The Effect of Financial Stress Index on Country CDS Premiums

Ercüment Doğru

Makale detayları

The Effect of Financial Stress Index on Country CDS Premiums

Yazarlar:

Ercüment Doğru

Yayıncı:

Burdur Mehmet Akif Ersoy University

Ana Başlıklar:

Finansal Piyasalar ve Kurumlar

Dergi:

Mehmet Akif Ersoy Üniversitesi Uygulamalı Bilimler Dergisi Vol.9 Issue 1, pp.75-91

Belge Tipi:

Makale

Yayın Tarihi:

4/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001344279

pISSN:

2602-425X

Anahtar kelimeler:

Özet:

 The financial stress index is an indicator that measures the level of stress in the financial system by assessing certain factors such as market uncertainty, liquidity shortages, interest rates and credit risks. Due to the increasing risks in financial markets, financial assets and markets may affect each other, leading to risk spillovers and destabilization. In this study, we use the financial stress index to measure the level of stress in the financial system of 11 developed and 11 emerging economies Germany, Brazil, China, Indonesia, France, South Africa, South Korea, UK, Italy, Japan, Turkey. The relationship between CDS premiums is analyzed by Toda-Yamamoto Causality test using weekly closing data between 29122008 and 10012025. The findings of the analysis reveal that the financial stress index has a significant effect on the CDS premiums of Brazil, South Africa and Turkey. There is a reciprocal causality relationship between the financial stress index and Brazil and South Africa CDS premiums, while there is a unidirectional causality relationship from the financial stress index to Turkeys CDS premiums. Moreover, it is concluded that CDS premiums of China, Indonesia, South Korea, the UK and Japan have an impact on financial stress. On the other hand, no significant causality relationship is found in developed countries such as Germany, France and Italy. These findings suggest that the impact of financial stress on investor perception and economic stability is more pronounced in developing countries. The study suggests that especially developing countries should develop policies that increase investor confidence in order to ensure their financial stability.

 The financial stress index is an indicator that measures the level of stress in the financial system by assessing certain factors such as market uncertainty, liquidity shortages, interest rates and credit risks. Due to the increasing risks in financial markets, financial assets and markets may affect each other, leading to risk spillovers and destabilization. In this study, we use the financial stress index to measure the level of stress in the financial system of 11 developed and 11 emerging economies Germany, Brazil, China, Indonesia, France, South Africa, South Korea, UK, Italy, Japan, Turkey. The relationship between CDS premiums is analyzed by Toda-Yamamoto Causality test using weekly closing data between 29122008 and 10012025. The findings of the analysis reveal that the financial stress index has a significant effect on the CDS premiums of Brazil, South Africa and Turkey. There is a reciprocal causality relationship between the financial stress index and Brazil and South Africa CDS premiums, while there is a unidirectional causality relationship from the financial stress index to Turkeys CDS premiums. Moreover, it is concluded that CDS premiums of China, Indonesia, South Korea, the UK and Japan have an impact on financial stress. On the other hand, no significant causality relationship is found in developed countries such as Germany, France and Italy. These findings suggest that the impact of financial stress on investor perception and economic stability is more pronounced in developing countries. The study suggests that especially developing countries should develop policies that increase investor confidence in order to ensure their financial stability.

 The financial stress index is an indicator that measures the level of stress in the financial system by assessing certain factors such as market uncertainty, liquidity shortages, interest rates and credit risks. Due to the increasing risks in financial markets, financial assets and markets may affect each other, leading to risk spillovers and destabilization. In this study, we use the financial stress index to measure the level of stress in the financial system of 11 developed and 11 emerging economies Germany, Brazil, China, Indonesia, France, South Africa, South Korea, UK, Italy, Japan, Turkey. The relationship between CDS premiums is analyzed by Toda-Yamamoto Causality test using weekly closing data between 29122008 and 10012025. The findings of the analysis reveal that the financial stress index has a significant effect on the CDS premiums of Brazil, South Africa and Turkey. There is a reciprocal causality relationship between the financial stress index and Brazil and South Africa CDS premiums, while there is a unidirectional causality relationship from the financial stress index to Turkeys CDS premiums. Moreover, it is concluded that CDS premiums of China, Indonesia, South Korea, the UK and Japan have an impact on financial stress. On the other hand, no significant causality relationship is found in developed countries such as Germany, France and Italy. These findings suggest that the impact of financial stress on investor perception and economic stability is more pronounced in developing countries. The study suggests that especially developing countries should develop policies that increase investor confidence in order to ensure their financial stability.

 Finansal stres endeksi; piyasadaki belirsizlik, likidite sıkıntısı, faiz oranları ve kredi riskleri gibi bazı unsurları değerlendirerek finansal sistemdeki stres seviyesini ölçen bir göstergedir. Finansal piyasalarda artan risklere bağlı olarak finansal varlıklar ve piyasalar birbirlerini etkileyerek riskin yayılmasına ve istikrarın bozulmasına neden olabilmektedir. Bu çalışmada, finansal stres endeksi ile gelişmiş ve gelişmekte olan 11 ülkenin Almanya, Brezilya, Çin, Endonezya, Fransa, Güney Afrika, Güney Kore, İngiltere, İtalya, Japonya, Türkiye CDS primleri arasındaki ilişkiler 29122008 ile 10012025 tarihleri arası haftalık kapanış verileri kullanılarak Toda-Yamamoto Nedensellik testi ile incelenmiştir. Analiz sonucunda elde edilen bulgular, finansal stres endeksinin Brezilya, Güney Afrika ve Türkiyenin CDS primleri üzerinde anlamlı bir etkisinin olduğunu ortaya koymuştur. Finansal stres endeksi ile Brezilya ve Güney Afrika CDS primleri arasında karşılıklı nedensellik ilişkisi olduğu, finansal stres endeksinden Türkiye CDS primlerine doğru ise tek yönlü nedensellik ilişkisi olduğu belirlenmiştir. Ayrıca, Çin, Endonezya, Güney Kore, İngiltere ve Japonyanın CDS primlerinin finansal stres üzerinde etkili olduğu sonucuna varılmıştır. Almanya, Fransa ve İtalya gibi gelişmiş ülkelerde ise anlamlı bir nedensellik ilişkisi bulunamamıştır. Bu bulgular, gelişmekte olan ülkelerde finansal stresin yatırımcı algısı ve ekonomik istikrar üzerindeki etkisinin daha belirgin olduğunu göstermektedir. Çalışma, özellikle gelişmekte olan ülkelerin finansal istikrarlarını sağlamak için yatırımcı güvenini artırıcı politikalar geliştirmeleri gerektiği konusunda çıkarımlar sunmaktadır.

Makale detayları

The Effect of Financial Stress Index on Country CDS Premiums

Yazarlar:

Ercüment Doğru

Yayıncı:

Burdur Mehmet Akif Ersoy University

Ana Başlıklar:

Finansal Piyasalar ve Kurumlar

Dergi:

Mehmet Akif Ersoy Üniversitesi Uygulamalı Bilimler Dergisi Vol.9 Issue 1, pp.75-91

Belge Tipi:

Makale

Yayın Tarihi:

4/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001344279

pISSN:

2602-425X

Financial Stress

CDS Premium

Toda-Yamamoto Causality TestFinansal Stres

CDS Primi

Toda-Yamamoto Nedensellik Testi

Sayı

Makale detayları

The Effect of Financial Stress Index on Country CDS Premiums

Yazarlar: Ercüment Doğru

Yayıncı: Burdur Mehmet Akif Ersoy University

Ana Başlıklar: Finansal Piyasalar ve Kurumlar

Dergi: Mehmet Akif Ersoy Üniversitesi Uygulamalı Bilimler Dergisi Vol.9 Issue 1, pp.75-91

Belge Tipi: Makale

Yayın Tarihi: 4/2025

Belge Dili: Türkçe

Document ID (Org No.): 2001344279

pISSN: 2602-425X

Financial Stress

CDS Premium

Toda-Yamamoto Causality TestFinansal Stres

CDS Primi

Toda-Yamamoto Nedensellik Testi

Sayı

Yazarlar:

Ercüment Doğru

Yayıncı:

Burdur Mehmet Akif Ersoy University

Ana Başlıklar:

Finansal Piyasalar ve Kurumlar

Dergi:

Mehmet Akif Ersoy Üniversitesi Uygulamalı Bilimler Dergisi Vol.9 Issue 1, pp.75-91

Belge Tipi:

Makale

Yayın Tarihi:

4/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001344279

pISSN:

2602-425X