CDS Risk Primleri ile Dış Borçlanma İlişkisi: Simetrik ve Asimetrik Nedensellik Analizi
ÖZET
This study examines relationship between Turkey’s public and private sector external debt and credit default swaps (CDS) for the period 2000Q4-2019Q1. The symmetric causality relationship between public and private sector external debt and CDS is analyzed by the Hacker and Hatemi-J (2006) causality test. The relationship between the positive and negative components of the variables is examined through the Hatemi-J (2012) asymmetric causality test. While the empirical findings of the study reveal the existence of a bidirectional causality relationship between public external debt and CDS risk premium, there was no causal relationship between private sector external debt and CDS risk premium. It has been determined that a positive shock in public external debt is a cause of positive and negative shocks in CDS premiums, but a negative shock in public external debt is not a cause of CDS premium components. While it is determined that positive and negative shocks in private sector external debt are a cause of positive shocks in CDS risk premium, it is concluded that positive shock in CDS risk premiums is a cause of negative shock in private sector external debt.
Yazarlar
Ömer Akkuş
Dergi
Uluslararası İktisadi ve İdari İncelemeler Dergisi
Google Akademik makaleleri
Ö Akkuş – Uluslararası İktisadi ve İdari İncelemeler Dergisi, 2021