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FACTORS AFFECTING CDS PREMIUM AND FUTURES CONTRACT PRICES: EXAMPLE OF TÜRKİYE

Yıl 2025, Cilt: 7 Sayı: 2, 153 - 180, 30.04.2025

Tolga Benli , Burcu Dinçergök

Öz

This study examines the relationship between the Türkiye CDS premium and the prices of USD/TL and BIST30 futures contracts traded on BIST VIOP. In addition, the national and global variables affecting these three variables were analyzed. Based on the literature, four national and eight global variables were used to explain these variables. Inflation, industrial production index, central bank external debt, and reserve data are used at the national level. The VIX and MSCI ACWI indices and CDS premiums of the USA, China, Germany, Italy, the United Kingdom, and Brazil were used at the global level. Data were collected at a monthly frequency covering the period from August 2018 to December 2024. VAR model-based, Granger causality, impulse response, and variance decomposition analyses were conducted. The results reveal a relationship between CDS and BIST30 futures with both global and national variables, while USD/ TL futures are primarily influenced by national factors. The effect of the structural breaks was also significant.

Anahtar Kelimeler

Credit default swap Futures and options market Futures contract Time series analysis Türkiye

Etik Beyan

This study did not require approval from an ethics committee as it did not involve human participants, animals, or sensitive personal data. All data used in this research were obtained from publicly available sources.

Kaynakça

  • Afonso, A., Furceri, D., & Gomes, P. (2012). Sovereign credit ratings and financial markets linkages: Application to European data. Journal of International Money and Finance, 31(3), 606–638. https://doi.org/10.1016/j. jimonfin.2012.01.016
  • Alter, A., & Beyer, A. (2014). The dynamics of spillover effects during the European sovereign debt turmoil. Journal of Banking and Finance, 42(1), 134–153. https://doi.org/10.1016/j.jbankfin.2014.01.030
  • Arellano, C. (2008). Default risk and income fluctuations in emerging economies. The American Economic Review, 98(3), 690–712.
  • Avsarlıgil, N., & Turgut, E. (2021). A study on the relationship between CDS premiums and stock market indices: A case of the Fragile Five countries. Istanbul Business Research, 50(2), 275–301. https://doi.org/10.26650/ ibr.2021.50.808240
  • Blanco, R., Brennan, S., & Marsh, I. W. (2005). An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps. Journal of Finance, 60(5), 2255–2281. https://doi.org/10.1111/j.1540- 6261.2005.00798.x
  • Bostanci, G., & Yilmaz, K. (2020). How connected is the global sovereign credit risk network? Journal of Banking and Finance, 113, 105761. https://doi. org/10.1016/j.jbankfin.2020.105761
  • Bryant, H. L., Bessler, D. A., & Haigh, M. S. (2006). Causality in futures markets. The Journal of Futures Markets, 26(11), 1039–1057.
  • Buz, N. E., & Kucukkocaoglu, G. (2023). Ülke kredi temerrüt takas (CDS) primini etkileyen faktörler: Türkiye uygulaması. Muhasebe Bilim Dünyası Dergisi, 25(1), 27–52.
  • Celik, İ. (2011). Vadeli işlem piyasasında fiyat keşfi: İzmir Vadeli İşlem ve Opsiyon Borsasında ampirik bir uygulama [Unpublished master’s thesis]. Süleyman Demirel Üniversitesi.
  • de Boyrie, M. E., & Pavlova, I. (2016). Dynamic interdependence of sovereign credit default swaps in BRICS and MIST countries. Applied Economics, 48(7), 563–575. https://doi.org/10.1080/00036.846.2015.1083089
  • Elcicek, Y. (2022). Volatilite endeksi, güven endeksleri ve CDS risk priminin seçili vadeli işlem sözleşme getirileri üzerindeki etkilerinin incelenmesi. Finans Politik & Ekonomik Yorumlar, 662, 89–106.
  • Erdas, M. (2022). The impact of financial drivers on credit default swap (CDS) in Türkiye: The cointegration with structural breaks and FMOLS approach. Istanbul Business Research, 51(1), 25–46. https://doi.org/10.26650/ ibr.2022.51.895637
  • Fabozzi, F. J., Giacometti, R., & Tsuchida, N. (2016). Factor decomposition of the Eurozone sovereign CDS spreads. Journal of International Money and Finance, 65, 1–23. https://doi.org/10.1016/j.jimonfin.2016.03.003
  • Gok, R., Bouri, E., & Gemici, E. (2023). Volatility spillovers between sovereign CDS and futures markets in various volatility states: Evidence from an emerging economy around the pandemic. Research in International Business and Finance, 66, 102023. https://doi.org/10.1016/j.ribaf.2023.102023
  • Gujarati, D. N. (1999). Temel ekonometri (Translated ed.). İstanbul: Literatür Yayıncılık.
  • Gurel, S. P. (2021). How the macroeconomic conditions and the global risk factors affect sovereign CDS spreads? New evidence from Türkiye. Business & Management Studies: An International Journal, 9(2), 547–560. https:// doi.org/10.15295/bmij.v9i2.1800
  • Huyuguzel Kısla, G., Muradoglu, Y. G., & Onder, A. O. (2022). Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: A spatial approach. Journal of Asset Management. https://doi.org/10.1057/s41260.022.00263-3
  • Iseri, M., & Kacmazer, M. (2016). 2005–2015 yılları arasında BIST30 endeksi ve BIST30 endeks vadeli işlem sözleşmeleri arasındaki nedensellik (öncül-ardıl) ilişkisinin irdelenmesi. Finans Politik & Ekonomik Yorumlar, 53(615), 171–194.
  • Kamıslı, S., & Esen, E. (2019). Financial connectedness among credit default swaps. BİLTÜRK: The Journal of Economics and Related Studies, 1(4), 258–270.
  • Kartal, M. T. (2020). The behaviour of sovereign credit default swaps (CDS) spread: Evidence from Türkiye with the effect of COVID-19 pandemic. Quantitative Finance and Economics, 4(3), 489–502. https://doi. org/10.3934/qfe.2020022
  • Kayalı, M. M., & Akarim, Y. D. (2010). Price and trading volume relationship in futures markets: Evidence from Türkiye. The Empirical Economics Letters, 9(6).
  • Kurt Cihangir, C. (2020). Volatility spillover effects from global and national variables to sovereign CDS spreads: Evidence from Türkiye. Süleyman Demirel Üniversitesi Vizyoner Dergisi, 11(26), 45–61. https://doi. org/10.21076/vizyoner.654420
  • 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. https://doi.org/10.1257/mac.3.2.75
  • Ozdemir, L. (2011). Vadeli işlem piyasası ile spot piyasa oynaklığı arasındaki ilişki: İzmir Vadeli İşlem ve Opsiyon Borsası üzerine bir uygulama [Unpublished master’s thesis]. Afyon Kocatepe Üniversitesi Sosyal Bilimler Enstitüsü.
  • Sabkha, S., de Peretti, C., & Hmaied, D. (2019). The credit default swap market contagion during recent crises: International evidence. Review of Quantitative Finance and Accounting, 53(1), 1–46. https://doi.org/10.1007/ s11156.018.0741-6
  • Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48.
  • Tas, T. (2016). Türkiye’de vadeli işlem ve opsiyon piyasasının etkinliği ve sözleşmelerin karşılaştırmalı fiyat öngörümlemesi [Unpublished doctoral dissertation]. Manisa Celal Bayar Üniversitesi.
  • Tsuruta, M. (2020). Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads. North American Journal of Economics and Finance, 51, 101072. https://doi.org/10.1016/j. najef.2019.101072
  • Turguttopbas, N. (2015). Sovereign credit risk and credit default swap spread reflections. International Review of Economics and Management, 1(2), 122–122. https://doi.org/10.18825/iremjournal.109065
  • Yang, L., Yang, L., & Hamori, S. (2018). Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries. International Review of Financial Analysis, 59, 19–34. https://doi. org/10.1016/j.irfa.2018.06.001

Yıl 2025, Cilt: 7 Sayı: 2, 153 - 180, 30.04.2025

Tolga Benli , Burcu Dinçergök

Öz

Kaynakça

  • Afonso, A., Furceri, D., & Gomes, P. (2012). Sovereign credit ratings and financial markets linkages: Application to European data. Journal of International Money and Finance, 31(3), 606–638. https://doi.org/10.1016/j. jimonfin.2012.01.016
  • Alter, A., & Beyer, A. (2014). The dynamics of spillover effects during the European sovereign debt turmoil. Journal of Banking and Finance, 42(1), 134–153. https://doi.org/10.1016/j.jbankfin.2014.01.030
  • Arellano, C. (2008). Default risk and income fluctuations in emerging economies. The American Economic Review, 98(3), 690–712.
  • Avsarlıgil, N., & Turgut, E. (2021). A study on the relationship between CDS premiums and stock market indices: A case of the Fragile Five countries. Istanbul Business Research, 50(2), 275–301. https://doi.org/10.26650/ ibr.2021.50.808240
  • Blanco, R., Brennan, S., & Marsh, I. W. (2005). An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps. Journal of Finance, 60(5), 2255–2281. https://doi.org/10.1111/j.1540- 6261.2005.00798.x
  • Bostanci, G., & Yilmaz, K. (2020). How connected is the global sovereign credit risk network? Journal of Banking and Finance, 113, 105761. https://doi. org/10.1016/j.jbankfin.2020.105761
  • Bryant, H. L., Bessler, D. A., & Haigh, M. S. (2006). Causality in futures markets. The Journal of Futures Markets, 26(11), 1039–1057.
  • Buz, N. E., & Kucukkocaoglu, G. (2023). Ülke kredi temerrüt takas (CDS) primini etkileyen faktörler: Türkiye uygulaması. Muhasebe Bilim Dünyası Dergisi, 25(1), 27–52.
  • Celik, İ. (2011). Vadeli işlem piyasasında fiyat keşfi: İzmir Vadeli İşlem ve Opsiyon Borsasında ampirik bir uygulama [Unpublished master’s thesis]. Süleyman Demirel Üniversitesi.
  • de Boyrie, M. E., & Pavlova, I. (2016). Dynamic interdependence of sovereign credit default swaps in BRICS and MIST countries. Applied Economics, 48(7), 563–575. https://doi.org/10.1080/00036.846.2015.1083089
  • Elcicek, Y. (2022). Volatilite endeksi, güven endeksleri ve CDS risk priminin seçili vadeli işlem sözleşme getirileri üzerindeki etkilerinin incelenmesi. Finans Politik & Ekonomik Yorumlar, 662, 89–106.
  • Erdas, M. (2022). The impact of financial drivers on credit default swap (CDS) in Türkiye: The cointegration with structural breaks and FMOLS approach. Istanbul Business Research, 51(1), 25–46. https://doi.org/10.26650/ ibr.2022.51.895637
  • Fabozzi, F. J., Giacometti, R., & Tsuchida, N. (2016). Factor decomposition of the Eurozone sovereign CDS spreads. Journal of International Money and Finance, 65, 1–23. https://doi.org/10.1016/j.jimonfin.2016.03.003
  • Gok, R., Bouri, E., & Gemici, E. (2023). Volatility spillovers between sovereign CDS and futures markets in various volatility states: Evidence from an emerging economy around the pandemic. Research in International Business and Finance, 66, 102023. https://doi.org/10.1016/j.ribaf.2023.102023
  • Gujarati, D. N. (1999). Temel ekonometri (Translated ed.). İstanbul: Literatür Yayıncılık.
  • Gurel, S. P. (2021). How the macroeconomic conditions and the global risk factors affect sovereign CDS spreads? New evidence from Türkiye. Business & Management Studies: An International Journal, 9(2), 547–560. https:// doi.org/10.15295/bmij.v9i2.1800
  • Huyuguzel Kısla, G., Muradoglu, Y. G., & Onder, A. O. (2022). Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: A spatial approach. Journal of Asset Management. https://doi.org/10.1057/s41260.022.00263-3
  • Iseri, M., & Kacmazer, M. (2016). 2005–2015 yılları arasında BIST30 endeksi ve BIST30 endeks vadeli işlem sözleşmeleri arasındaki nedensellik (öncül-ardıl) ilişkisinin irdelenmesi. Finans Politik & Ekonomik Yorumlar, 53(615), 171–194.
  • Kamıslı, S., & Esen, E. (2019). Financial connectedness among credit default swaps. BİLTÜRK: The Journal of Economics and Related Studies, 1(4), 258–270.
  • Kartal, M. T. (2020). The behaviour of sovereign credit default swaps (CDS) spread: Evidence from Türkiye with the effect of COVID-19 pandemic. Quantitative Finance and Economics, 4(3), 489–502. https://doi. org/10.3934/qfe.2020022
  • Kayalı, M. M., & Akarim, Y. D. (2010). Price and trading volume relationship in futures markets: Evidence from Türkiye. The Empirical Economics Letters, 9(6).
  • Kurt Cihangir, C. (2020). Volatility spillover effects from global and national variables to sovereign CDS spreads: Evidence from Türkiye. Süleyman Demirel Üniversitesi Vizyoner Dergisi, 11(26), 45–61. https://doi. org/10.21076/vizyoner.654420
  • 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. https://doi.org/10.1257/mac.3.2.75
  • Ozdemir, L. (2011). Vadeli işlem piyasası ile spot piyasa oynaklığı arasındaki ilişki: İzmir Vadeli İşlem ve Opsiyon Borsası üzerine bir uygulama [Unpublished master’s thesis]. Afyon Kocatepe Üniversitesi Sosyal Bilimler Enstitüsü.
  • Sabkha, S., de Peretti, C., & Hmaied, D. (2019). The credit default swap market contagion during recent crises: International evidence. Review of Quantitative Finance and Accounting, 53(1), 1–46. https://doi.org/10.1007/ s11156.018.0741-6
  • Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48.
  • Tas, T. (2016). Türkiye’de vadeli işlem ve opsiyon piyasasının etkinliği ve sözleşmelerin karşılaştırmalı fiyat öngörümlemesi [Unpublished doctoral dissertation]. Manisa Celal Bayar Üniversitesi.
  • Tsuruta, M. (2020). Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads. North American Journal of Economics and Finance, 51, 101072. https://doi.org/10.1016/j. najef.2019.101072
  • Turguttopbas, N. (2015). Sovereign credit risk and credit default swap spread reflections. International Review of Economics and Management, 1(2), 122–122. https://doi.org/10.18825/iremjournal.109065
  • Yang, L., Yang, L., & Hamori, S. (2018). Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries. International Review of Financial Analysis, 59, 19–34. https://doi. org/10.1016/j.irfa.2018.06.001
Toplam 30 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Ekonomi Teorisi (Diğer)
Bölüm Research Articles
Yazarlar

Tolga Benli

Burcu Dinçergök

Yayımlanma Tarihi 30 Nisan 2025
Gönderilme Tarihi 10 Nisan 2025
Kabul Tarihi 30 Nisan 2025
Yayımlandığı Sayı Yıl 2025 Cilt: 7 Sayı: 2

Kaynak Göster

APA Benli, T., & Dinçergök, B. (2025). FACTORS AFFECTING CDS PREMIUM AND FUTURES CONTRACT PRICES: EXAMPLE OF TÜRKİYE. Eurasian Research Journal, 7(2), 153-180.
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