Abstract
Purpose- CDS premiums are an important variable which used in the measurement of country credit risk and especially in the formation of risk perception of international investors towards the country. In this study, between CDS premiums and selected economic indicators for China, Russia and Turkey from developing countries has made an empirical analysis, interaction with each other and whether the findings support other studies in the literature had investigated.
Methodology-The relationship between the CDS premiums from countries and China SHCOMP, Russia INDEXCF and Turkey XU100 stock market index and 2-year government bond interest rate and the USD exchange rate parity, by using daily data between 08.04.2010 and 15.03.2019 periods was researched with VAR analysis.
Findings- According to the empirical tests, it was concluded that the stock exchange index had the largest effect among the selected variables, whereas the exchange rate and interest rate had no significant effect.
Conclusion- In this study, offers evidence which occur the changes in CDS’s standard deviation is affected from the stock market index and the effect is more in Turkey than other examined countries groups
Keywords
Credit Default Swap (CDS) stock exchange index government bondsinterest rates exchange rates VAR analysis
References
- Aksoylu, E., Görmüş, Ş. (2018). Gelişmekte olan ülkelerde ülke riski göstergesi olarak kredi temerrüt swapları:asimetrik nedensellik yöntemi. Ekonomik ve Sosyal Araştırmalar Dergisi, 14 (1).
- Başarır, Ç., Keten, M. (2016). Gelişmekte olan ülkelerin CDS primleriilehissesenetlerivedövizkurlarıarasındakikointegrasyonilişkisi. Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 8 (15).
- Beirne, J., Fratzscher, M. (2013). The pricing of sovereign risk and contagion during the european sovereign debt crisis. Journal of International Money and Finance, 34, 60-82.
- Black, F., Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy 81 (3), 637-654.
- Black, F., Cox, J. C. (1976). Valuing corporate securities: some effects of bond indenture provisions. Journal of Finance, 31, 351-367.
- Brooks, C. (2008). Introductory econometrics for finance (2. bs.). New York, Cambridge University Press.
- Can, H., Paskaleva, M. (2017). Macroeconomic determinants of CDS: the case of europe. New Knowledge Journal of Science, 6 (3).
- Fontana, A., Scheicher, M. (2016). An analysis of euro area sovereign CDS and their relation with government bonds. Journal of Banking & Finance, 62, 126-140.
- Grammatikos, T., Vermeulen, R. (2012). Transmission of the financial and sovereign debt crises to the EMU: stock prices. CDS Spreads and Exchange Rates.
- Hammoudeh, S., Sarı, R. (2011). Financial CDS, stock market and interest rates: which drives which?. North American Journal of Economics and Finance, (22), 257-276.
- Hui, C. H., Wing, Fong T. P. (2015). Price cointegration between sovereign CDS and currency option markets in the financial crises of 2007–2013. International Review of Economics and Finance, 40, 174–190.
- Hull, J. C. (2012). Options, futures and other derivatives (8. bs.). New Jersey, Prentice Hall.
- Kargı, B. (2014). Credit default swap (CDS) spreads: the analysis of time series for the integration with the interest rates and the growth in Turkish economy. Montenegrin Journal of Economics, 10 (1), 59-66.
- Koy, A. (2014). Kreditemerrütswaplarıvetahvilprimleriüzerineampirikbirçalışma. International Review of Economics and Management, 2, 63-79.
- Liu, Y., Morley, B. (2012). Sovereign credit default swaps and the macroeconomy. Applied Economics Letters, 19, 129-132.
- Liu, Y., Morley, B. (2013). Sovereign credit ratings, the macroeconomy and credit default swap spread. Brussels Economic Review Cahiers Economiques De Bruxelles, 56 (3/4), 335-348.
- Longstaff, F.A., Schwartz, E. (1995). Valuing credit derivatives. Journal of Fixed Income 5, 6-12.
- Longstaff, F.A. (2005). Borrower credit and the valuation of mortgage backed securities. Real Estate Economics, 33, 619-661.
- Longstaff, F.A., Pan, J., Pedersen, L.H., Singleton, K.J. (2011). How sovereign is sovereign credit risk?. American Economic Journal: Macroeconomics 3 (2), 75-103.
- Merton, R. (1973). Theory of rational option pricing. Bell Journal of Economics, 141-183.
- Norden, L., Weber, M. (2004). Informational efficiency of credit default swap and stock markets: the impact of credit rating announcements. Journal of Banking & Finance, 28 (11), 2813-2843.
- Norden, L., Weber, M. (2009). The co‐movement of credit default swap, bond and stock markets : an empirical analysis. European Financial Management, 15 (3), 529-562.
- Pan, J., Singleton, K. J. (2008). Default and recovery implicit in the term structure of sovereign CDS spreads. The Journal of Finance, 63, 2345-2384.
- Rachev, S.T., Mittnik, S., Fabozzi, F.J., Focardi, S.M., Jasic, T. (2007). Financial econometrics from basics to advanced modeling techniques. New York, John Wiley & Sons Inc.
- Yenice, S., Hazar, A. (2015). A study for the interaction between risk premiums and stock exchange in developing countries. Journal of Economics, Finance and Accounting, (2).
- Zhu, H. (2006). An empirical comparison of credit spreads between the bond market and the credit default swap market. Journal of Financial Services Research, 29 (3), 211-235.
- Zivot, E., Wang, J. (2006). Modelling financial time series with S-Plus (2. bs.). Washington, Washington University
Abstract
Amaç- CDS primleri, ülke kredi riskinin ölçülmesinde ve özellikle uluslararası yatırımcıların ülkeye yönelik risk algısının oluşmasında kullanılan önemli bir değişkendir. Bu çalışmada, gelişmekte olan ülkelerden Çin, Rusya ve Türkiye için CDS primleri ile seçilmiş ekonomik göstergeleri üzerinde ampirik bir analiz yapılarak birbirleriyle etkileşimleri ve bulguların literatürdeki diğer çalışmaları destekler nitelikte olup olmadığı araştırılmıştır.
Yöntem- Ülkelerin CDS primleri ile Çin SHCOMP, Rusya INDEXCF ve Türkiye XU100 borsa endeksleri, 2 yıllık devlet tahvili faiz oranları ve USD döviz kuru paritesi arasındaki ilişki, 08.04.2010-15.03.2019 dönem aralığındaki günlük veriler kullanılarak VAR analizi ile incelenmiştir.
Bulgular- Yapılan ampirik testlerle elde edilen bulgularda, seçilmiş değişkenler arasında en büyük etkiye borsa endeksinin sahip olduğu, döviz kuru ve faiz oranının ise kayda değer bir etki taşımadığı sonucuna ulaşılmıştır.
Sonuç- Yapılan çalışma, CDS’lerin standart sapmalarında meydana gelen değişikliklerin borsa endeksinden etkilendiği ve bu etkinin incelenen ülke grupları içinde en fazla Türkiye’de olduğuna dair kanıtlar sunmaktadır.
Keywords
Kredi Temerrüt Takası (CDS) borsa endeksi devlet tahvilleri faiz oranı döviz kuru VAR analizi
References
- Aksoylu, E., Görmüş, Ş. (2018). Gelişmekte olan ülkelerde ülke riski göstergesi olarak kredi temerrüt swapları:asimetrik nedensellik yöntemi. Ekonomik ve Sosyal Araştırmalar Dergisi, 14 (1).
- Başarır, Ç., Keten, M. (2016). Gelişmekte olan ülkelerin CDS primleriilehissesenetlerivedövizkurlarıarasındakikointegrasyonilişkisi. Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 8 (15).
- Beirne, J., Fratzscher, M. (2013). The pricing of sovereign risk and contagion during the european sovereign debt crisis. Journal of International Money and Finance, 34, 60-82.
- Black, F., Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy 81 (3), 637-654.
- Black, F., Cox, J. C. (1976). Valuing corporate securities: some effects of bond indenture provisions. Journal of Finance, 31, 351-367.
- Brooks, C. (2008). Introductory econometrics for finance (2. bs.). New York, Cambridge University Press.
- Can, H., Paskaleva, M. (2017). Macroeconomic determinants of CDS: the case of europe. New Knowledge Journal of Science, 6 (3).
- Fontana, A., Scheicher, M. (2016). An analysis of euro area sovereign CDS and their relation with government bonds. Journal of Banking & Finance, 62, 126-140.
- Grammatikos, T., Vermeulen, R. (2012). Transmission of the financial and sovereign debt crises to the EMU: stock prices. CDS Spreads and Exchange Rates.
- Hammoudeh, S., Sarı, R. (2011). Financial CDS, stock market and interest rates: which drives which?. North American Journal of Economics and Finance, (22), 257-276.
- Hui, C. H., Wing, Fong T. P. (2015). Price cointegration between sovereign CDS and currency option markets in the financial crises of 2007–2013. International Review of Economics and Finance, 40, 174–190.
- Hull, J. C. (2012). Options, futures and other derivatives (8. bs.). New Jersey, Prentice Hall.
- Kargı, B. (2014). Credit default swap (CDS) spreads: the analysis of time series for the integration with the interest rates and the growth in Turkish economy. Montenegrin Journal of Economics, 10 (1), 59-66.
- Koy, A. (2014). Kreditemerrütswaplarıvetahvilprimleriüzerineampirikbirçalışma. International Review of Economics and Management, 2, 63-79.
- Liu, Y., Morley, B. (2012). Sovereign credit default swaps and the macroeconomy. Applied Economics Letters, 19, 129-132.
- Liu, Y., Morley, B. (2013). Sovereign credit ratings, the macroeconomy and credit default swap spread. Brussels Economic Review Cahiers Economiques De Bruxelles, 56 (3/4), 335-348.
- Longstaff, F.A., Schwartz, E. (1995). Valuing credit derivatives. Journal of Fixed Income 5, 6-12.
- Longstaff, F.A. (2005). Borrower credit and the valuation of mortgage backed securities. Real Estate Economics, 33, 619-661.
- Longstaff, F.A., Pan, J., Pedersen, L.H., Singleton, K.J. (2011). How sovereign is sovereign credit risk?. American Economic Journal: Macroeconomics 3 (2), 75-103.
- Merton, R. (1973). Theory of rational option pricing. Bell Journal of Economics, 141-183.
- Norden, L., Weber, M. (2004). Informational efficiency of credit default swap and stock markets: the impact of credit rating announcements. Journal of Banking & Finance, 28 (11), 2813-2843.
- Norden, L., Weber, M. (2009). The co‐movement of credit default swap, bond and stock markets : an empirical analysis. European Financial Management, 15 (3), 529-562.
- Pan, J., Singleton, K. J. (2008). Default and recovery implicit in the term structure of sovereign CDS spreads. The Journal of Finance, 63, 2345-2384.
- Rachev, S.T., Mittnik, S., Fabozzi, F.J., Focardi, S.M., Jasic, T. (2007). Financial econometrics from basics to advanced modeling techniques. New York, John Wiley & Sons Inc.
- Yenice, S., Hazar, A. (2015). A study for the interaction between risk premiums and stock exchange in developing countries. Journal of Economics, Finance and Accounting, (2).
- Zhu, H. (2006). An empirical comparison of credit spreads between the bond market and the credit default swap market. Journal of Financial Services Research, 29 (3), 211-235.
- Zivot, E., Wang, J. (2006). Modelling financial time series with S-Plus (2. bs.). Washington, Washington University
Details
| Primary Language | Turkish |
|---|---|
| Subjects | Finance, Business Administration |
| Journal Section | Articles |
| Authors | |
| Publication Date | December 30, 2019 |
| Published in Issue | Year 2019 Volume: 10 Issue: 1 |
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