SERDAR VARLIK
(, Hitit Üniversitesi İİBF İktisat Bölümü,)
NİMET VARLIK
(Kırıkkale Üniversitesi İİBF İktisat Bölümü,)
Yıl: 2017Cilt: 54Sayı: 632ISSN: 1307-7112 / 2667-6907Sayfa Aralığı: 9 - 18Türkçe

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Türkiye'nin CDS Priminin Oynaklığı
Ülke risk priminin önemli bir ölçütü olarak kabul edilen kredi temerrüt takası (Credit Default Swap; CDS) primleri, gelişmekte olan piyasaların finansal koşulları hakkında bilgi vermekte, kredi riskini dengelemek için bir güvence sağlamakta ve para politikasının başarısını etkilemektedir. CDS primlerindeki artış ülkenin kredi değerliliğini azaltmakta ve borçlanma maliyetlerini yükseltmektedir. Küresel finansal piyasalarda CDS'lerin işlem hacmindeki artışa paralel olarak iktisat yazınında CDS'lere verilen önemin arttığı görülmektedir. Bu çalışmanın amacı 29 Ocak 2008 - 14 Ekim 2016 dönemi için iş günü verilerini kullanarak Türkiye'nin beş yıllık CDS risk priminin oynaklığını incelemektir. Çalışmada uygun oynaklık modeli, GARCH-M (1,1) olarak belirlenmiştir. Ampirik bulgular: (i) tahmin edilen GARCH-M (1,1) modelinin istikrarlı olduğunu; (ii) CDS şoklarının kalıcılık etkisinin azaldığını; (iii) CDS serisinde güçlü bir GARCH etkisinin olduğunu, yani CDS oynaklığı üzerinde uzun hafıza etkisinin baskın olduğunu; (iv) CDS'lerin oynaklığındaki artışın CDS'lerin ortalama getirilerini etkilediğini ve ayrıca (v) VIX endeksi ve ABD'nin on yıllık Hazine tahvil faizi gibi dışsal baskınlık problemini yansıtan değişkenlerin CDS'lerin oynaklığını önemli ölçüde artırdığını göstermektedir.
Sosyal > İşletme Finans
Sosyal > İktisat
DergiAraştırma MakalesiErişime Açık
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