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Ülke Risk Primi ile Değişkenliği Arasındaki İlişkinin İncelenmesi: Türkiye Örneği

Bu çalışma, kredi temerrüt takası (CDS) prim değişkenliği ile CDS primi arasındaki ilişkiyi EGARCH-M modeli ile Türkiye ekonomisi için incelemektedir. Çalışmanın temel bulguları; (i) CDS prim değişkenliğindeki artış CDS primini artırmaktadır; (ii) borsadaki artış ve TL’deki değerlenme CDS primini azaltmaktadır; (iii) Türkiye CDS prim değişkenliği uzun dönem hafıza etkisine sahiptir; (iv) asimetrik etki istatistiksel olarak anlamsız bulunmuştur; (v) CDS prim değişkenliği, VIX ile pozitif ve petrol fiyatları ile negatif ilişkilidir.

The Relationship Between Country Risk Premium and its Volatility: Turkish Case

This study investigates the relationship between credit default swap (CDS) premium and its volatility using the EGARCH-M model for the Turkish economy. Empirical findings robustly suggest that (i) the CDS premium volatility significantly increases the CDS premium; (ii) an increase in Stock Exchange and appreciation in Turkish lira decreases the CDS premium; (iii) Turkish CDS premium volatility has a strong long memory effect; (iv) the asymmetric effect has been found statistically insignificant; and (v) CDS premium volatility is positively associated with VIX and negatively associated with oil price.

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