have a statistically significant effect on CDS premiums, and the effect is asymmetrical.

Keywords:

CDS, Macroeconomic Variables, NARDL,

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