CDS, Borsa ve Döviz Kuru Arasındaki İlişkilerin Analizi: Covid-19’dan Kanıtlar

Abstract

The aim of the study is to investigate the relationships between CDS, the BIST100 index, and the US Dollar/Turkish Lira (USD/TRY) exchange rate during the Covid-19 period. For this purpose, the study used the frequency domain causality test developed by Breitung and Candelon (2006). According to the results of the study, a bidirectional causal relationship was found between CDS and the BIST100 index. While this relationship took place in the short and medium term from CDS to BIST100 index, it was detected in the entire frequency range (in all periods) from BIST100 index to CDS. In other words, it can be stated that while the causality from CDS to BIST100 index is not permanent, causality from BIST100 index to CDS is permanent. Similarly, a bidirectional causality relationship was found between CDS and the USD/TRY exchange rate. While this relationship occurred in the short and medium term from CDS to USD/TRY exchange rate, it was detected in the entire frequency range (in all periods) from USD/TRY exchange rate to CDS. In other words, it can be stated that while the causality from CDS to USD/TRY exchange rate is not permanent, the causality from USD/TRY exchange rate to CDS is permanent.

Analysis of The Relationship Between Credit Default Swaps and Macroeconomic Variables

“…(2013), Liu ve Morley (2012), Çonkar ve Vergili (2017), Aksoylu ve Görmüş (2018) çalışmaları döviz kurlarından CDS primlerine tek yönlü nedensellik ilişkisinin varlığını saptamışlardır. Durgun-Kaygısız ve İşcan (2020), Ustaoğlu (2022) ise çalışmalarında iki değişken arasında çift yönlü nedensellik ilişkisi bulmuşlardır. Wang vd.…”

“…Studies in the literature on macroeconomic variables affecting CDS premiums are presented in three sub-sections. These are studies examining the relationship between exchange rate and CDS premiums (Carr and Wu, 2007;Zhang et al, 2009;Keblowski, 2011;Liu and Morley, 2012;Wang et al, 2013;Hassan et al, 2016;Çonkar and Vergili, 2017;Aksoylu and Görmüş, 2018;Durgun-Kaygısız and İşcan, 2020;Liu et al, 2021;Della Corte et al, 2021;Özgür and Çelik, 2021;Ustaoğlu, 2022;Steel, 2022), studies examining the relationship between external debt and CDS premiums (Fontana and Scheicher, 2010;Sand, 2012;Eyssell et al 2013;Aizenman et al, 2013;Ho, 2016;Akkaya, 2017;Kılcı, 2019;Akkuş, 2021;Czech, 2021;Arslan et al, 2022), and studies examining the relationship between reserves and CDS premiums (Jaramillo and Tejada, 2011;Ramos-Francia and Rangel, 2012;Liu and Morley, 2013;Ho, 2016;Stolbov, 2017;Daehler et al, 2021;Simonyan and Bayraktar, 2022).…”