Relationship Between Credit Default Swaps (CDS) and Government Bonds: A Study on Turkey

Mazak, Mehmet; Özkul, Gökhan

doi:10.18506/anemon.803195

Cited by 8 publications

(2 citation statements)

References 35 publications

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“…Gerçek hayattaki verilerde çoğunlukla yapısal kırılmaların olduğu göz önünde bulundurulduğunda Fourier Granger nedensellik testinin sonuçları önem kazanmaktadır. Toda-Yamamoto nedensellik analizi ise seriler arasındaki ilişkilerin, durağanlık seviyeleri ya da eşbütünleşik olup olmadıklarına dair ön bilgilere ihtiyaç duymayan bir modeldir (Mazak ve Özkul, 2020). Toda-Yamamoto nedensellik analizi geleneksel nedensellik analizi olarak sıkça kullanılan VAR ve VECM yöntemlerinden ayrışmaktadır.…”

Section: Hyunclassified

The Relationship Between Consumer Lending and Economic Growth in Terms of Credit Impulse and Credit Variables

BARLAS,

ÖZKUL

2023

Süleyman Demirel Üniversitesi Vizyoner Dergisi

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Tüketici kredileri ekonomide önemli bir ivme yaratarak ekonomik büyümede itici bir rol oynamaktadır. Bu çerçevede çalışmanın amacı Türkiye’de 2006Q1-2020Q2 dönemleri arasında ekonomik büyüme ve tüketici kredileri arasındaki ilişkiyi incelemektir. Çalışmada büyüme değişkeni olarak mevsim ve takvim etkisinden arındırılmış harcamalar yöntemiyle zincirlenmiş gayrisafi yurt içi hasıla değişim oranı, kredi değişkeni olarak hacim ve tutar değişkenleri ile Biggs vd. (2009) tarafından literatüre kazandırılan kredi ivmesi (kredi akımlarında meydana gelen değişimlerin ekonomik büyümeye olan oranı) değişkeni kullanılmıştır. Literatürde yer alan kredi ivmesine ek olarak iki kredi ivmesi modeli daha geliştirilmiş ve bu modeller de analize dahil edilmiştir. Analizde değişkenlere ADF, Phillips-Perron, KPSS ve Fourier KPSS birim kök testleri uygulanmıştır. Değişkenler arasındaki nedensellik ilişkisi Fourier Granger nedensellik ve Toda Yamamoto nedensellik testi ile incelenmiştir. Fourier Granger nedensellik testi sonuçlarına göre tüketici kredisi hacmi ve yıllık reel hacim ve GSYH verileri ile hesaplanan tüketici kredisi ivmesi ekonomik büyümenin nedenidir. Toda Yamamoto nedensellik testi sonuçlarına göre ise tüketici kredisi kullandırım tutarı ve yıllık reel hacim ve GSYH verileri ile hesaplanan tüketici kredisi ivmesi ekonomik büyümenin nedenidir.

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Section: Hyunclassified

The Relationship Between Consumer Lending and Economic Growth in Terms of Credit Impulse and Credit Variables

BARLAS,

ÖZKUL

2023

Süleyman Demirel Üniversitesi Vizyoner Dergisi

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“…By investing, the party undertaking the risk actually earns a return equal to the CDS premium (Özpınar et al, 2018). The CDS premium is indexed to five-year US treasury bonds, which are defined as risk-free (Mazak & Özkul, 2020). Table 5 shows the five-year CDS premiums of 22 countries (WGB, 2022).…”

Section: Credit Default Swapsmentioning

confidence: 99%

Kredi Derecelendirme Kuruluşları, Kredi Notları ve Kredi Temerrüt Swapları Üzerine Bir Değerlendirme

DAYI,

TANTOUN

2023

Bucak İşletme Fakültesi Dergisi

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Investors face different risks in international markets than in national ones. Effective risk management can help protect investors from these risks in global markets. Various indicators and financial instruments are utilized in risk management. Credit rating agencies assess the risk level of institutions or organizations in global markets and provide information to global investors. Credit rating agencies evaluate institutions or organizations by assigning credit ratings. Credit default swaps (CDS) have recently become popular hedging instruments. Credit ratings and CDS premiums are essential sources of data used to assess the risk of an institution or organization. Credit ratings indicate the investment grade of countries. CDS premiums are contracts entered into by creditors to protect themselves in the event of a borrower's default. It is argued that sovereign credit ratings and CDS premiums were misleading during the 2008 economic crisis, after which the reliability and validity of credit ratings and CDS premiums became a subject of debate. This study examined the relationship between credit ratings and CDS premiums and assessed the functionality of the system on critics.

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Do economic uncertainty and political risk steer CDS dynamics? An analysis of the Türkiye CDS

Tekin

2024

IMEFM

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Purpose This study aims to identify critical determinants of sovereign credit risk by examining the influence of oil prices, gold prices, geopolitical risk, market volatility, exchange rates, inflation and non-performing loans on Türkiye’s credit default swap (CDS) spreads. This analysis provides a comprehensive understanding of how economic uncertainty and political risk impact Türkiye’s financial stability, as reflected in its CDS market. This study investigates the importance of ex ante proxies in explaining changes in CDS spread by financial and economic indicators in Türkiye. Design/methodology/approach This research explores the connections between critical financial and economic indicators and the credit risk of Türkiye between 2009 and 2022 by using advanced econometric techniques such as ARDL bound tests, fully modified ordinary least squares (FMOLS), dynamic ordinary least squares (DOLS), Johansen co-integration tests and VECM Granger causality analyses. Findings ARDL bound test results reveal significant negative impacts of BIST and non-performing loans on CDS, and positive associations with inflation, VIX and geopolitical risk on CDSs. The short-term results show that BIST, INFL, NPL, USD, VIX and GPRT have negative coefficients. Johansen co-integration, FMOLS and DOLS results reinforce the ARDL findings. Moreover, BIST is a significant Granger cause of CDS. Originality/value This study is significant, as it jointly considers economic and political risk factors, thereby integrating multiple econometric models to provide more robust, meaningful and comparable results. By examining these factors together, the analysis offers a more comprehensive understanding of risk dynamics, yielding insights relevant to Türkiye. Although the findings are specific to Türkiye, they have broader implications, enriching the understanding of emerging economies. Türkiye’s status as a key representative of emerging markets strengthens the study’s value, as the results can serve as a reference point for other countries with similar economic structures. The importance of this study is also underscored by its potential to inform risk management strategies, guide policy decisions and offer insights to investors and financial analysts. By elucidating the intricate relationships among a broad spectrum of macroeconomic variables, this research contributes to a more comprehensive risk assessment framework. It equips stakeholders with a more informed perspective on the factors influencing credit risk in Türkiye’s economic landscape.

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Relationship Between Credit Default Swaps (CDS) and Government Bonds: A Study on Turkey

Cited by 8 publications

References 35 publications

The Relationship Between Consumer Lending and Economic Growth in Terms of Credit Impulse and Credit Variables

The Relationship Between Consumer Lending and Economic Growth in Terms of Credit Impulse and Credit Variables

Kredi Derecelendirme Kuruluşları, Kredi Notları ve Kredi Temerrüt Swapları Üzerine Bir Değerlendirme

Do economic uncertainty and political risk steer CDS dynamics? An analysis of the Türkiye CDS

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