Gelişmekte Olan Ülkelerin CDS Primleri Arasındaki Eş-bütünleşme ve Nedensellik İlişkilerinin Araştırılması

Amaç – Çalışmanın amacı, Türkiye ve BRICS ülkelerinin ülke riskleri arasındaki eş-hareketlilik ve etkileşimlerin varlığını araştırmaktır. Bu amaçla ülkelerin CDS primleri arasında eşbütünleşme ve nedensellik analizleri gerçekleştirilmiştir. Yöntem – Ülkelerin CDS primleri arasında uzun dönemli eşbütünleşme ilişkisinin incelenmesinde ARDL Sınır Testi; kısa dönemli nedensellik ilişkilerinin tespit edilmesinde ise Toda-Yamamoto Testi kullanılmıştır. Veriler 15 Aralık 2015-18 Mayıs 2020 dönemini kapsamaktadır. Bulgular – Analizler sonucunda elde edilen bulgular, Türkiye ile Brezilya ve Rusya CDS primleri arasında eşbütünleşme ilişkisinin bulunduğu ancak bu ilişkinin uzun dönemde istikrarlı olmadığı yönündedir. Bununla birlikte Türkiye ile Hindistan arasında tek yönlü, diğer tüm ülkeler ile çift yönlü nedensellik ilişkileri gözlenmiştir. Tartışma – Ulaşılan sonuçlar Türkiye ile Brezilya ve Rusya’nın ülke risklerini etkileyen ortak küresel faktörlerin olduğu ancak Türkiye’nin kendi dinamikleri nedeniyle belirli dönemlerde bu ülkelerden ayrıştığı şeklinde yorumlanmaktadır. Kısa dönemde ise CDS primlerini etkileyen herhangi bir gelişmenin diğer ülkede de tepkiye yol açtığı, çift yönlü nedensellik ilişkisine bakılarak söylenebilir.

Investigating the Cointagration and Causality Relationships Between Developing Countries’ CDS Spreads

Purpose – The aim of this study is to investigate co-movements and interactions between Turkey and BRICS countries. For this purpose cointegration and causality analysis are performed using CDS spreads of those countries. Design/methodology/approach – In order to examine the long run cointegrations between CDS spreads, ARDL Bounds Test is applied. Toda-Yamamoto approach is used to determine the causality relationships. Data period covers December 15, 2015 – May 18, 2020. Findings – Performing ARDL approach, CDS spreads of Turkey are found cointegrated with Brasil and Russia, however this relationships seem not to be stable for the long run. On the other hand, Toda-Yamamoto results suggest that causality relationships exist between Turkey and BRICS countries. Discussion – Cointegrations of CDS spreads of Turkey with Brasil and Russia suggest that ther are common global factors affecting country risks of those countries, while indosyncratic factors induce deterioration of long run co-movements. In short run it is possible to state that any factors affecting the risks in one country causes a reaction in other countries, basing on bi-direcitonal causalities.

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