Bekir Kaya, Emine Öner Kaya, Kürşat Yalçıner

Türkiye’nin Derecelendirme Notları Ve Kredi Temerrüt Swap Primlerinin Ekonomik Ve Sosyal Olaylara Tepkisinin Analizi

Kredi derecelendirme notları ve kredi temerrüt swap primleribir ülkenin kredi riskinin ölçülmesinde iki temel göstergedir. Ekonomikve sosyal olaylara verilen tepkinin ölçülmesi hangi göstergeninülke riskini yansıtmada daha etkin olduğunu test etme imkânısağlamaktadır. Çoklu doğrusal regresyon yöntemi ve günlük verilerkullanılarak, 01.01.2007 ile 22.04.2014 tarihleri arasındakidönemin, Türkiye ölçeğinde analiz edildiği çalışmada, derecelendirmenotları ve CDS primlerinin aynı olaylara her zaman aynıtepkiyi vermediği tespit edilmiştir.

Anahtar Kelimeler:

Kredi Temerrüt Swap Primi, Derecelendirme Notu, Çoklu Doğrusal Regresyon

ANALYSIS OF THE RESPONSES OF TURKEY’S RATINGS AND CREDIT DEFAULT SWAP SPREADS TO THE ECONOMIC AND SOCIAL EVENTS

ABSTRACTCredit ratings and credit default swap spreads are two mainindicators for the measurement of a country’s credit risk. Measurementof the response to the economic and social events providethe opportunity to test which indicator is more effective to reflectcountry risk. By using multiple linear regression method and dailydata, it was determined that ratings and credit default swaps arenot always give the same response to the same events for the periodbetween January 1, 2007 and April 22, 2014 in Turkey.

Keywords:

Credit Default Swap Spread, Credit Rating, Multiple Linear Regression,

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