2008-2009 küresel finans krizi sonrasında ülkelerin kredi notları ile ihraç ettikleri bono getirileri arasındaki ilişkinin tutarlı olmadığı yönünde tespitler yapılmaktadır. Ülkelerin temerrüt riski takas (Credit Default Swap-CDS) kontratlarındaki fiyat değişimlerinin bu ülkelerin riskini ölçmede daha anlamlı bir gösterge olduğu ve kredi notunun yerini alabileceği tartışılmaktadır. Bu çalışmada Avusturya, Belçika, Fransa, Portekiz, İtalya ve İspanya’nın 2009- 2015 dönemindeki 5 yıl vadeli günlük CDS primleri ile aynı vadedeki EUR cinsi bono getirileri arasındaki ilişki incelenmiştir. İkinci aşamada ise ülkelerin kredi notları ile bono getirileri arasındaki ilişki analiz edilmiştir.

After the 2008-2009 global financial crisis, it has been argued that the relationship between sovereign credit ratings and sovereign bond yields is not consistent. It has been also claimedthat credit default swap contracts are better indicators than the credit ratings for measuring the credit risk of the underlying sovereign and CDS contracts can be a good substitute of credit ratings. In and CDS contracts can be a good substitute of credit ratings. In this study, the relationship between the 5-year EUR denominated bond yields and 5-year CDS premiums of Austria, Belgium, France, Portugal, Italy and Spain was analyzed for the period between 2009 and 2015 by using daily data. In the second part, the relation between the credit ratings and the Eurobond yields of these countries was examined.this study, the relationship between the 5-year EUR denominated bond yields and 5-year CDS premiums of Austria, Belgium, France, Portugal, Italy and Spain was analyzed for the period between 2009 and 2015 by using daily data. In the second part, the relation between the credit ratings and the Eurobond yields of these countries was examined.