CDS Primleri ile Ülke Kredi Riski Arasındaki İlişkinin Değerlendirilmesi; Türkiye Örneği

Uluslararası yatırımcıların bir ülkeye doğrudan yatırım ve portföy yatırımları şeklinde yatırım yapmak konusundaki karar süreçlerinde, ülke kredi riskinin doğru bir şekilde değerlendirilmesi büyük önem taşımaktadır. Ülke kredi riskinin ölçülmesinde ve uluslararası yatırımcıların ülkeye yönelik risk algısının değerlendirilmesinde ise, büyük ölçüde, CDS primlerinden yararlanılmaktadır. Bu çalışmada, ülkemiz açısından, ülke kredi riskinin artmasına yol açan makroekonomik değişkenler ve finansal değişkenler ile ülke CDS primleri arasındaki ilişki, ekonometrik uygulama aracılığıyla analiz edilmiş ve değişkenler arasındaki koentegrasyon test edilmiştir.

Anahtar Kelimeler:

CDS Primleri, Ülke Kredi Riski, Johansen Koentegrasyon Testi

An Assessment of the Relationship between CDS Spreads and Sovereign Credit Risk; Turkey Case

It is essential that sovereign credit risk is adequately evaluated in the decision making process of international investors in the form of foreign direct investment and portfolio investments. CDS spreads are significantly used in measuring the sovereign credit risk and evaluating the risk appetite of foreign investors against the country. In this study, the relationship between macroeconomic and financial indicators which lead to increase in sovereign credit risk of Turkey and CDS spreads is analyzed with the help of an econometric application and tested that the variables are cointegrated or not.

Keywords:

CDS spreads, Sovereign Credit Risk, Johansen Cointegration Test,

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