CDS RİSK PRİMLERİ İLE DIŞ BORÇLANMA İLİŞKİSİ: SİMETRİK VE ASİMETRİK NEDENSELLİK ANALİZİ

Bu çalışma Türkiye’nin kamu ve özel sektör dış borcu ile kredi temerrüt swapları (CDS) arasındaki ilişkiyi 2000Q4-2019Q1 dönemi verilerinden yaralanarak incelemektedir. Kamu ve özel sektör dış borcu ile CDS arasındaki simetrik nedensellik ilişkisi Hacker ve Hatemi-J (2006) nedensellik testi aracılığıyla incelenirken değişkenlerin pozitif ve negatif bileşenleri arasındaki ilişki Hatemi-J (2012) asimetrik nedensellik testi aracılığıyla incelenmektedir. Çalışmanın ampirik bulguları kamu dış borçlanması ile CDS primleri arasında çift yönlü bir nedensellik ilişkisinin varlığını ortaya koyarken özel sektör dış borcu ile CDS primleri arasında herhangi bir nedensellik ilişkinin bulunmadığı tespit edilmiştir. Kamu dış borcundaki pozitif bir şokun CDS primlerindeki pozitif ve negatif şokların bir nedeni olduğu ancak kamu dış borcundaki negatif bir şokun CDS primi bileşenlerinin bir nedeni olmadığı belirlenmiştir. Özel sektör dış borcundaki pozitif ve negatif şokların CDS risk primindeki pozitif şokların bir nedeni olduğu belirlenirken CDS risk primlerindeki pozitif şokun da özel sektör dış borcundaki negatif şokun bir nedeni olduğu sonucuna ulaşılmaktadır.

HE RELATIONSHIP BETWEEN CDS RISK PREMIUM AND EXTERNAL DEBT: SYMMETRIC AND ASYMMETRIC CAUSALITY ANALYSIS

This study examines relationship between Turkey's public and private sector external debt and credit default swaps (CDS) for the period 2000Q4-2019Q1. The symmetric causality relationship between public and private sector external debt and CDS is analyzed by the Hacker and Hatemi-J (2006) causality test. The relationship between the positive and negative components of the variables is examined through the Hatemi-J (2012) asymmetric causality test. While the empirical findings of the study reveal the existence of a bidirectional causality relationship between public external debt and CDS risk premium, there was no causal relationship between private sector external debt and CDS risk premium. It has been determined that a positive shock in public external debt is a cause of positive and negative shocks in CDS premiums, but a negative shock in public external debt is not a cause of CDS premium components. While it is determined that positive and negative shocks in private sector external debt are a cause of positive shocks in CDS risk premium, it is concluded that positive shock in CDS risk premiums is a cause of negative shock in private sector external debt.

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