Dış Borçların Ülke CDS Primleri Üzerindeki Etkisinin İncelenmesi: Türkiye Örneği

Ülke CDS primleri, kredi riskinin ölçülmesinde, tahvil-bono fiyatları ve kredi derecelendirme notlarına alternatif olarak yaygın şekilde kullanılan önemli bir araç haline gelmiştir. Bu nedenle, ülke CDS primlerini belirleyen faktörlerin tespit edilmesi makrofinansal literatürde büyük bir öneme sahiptir. Ülke CDS primlerini etkileyen makroekonomik faktörlerden ve ülkenin ödeme gücünün önemli göstergelerinden biri olarak tanımlanan dış borç/GSYİH oranı, söz konusu orandaki artışın finansal kırılganlığın arttığına işaret eden bir indikatör olması nedeniyle, ülke CDS primlerini etkileyen faktörleri analiz eden ampirik çalışmalarda kullanılan göstergelerdendir. Türkiye’de son yıllarda, dış borçlar/ GSYİH oranındaki artış dikkat çekicidir. Bu çalışmanın amacı, dış borç/GSYİH oranı ve ülke CDS primleri arasındaki ilişkinin 2000:Ç1-2018:Ç2 dönemi için araştırılmasıdır. Analizde, değişkenlere ilişkin olarak Hazine ve Maliye Bakanlığı ve Bloomberg’ten alınan çeyreklik veriler kullanılarak, Fourier SHIN Eşbütünleşme Testi ve Fourier Granger Nedensellik Testi uygulanmaktadır. Sonuçlar, değişkenlerin arasında pozitif ilişki olduğunu göstermektedir.

Anahtar Kelimeler:

CDS, Dış Borç, Finansal Dalgalanma.

NALYSIS OF THE IMPACT OF FOREIGN DEBT ON SOVEREIGN CDS PREMIUMS: THE CASE OF TURKEY

Sovereign credit default spreads have been commonly used as an alternative credit risk measurement. Hence, identification of the determinants of sovereign CDS premiums has great importance in the macro-finance literature. Of the macro-economic determinants related to sovereign CDS premiums, foreign debt to GDP is one of the major solvency indicators that is analyzed in most empirical studies investigating the determinants of sovereign credit default spreads since high foreign debt to GDP ratio is generally accepted as an indicator of increasing financial fragility. In recent years, the rising trend in foreign debt to GDP ratio has been attracting attention in Turkey. This study investigates the relationship between foreign debt and sovereign CDS premiums and attempts to test the impact of foreign debt to GDP ratio on sovereign CDS premiums in Turkey for the period between 2000:Q1 and 2018:Q2. In order to examine the relationship, Fourier SHIN Cointegration Test and Fourier Granger Causality Test are employed by using quarterly data related to the variables obtained from the Ministry of Treasury and Finance and Bloomberg. The results show that there is a positive relationship between the variables.

Keywords:

CDS, Foreign Debt, Financial Stress.,

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