Yıl 2018, Cilt , Sayı , Sayfalar 181 - 192 2018-09-19

TÜRKİYE KREDİ RİSK PRİMİNDEKİ (CDS) YAPISAL KIRILMALARIN EKONOMETRİK ANALİZİ
ECONOMETRIC ANALYSIS OF STRUCTURAL BREAKS IN TURKEY'S CREDIT DEFAULT SWAP (CDS)

Mehmet DİNÇ [1] , Ümit YILDIZ [2] , Mustafa KIRCA [3]

37 109

Kredi risk primi (CDS) finansal bir kredinin geri ödenmeme riskine karşı, belirli bir tutar karşılığında alacaklı tarafı koruma altına alan kredi türev enstrümanı şeklinde tanımlanmaktadır. CDS’ler kredi riskini eş anlı olarak göstermesi bakımından piyasa katılımcıları tarafından yakından takip edilen bir risk göstergesi olmakla birlikte, yatırımcılara da ülkelerin kredibilitesi hakkında önemli bilgiler sunar. Türkiye için hesaplanan CDS’lerde meydana gelen yapısal kırılmaların ve bu kırılmaların arkasında yatan ekonomik ve siyasi nedenlerin belirlenmesi bu çalışmanın amacını oluşturmaktadır. Bu amaca yönelik olarak çalışmada, Ocak 2012 ile Aralık 2016 tarihlerini kapsayan ve 5 yıllık CDS baz puanına göre belirlen aylık CDS verilerinde yaşanan kırılmalar, çok kırılmalı birim kök testi yardımıyla belirlenmiştir. Testin sonuçlarına göre Türkiye’ye ait kredi risk priminde Nisan 2013, Eylül 2014, Haziran 2015 ve son olarak Şubat 2016’da anlamlı yapısal kırılmaların olduğu tespit edilmiştir. Bu tarihlerde yaşanan ekonomik ve siyasal olayların CDS üzerinde meydana gelen kırılmalarda etkili olduğu görülmektedir.

Credit default swap (CDS) is defined as a credit derivative instrument that protects the creditor against a non-repayment risk of a financial loan. CDS provides important information to investors about the credibility of countries, as well as being a risk indicator closely followed by market participants as it shows the credit risk concurrently. The purpose of this study is to determine the structural breaks in the CDS for Turkey and the economic and political reasons behind them. For this purpose, unit root test with multiple structural breaks is used to determine the structural break dates, using monthly-CDS data from January 2012 to December 2016 that based on 5-year CDS base points.  According to the test results, significant structural breaks are found at the credit risk premium for Turkey in April 2013, September 2014, June 2015 and finally in February 2016. It seems that the economic and political events that took place on these dates were influential in the structural breaks on the CDS.

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Yazar: Mehmet DİNÇ
Kurum: ANADOLU ÜNİVERSİTESİ, SOSYAL BİLİMLER ENSTİTÜSÜ
Ülke: Turkey


Yazar: Ümit YILDIZ (Sorumlu Yazar)
Kurum: BAYBURT ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ
Ülke: Turkey


Yazar: Mustafa KIRCA
Kurum: DÜZCE ÜNİVERSİTESİ, AKÇAKOCA BEY SBF

Bibtex @araştırma makalesi { ulikidince435156, journal = {Uluslararası İktisadi ve İdari İncelemeler Dergisi}, issn = {1307-9832}, eissn = {1307-9859}, address = {Kenan ÇELİK}, year = {2018}, volume = {}, pages = {181 - 192}, doi = {10.18092/ulikidince.435156}, title = {TÜRKİYE KREDİ RİSK PRİMİNDEKİ (CDS) YAPISAL KIRILMALARIN EKONOMETRİK ANALİZİ}, key = {cite}, author = {YILDIZ, Ümit and KIRCA, Mustafa and DİNÇ, Mehmet} }
APA DİNÇ, M , YILDIZ, Ü , KIRCA, M . (2018). TÜRKİYE KREDİ RİSK PRİMİNDEKİ (CDS) YAPISAL KIRILMALARIN EKONOMETRİK ANALİZİ. Uluslararası İktisadi ve İdari İncelemeler Dergisi, (), 181-192. DOI: 10.18092/ulikidince.435156
MLA DİNÇ, M , YILDIZ, Ü , KIRCA, M . "TÜRKİYE KREDİ RİSK PRİMİNDEKİ (CDS) YAPISAL KIRILMALARIN EKONOMETRİK ANALİZİ". Uluslararası İktisadi ve İdari İncelemeler Dergisi (2018): 181-192 <http://dergipark.gov.tr/ulikidince/issue/37268/435156>
Chicago DİNÇ, M , YILDIZ, Ü , KIRCA, M . "TÜRKİYE KREDİ RİSK PRİMİNDEKİ (CDS) YAPISAL KIRILMALARIN EKONOMETRİK ANALİZİ". Uluslararası İktisadi ve İdari İncelemeler Dergisi (2018): 181-192
RIS TY - JOUR T1 - TÜRKİYE KREDİ RİSK PRİMİNDEKİ (CDS) YAPISAL KIRILMALARIN EKONOMETRİK ANALİZİ AU - Mehmet DİNÇ , Ümit YILDIZ , Mustafa KIRCA Y1 - 2018 PY - 2018 N1 - doi: 10.18092/ulikidince.435156 DO - 10.18092/ulikidince.435156 T2 - Uluslararası İktisadi ve İdari İncelemeler Dergisi JF - Journal JO - JOR SP - 181 EP - 192 VL - IS - SN - 1307-9832-1307-9859 M3 - doi: 10.18092/ulikidince.435156 UR - http://dx.doi.org/10.18092/ulikidince.435156 Y2 - 2018 ER -
EndNote %0 Uluslararası İktisadi ve İdari İncelemeler Dergisi TÜRKİYE KREDİ RİSK PRİMİNDEKİ (CDS) YAPISAL KIRILMALARIN EKONOMETRİK ANALİZİ %A Mehmet DİNÇ , Ümit YILDIZ , Mustafa KIRCA %T TÜRKİYE KREDİ RİSK PRİMİNDEKİ (CDS) YAPISAL KIRILMALARIN EKONOMETRİK ANALİZİ %D 2018 %J Uluslararası İktisadi ve İdari İncelemeler Dergisi %P 1307-9832-1307-9859 %V %N %R doi: 10.18092/ulikidince.435156 %U 10.18092/ulikidince.435156
ISNAD DİNÇ, Mehmet , YILDIZ, Ümit , KIRCA, Mustafa . "TÜRKİYE KREDİ RİSK PRİMİNDEKİ (CDS) YAPISAL KIRILMALARIN EKONOMETRİK ANALİZİ". Uluslararası İktisadi ve İdari İncelemeler Dergisi / (Eylül 2018): 181-192. http://dx.doi.org/10.18092/ulikidince.435156