Araştırma Makalesi
Ülke Risk Primi, Krediler ve Makro İktisadi Değişkenler Arasındaki İlişkinin İncelenmesi: Türkiye Örneği
Öz
Bu çalışma, Türkiye ekonomisinde ülke risk primi, krediler ve makroekonomik değişkenler arasındaki kısa dönemli dinamik ilişkiyi Ocak 2011-Kasım 2021 dönemi için VARX modeli çerçevesinde incelemektedir. Çalışma literatürde banka kredi kanalı ile CDS primi arasındaki ilişkiyi Türkiye özelinde inceleyen az sayıdaki çalışmadan biridir. Ayrıca, reel kredi hacminin Türk Parası ve Yabancı Para ayrımında incelenmesinin ampirik sonuçları etkilediği sonucuna varılmıştır. Faiz değişkeni olarak, TCMB politika faizinin yanı sıra bankalar kaynak maliyetini de yansıtan 1 ve 12 aylık mevduat faizi değişkenleri kullanılarak vade riskindeki değişmenin etkisi de modele dahil edilmiştir. Çalışmadan elde edilen temel bulgular şöyledir: (i) Enflasyon, kur (TL’deki değer kaybı) ve faizdeki şoka karşı, ülke risk primi ilk ay için pozitif ve anlamlı tepki vermektedir. (ii) Ülke risk primindeki şok, enflasyon, kur ve faiz üzerinde iki ay boyunca pozitif ve anlamlı bir etkiye sahiptir. (iii) Ülke risk primindeki şok, bankacılık sektörü Türk lirası reel kredilerde ikinci ve üçüncü ayda anlamlı ve tüm dönem için negatif etkiye sahiptir.
Anahtar Kelimeler
Kaynakça
- Alexander, C. & A. Kaeck (2008), “Regime dependent determinants of credit default swap spreads”, Journal of Banking & Finance, 32, 1008-1021.
- Baldacci, E. et al. (2011), “Political and fiscal risk determinants of sovereign spreads in emerging markets”, Review of Development Economics, 15(2), 251-263.
- Benkert, C. (2004), “Explaining credit default swap premia”, The Journal of Futures Markets, 24, 71-92.
- Boivin, J. et al. (2010), “How has the Monetary Transmission Mechanism Evolved over Time?”, NBER Working Papers, 15879.
- Bolaman-Avcı, Ö. (2020), “Interaction Between CDS Premiums and Stock Markets: Case of Turkey”, Niğde Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 13(1), 1-8.
- Cecioni, M. & S. Neri (2011), “The monetary transmission mechanism in the euro area: has it changed and why?”, Bank of Italy Temi di Discussione (Working Paper), No. 808.
- Collin-Dufresne, P. et al. (2001), “The determinants of credit spread changes”, The Journal of Finance, 61, 2177-2207.
- Çetin, A.C. (2022), “Kredi Temerrüt Takaslari Primi ile Bist100 Endeksi, Döviz Kuru ve Faiz Arasindaki İlişki: Türkiye Örneği”, Bingöl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 6(1), 39-77.
- Da Silva, P.P. et al. (2015), “The determinants of CDS open interest Dynamics”, Journal of Financial Stability, 21, 95-109.
- De Boyrie, M.E. & I. Pavlova (2016), “Dynamic interdependence of sovereign credit default swaps in BRICS and MIST countries”, Applied Economics, 48(7), 563-575.
- Erdaş, M.L. (2022), “The Impact of Financial Drivers on Credit Default Swap (CDS) in Turkey: The Cointegration with Structural Breaks and FMOLS Approach”, Istanbul Business Research, 51(1), 25-46.
- Ericsson, J. et al. (2009), “The determinants of credit default swap premia”, Journal of Financial and Quantitative Analysis, 44, 109-132.
- Fender, I. et al. (2012), “Daily pricing of emerging market sovereign CDS before and during the global financial crisis”, Journal of Banking & Finance, 36(10), 2786-2794.
- Fettahoğlu, S. (2019), “Relationship Between Credit Default Swap Premium and Risk Appetite According to Types of Investors: Evidence from Turkish Stock Exchange”, Journal of Accounting & Finance, (84), 265-278.
- Fontana, A. & M. Scheicher (2016), “An analysis of euro area sovereign CDS and their relation with government bonds”, Journal of Banking & Finance, 62, 126-140.
- Galil, K. & G. Soffer (2011), “Good news, bad news and rating announcements: An empirical investigation”, Journal of Banking & Finance, 35(11), 3101-3119.
- Gürel, S.P. (2021), “How the macroeconomic conditions and the global risk factors affect sovereign CDS spreads? New Evidence from Turkey”, Business & Management Studies: An International Journal, 9(2), 547-560.
- Ho, S.H. (2016), “Long and short-runs determinants of the sovereign CDS spread in emerging countries”, Research in International Business and Finance, 36, 579-590.
- Kajurova, V. (2015), “The determinants of CDS spreads: The case of UK companies”, Procedia Economics and Finance, 23, 1302-1307.
- Kargi, 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.
- Kılcı, E.N. (2019), “Dış borçların ülke CDS primleri üzerindeki etkisinin incelenmesi: Türkiye örneği”, Sayıştay Dergisi, (112), 75-92.
- Kim, G.H. et al. (2017), “The CDS‐bond basis arbitrage and the cross section of corporate bond returns”, Journal of Futures Markets, 37(8), 836-861.
- Kocsis, Z. & Z. Monostori (2016), “The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences”, Emerging Markets Review, 27, 140-168.
- Mojon, B. & G. Peersman (2001), “A VAR Description of the Effects of Monetary Policy in the Individual Countries of the Euro Area”, European Central Bank Working Paper, 92.
- Norden, L. & M. Weber (2004), “Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements”, Journal of Banking & Finance, 28(11), 2813-2843.
- Oliveira, M.A. & C. Santos (2014), “Sovereign CDS Contagion in the European Union: A Multivariate GARCH-in-Variables Analysis of Volatility Spill-Overs”, in: 27th International Business Research Conference.
- Peersman, G. & F. Smets (2001), “The Monetary Transmission Mechanism in the Euro Area: More Evidence from VAR Analysis”, European Central Bank Working Paper, 91.
- Polat, U. (2017), “Regime Switching Determinants of Sovereign CDS Spreads: Evidence from Turkey”, Eurasian Journal of Economics and Finance, 5(4), 124-141.
- Sarıgül, H. & H.E. Şengelen (2020), “Ülke Kredi Temerrüt Takas Primleri ile Hisse Senedi Fiyatları Arasındaki İlişki: Borsa İstanbul’da Banka Hisse Senetleri Üzerine Ampirik Bir Araştırma”, Muhasebe ve Finansman Dergisi, (86), 205-222.
Yıl 2024,
Cilt: 32 Sayı: 60, 365 - 386, 28.04.2024
Öz
This study examines the short-term dynamic relationship between country risk premium, loans and macroeconomic variables in the Turkish economy for January 2011 - November 2021 within the framework of the VARX model. The study is one of the few studies in the literature that examines the relationship between the bank loan channel and the CDS premium for Türkiye. Moreover, it is concluded that analysing the real loan volume in terms of Turkish currency and foreign currency affects the empirical results. In addition to the CBRT policy rate, 1-month and 12-month deposit rate variables, which reflect the cost of funds of banks, are used as interest rate variables and the effect of the change in maturity risk is also included in the model. Main findings of the study: (i) Country risk premium reacts positively and significantly for the first month against inflation, exchange rate (depreciation in TL) and interest rate shock. (ii) The shock in the country's risk premium positively and significantly affects inflation, exchange rate, and interest rates during the first two months. (iii) The shock in the country risk premium has a negative effect on Turkish lira real loans for the whole response period, and the response is significant and negative in the second and third months.
Anahtar Kelimeler
Kaynakça
- Alexander, C. & A. Kaeck (2008), “Regime dependent determinants of credit default swap spreads”, Journal of Banking & Finance, 32, 1008-1021.
- Baldacci, E. et al. (2011), “Political and fiscal risk determinants of sovereign spreads in emerging markets”, Review of Development Economics, 15(2), 251-263.
- Benkert, C. (2004), “Explaining credit default swap premia”, The Journal of Futures Markets, 24, 71-92.
- Boivin, J. et al. (2010), “How has the Monetary Transmission Mechanism Evolved over Time?”, NBER Working Papers, 15879.
- Bolaman-Avcı, Ö. (2020), “Interaction Between CDS Premiums and Stock Markets: Case of Turkey”, Niğde Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 13(1), 1-8.
- Cecioni, M. & S. Neri (2011), “The monetary transmission mechanism in the euro area: has it changed and why?”, Bank of Italy Temi di Discussione (Working Paper), No. 808.
- Collin-Dufresne, P. et al. (2001), “The determinants of credit spread changes”, The Journal of Finance, 61, 2177-2207.
- Çetin, A.C. (2022), “Kredi Temerrüt Takaslari Primi ile Bist100 Endeksi, Döviz Kuru ve Faiz Arasindaki İlişki: Türkiye Örneği”, Bingöl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 6(1), 39-77.
- Da Silva, P.P. et al. (2015), “The determinants of CDS open interest Dynamics”, Journal of Financial Stability, 21, 95-109.
- De Boyrie, M.E. & I. Pavlova (2016), “Dynamic interdependence of sovereign credit default swaps in BRICS and MIST countries”, Applied Economics, 48(7), 563-575.
- Erdaş, M.L. (2022), “The Impact of Financial Drivers on Credit Default Swap (CDS) in Turkey: The Cointegration with Structural Breaks and FMOLS Approach”, Istanbul Business Research, 51(1), 25-46.
- Ericsson, J. et al. (2009), “The determinants of credit default swap premia”, Journal of Financial and Quantitative Analysis, 44, 109-132.
- Fender, I. et al. (2012), “Daily pricing of emerging market sovereign CDS before and during the global financial crisis”, Journal of Banking & Finance, 36(10), 2786-2794.
- Fettahoğlu, S. (2019), “Relationship Between Credit Default Swap Premium and Risk Appetite According to Types of Investors: Evidence from Turkish Stock Exchange”, Journal of Accounting & Finance, (84), 265-278.
- Fontana, A. & M. Scheicher (2016), “An analysis of euro area sovereign CDS and their relation with government bonds”, Journal of Banking & Finance, 62, 126-140.
- Galil, K. & G. Soffer (2011), “Good news, bad news and rating announcements: An empirical investigation”, Journal of Banking & Finance, 35(11), 3101-3119.
- Gürel, S.P. (2021), “How the macroeconomic conditions and the global risk factors affect sovereign CDS spreads? New Evidence from Turkey”, Business & Management Studies: An International Journal, 9(2), 547-560.
- Ho, S.H. (2016), “Long and short-runs determinants of the sovereign CDS spread in emerging countries”, Research in International Business and Finance, 36, 579-590.
- Kajurova, V. (2015), “The determinants of CDS spreads: The case of UK companies”, Procedia Economics and Finance, 23, 1302-1307.
- Kargi, 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.
- Kılcı, E.N. (2019), “Dış borçların ülke CDS primleri üzerindeki etkisinin incelenmesi: Türkiye örneği”, Sayıştay Dergisi, (112), 75-92.
- Kim, G.H. et al. (2017), “The CDS‐bond basis arbitrage and the cross section of corporate bond returns”, Journal of Futures Markets, 37(8), 836-861.
- Kocsis, Z. & Z. Monostori (2016), “The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences”, Emerging Markets Review, 27, 140-168.
- Mojon, B. & G. Peersman (2001), “A VAR Description of the Effects of Monetary Policy in the Individual Countries of the Euro Area”, European Central Bank Working Paper, 92.
- Norden, L. & M. Weber (2004), “Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements”, Journal of Banking & Finance, 28(11), 2813-2843.
- Oliveira, M.A. & C. Santos (2014), “Sovereign CDS Contagion in the European Union: A Multivariate GARCH-in-Variables Analysis of Volatility Spill-Overs”, in: 27th International Business Research Conference.
- Peersman, G. & F. Smets (2001), “The Monetary Transmission Mechanism in the Euro Area: More Evidence from VAR Analysis”, European Central Bank Working Paper, 91.
- Polat, U. (2017), “Regime Switching Determinants of Sovereign CDS Spreads: Evidence from Turkey”, Eurasian Journal of Economics and Finance, 5(4), 124-141.
- Sarıgül, H. & H.E. Şengelen (2020), “Ülke Kredi Temerrüt Takas Primleri ile Hisse Senedi Fiyatları Arasındaki İlişki: Borsa İstanbul’da Banka Hisse Senetleri Üzerine Ampirik Bir Araştırma”, Muhasebe ve Finansman Dergisi, (86), 205-222.
Toplam 29 adet kaynakça vardır.
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Konular | Maliye Politikası |
| Bölüm | Makaleler |
| Yazarlar | |
| Erken Görünüm Tarihi | 28 Nisan 2024 |
| Yayımlanma Tarihi | 28 Nisan 2024 |
| Gönderilme Tarihi | 7 Ağustos 2023 |
| Yayımlandığı Sayı | Yıl 2024 Cilt: 32 Sayı: 60 |
