CDS PRİMLERİ İLE BİR ÜLKENİN EKONOMİK VE FİNANSAL DEĞİŞKENLERİ ARASINDAKİ NEDENSELLİK İLİŞKİSİNİN DEĞERLENDİRİLMESİ: TÜRKİYE ÖRNEĞİ

Bir ülkenin ekonomik ve finansal görünümünün doğru şekilde değerlendirilmesi, uluslararası yatırımcılar açısından büyük önem taşımaktadır. Yatırımcıların karar süreçlerinde, ülkenin ekonomik ve finansal performansını değerlendirirken inceledikleri önemli bir gösterge, ülke kredi riskidir. Ülke kredi riski, bir ülkenin ekonomik ve finansal performansını yansıtmasının ve bir ülkenin ekonomik ve finansal şoklara karşı dayanıklılığının anlamlı bir ölçüsü olmasının sonucunda, dış borçlanmalarda ülkenin karşılaşacağı kaynak maliyetlerini doğrudan etkilemektedir. CDS (Kredi Temerrüt Swapları) Primleri ise, ülke kredi riskinin ölçülmesinde ve özellikle uluslararası yatırımcıların ülkeye yönelik risk algısının değerlendirilmesinde kullanılan önemli bir değişkendir. Bu çalışmada, Türkiye açısından, ülke kredi riskinin artmasına yol açan makroekonomik ve finansal değişkenler ile ülke CDS primleri arasındaki ilişki analiz edilmiş; TodaYamamoto Nedensellik Testi kullanılarak CDS primleri ile söz konusu değişkenler arasındaki nedensellik test edilmiştir.

Anahtar Kelimeler:

CDS Primleri, Ülke Kredi Riski, Zivot-Andreas Birim-Kök Testi

A REVIEW OF THE CAUSALITY RELATIONSHIP BETWEEN CDS SPREADS AND ECONOMIC AND FINANCIAL VARIABLES OF THE SOVEREIGN: TURKEY CASE

Sound assessment of macroeconomic and financial outlook has great importance for international investors. In the decision making process of international investors, a very important indicator, which the investors review in evaluating a country’s economic and financial performance is sovereign credit risk. Sovereign credit risk both reflects the economic and financial performance of a country and is a meaningful measure of the country’s resistance against economic and financial shocks, directly affects the borrowing costs the country faces. CDS spreads are significantly used in measuring the sovereign credit risk and evaluating the risk apetite of foreign investors against the country. In this study, the relationship between macroeconomic and financial indicators which leads to increase of sovereign credit risk in Turkey and CDS spreads is analyzed and tested that there is a causality between these variables by using Toda-Yamamoto Causality Test.

Keywords:

CDS Spreads Sovereign Credit Risk, Zivot-Andrews Unit-Root Test, Toda-Yamamoto Causality Test,

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