DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH

Yıl: 2020 Cilt: 15 Sayı: 1 Sayfa Aralığı: 113 - 132 Metin Dili: İngilizce DOI: 10.17550/akademikincelemeler. 632078 İndeks Tarihi: 13-11-2020

DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH

Öz:
A country’s capacity to pay short-term external debt, which reflects the fiscalstrenght of an economy against adverse shocks, is significantly taken intoconsideration by international investors in their decision making process. It hasbeen seen that Turkey has experienced a gradually increasing private sectorshort-term external debt especially in the last twenty-year period. The objectiveof this study is to investigate the long-run relationship between private sectorshort-term external debt and CDS (credit default swap) premiums in Turkey forthe period of 2000:Q4-2017:Q4 by using asymmetric threshold autoregressive(TAR) and momentum threshold autoregressive (M-TAR) procedures of Endersand Siklos (2001). The results indicate that CDS premiums and private sectorshort-term external debt in Turkey are cointegrated. After finding cointegration,the null hypothesis of symmetric adjustment is tested against the alternative ofasymmetric adjustment and the evidence of symmetric adjustment is found,suggesting that the relationship between the private sector short-term externaldebt and CDS premiums has the same effect in expansion and contractionperiods.
Anahtar Kelime:

Türkiye’de Özel Sektör Kısa Vadeli Dış Borcunun CDS Primleri Üzerindeki Etkisi Nedir? Asimetrik Uyarlama Yaklaşımı Kullanılarak Yapılan Bir Analiz

Öz:
Ülke ekonomisinin olumsuz şoklara karşı mali gücüne işaret eden kısa vadeli dış borcunu ödeme gücü, karar alım süreçlerinde uluslararası yatırımcılar tarafından önemli ölçüde dikkate alınmaktadır. Türkiye’nin, özellikle son yirmi yıllık dönemde, özel sektör kısa vadeli dış borcunun kademeli bir şekilde arttığı görülmektedir. Bu çalışmanın amacı, 2000:Ç4-2017:Ç4 dönemi verilerinden yararlanılarak, özel sektör kısa vadeli dış borcu ile CDS (kredi temerrüt takası) primleri arasındaki uzun dönemli ilişkinin Enders ve Siklos (2001) tarafından geliştirilen TAR ve M-TAR yaklaşımları kullanılarak analiz edilmesidir. Analiz sonuçları, değişkenler arasında kointegrasyonun varlığına; dolayısıyla, CDS primleri ve özel sektör kısa vadeli dış borcu arasında uzun dönemli bir ilişkinin varlığına işaret etmektedir. Kointegrasyonun tespit edilmesini takiben, simetriklik-asimetriklik test edilmiş ve değişkenler arasında ilişkide simetrikliğin varlığına rastlanılmıştır. Bu sonuç, özel sektör kısa vadeli dış borcu ve CDS primleri arasındaki ilişkinin, genişleme ve daralma dönemlerinde aynı etkiye sahip olduğunu göstermektedir.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA Kılcı E, KIRAN B (2020). DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH. , 113 - 132. 10.17550/akademikincelemeler. 632078
Chicago Kılcı Esra N.,KIRAN Burcu DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH. (2020): 113 - 132. 10.17550/akademikincelemeler. 632078
MLA Kılcı Esra N.,KIRAN Burcu DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH. , 2020, ss.113 - 132. 10.17550/akademikincelemeler. 632078
AMA Kılcı E,KIRAN B DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH. . 2020; 113 - 132. 10.17550/akademikincelemeler. 632078
Vancouver Kılcı E,KIRAN B DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH. . 2020; 113 - 132. 10.17550/akademikincelemeler. 632078
IEEE Kılcı E,KIRAN B "DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH." , ss.113 - 132, 2020. 10.17550/akademikincelemeler. 632078
ISNAD Kılcı, Esra N. - KIRAN, Burcu. "DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH". (2020), 113-132. https://doi.org/10.17550/akademikincelemeler. 632078
APA Kılcı E, KIRAN B (2020). DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH. Akademik İncelemeler Dergisi, 15(1), 113 - 132. 10.17550/akademikincelemeler. 632078
Chicago Kılcı Esra N.,KIRAN Burcu DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH. Akademik İncelemeler Dergisi 15, no.1 (2020): 113 - 132. 10.17550/akademikincelemeler. 632078
MLA Kılcı Esra N.,KIRAN Burcu DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH. Akademik İncelemeler Dergisi, vol.15, no.1, 2020, ss.113 - 132. 10.17550/akademikincelemeler. 632078
AMA Kılcı E,KIRAN B DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH. Akademik İncelemeler Dergisi. 2020; 15(1): 113 - 132. 10.17550/akademikincelemeler. 632078
Vancouver Kılcı E,KIRAN B DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH. Akademik İncelemeler Dergisi. 2020; 15(1): 113 - 132. 10.17550/akademikincelemeler. 632078
IEEE Kılcı E,KIRAN B "DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH." Akademik İncelemeler Dergisi, 15, ss.113 - 132, 2020. 10.17550/akademikincelemeler. 632078
ISNAD Kılcı, Esra N. - KIRAN, Burcu. "DO PRIVATE SECTOR SHORT-TERM EXTERNAL DEBT HAVE IMPACT ON CREDIT DEFAULT SWAP PREMIUMS IN TURKEY? AN ANALYSIS WITH ASYMMETRIC THRESHOLD COINTEGRATION APPROACH". Akademik İncelemeler Dergisi 15/1 (2020), 113-132. https://doi.org/10.17550/akademikincelemeler. 632078