Credit default swap premium volatility and its relationship with selected macroeconomic variables: the case of Turkiye

Mustafa Çevik; Dilek Şahin

Makale detayları

Credit default swap premium volatility and its relationship with selected macroeconomic variables: the case of Turkiye

Yazarlar:

Mustafa Çevik | Dilek Şahin

Yayıncı:

Hitit University

Ana Başlıklar:

Uluslararası Finans | Finansal Ekonomi

Dergi:

Hitit Sosyal Bilimler Dergisi Vol.16 Issue 2, pp.461-482

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001303977

pISSN:

2757-7449

Anahtar kelimeler:

Özet:

 In this study, in the first part of the empirical application, we examined the volatility observed in Turkiyes country risk premium for the 2004-2022 period. Then, we investigated the short- and long-term relationship between the country risk premium and selected macroeconomic variables dollar exchange rate, inflation, interest and BIST-100. In this context, in the study, volatility modeling was done with the ARMA3,3-GJR GARCH 1,1 model and then the ARDL bound test was applied. As a result of volatility modeling, the volatility resistance of shocks to the country risk premium system was found to be low. Again, as a result of volatility modeling, there is no leverage effect in the system according to the Asymmetry coefficient. Considering that the examined period is a long time period, possible structural breaks in the series were examined with the Break in Variance test and the four break dates found were included in the model. The invalidity of the model that included break dates in the variance equation and the low volatility resistance are noteworthy as mutually supporting results. As a result of the ARDL bounds test, a long-term cointegration relationship was determined between country risk premiums and macroeconomic variables used in the model. Considering the short and long term together in the ARDL model, it has been determined that the factor with the highest impact on country risk premiums is the capital market. While shocks originating from the general level of prices cause an increase in the country risk premium in the long term, significant effects from various lags on the country risk premium, one of the independent variables, were determined in the short term. According to the ECM calculated with short-term results in the ARDL model, 26 of the imbalance caused by the shock in the previous period is eliminated in the current period and long-term equilibrium is achieved.

 In this study, in the first part of the empirical application, we examined the volatility observed in Turkiyes country risk premium for the 2004-2022 period. Then, we investigated the short- and long-term relationship between the country risk premium and selected macroeconomic variables dollar exchange rate, inflation, interest and BIST-100. In this context, in the study, volatility modeling was done with the ARMA3,3-GJR GARCH 1,1 model and then the ARDL bound test was applied. As a result of volatility modeling, the volatility resistance of shocks to the country risk premium system was found to be low. Again, as a result of volatility modeling, there is no leverage effect in the system according to the Asymmetry coefficient. Considering that the examined period is a long time period, possible structural breaks in the series were examined with the Break in Variance test and the four break dates found were included in the model. The invalidity of the model that included break dates in the variance equation and the low volatility resistance are noteworthy as mutually supporting results. As a result of the ARDL bounds test, a long-term cointegration relationship was determined between country risk premiums and macroeconomic variables used in the model. Considering the short and long term together in the ARDL model, it has been determined that the factor with the highest impact on country risk premiums is the capital market. While shocks originating from the general level of prices cause an increase in the country risk premium in the long term, significant effects from various lags on the country risk premium, one of the independent variables, were determined in the short term. According to the ECM calculated with short-term results in the ARDL model, 26 of the imbalance caused by the shock in the previous period is eliminated in the current period and long-term equilibrium is achieved.

 In this study, in the first part of the empirical application, we examined the volatility observed in Turkiyes country risk premium for the 2004-2022 period. Then, we investigated the short- and long-term relationship between the country risk premium and selected macroeconomic variables dollar exchange rate, inflation, interest and BIST-100. In this context, in the study, volatility modeling was done with the ARMA3,3-GJR GARCH 1,1 model and then the ARDL bound test was applied. As a result of volatility modeling, the volatility resistance of shocks to the country risk premium system was found to be low. Again, as a result of volatility modeling, there is no leverage effect in the system according to the Asymmetry coefficient. Considering that the examined period is a long time period, possible structural breaks in the series were examined with the Break in Variance test and the four break dates found were included in the model. The invalidity of the model that included break dates in the variance equation and the low volatility resistance are noteworthy as mutually supporting results. As a result of the ARDL bounds test, a long-term cointegration relationship was determined between country risk premiums and macroeconomic variables used in the model. Considering the short and long term together in the ARDL model, it has been determined that the factor with the highest impact on country risk premiums is the capital market. While shocks originating from the general level of prices cause an increase in the country risk premium in the long term, significant effects from various lags on the country risk premium, one of the independent variables, were determined in the short term. According to the ECM calculated with short-term results in the ARDL model, 26 of the imbalance caused by the shock in the previous period is eliminated in the current period and long-term equilibrium is achieved.

 Bu çalışmada uygulamanın ilk kısmında Türkiyenin ülke risk priminde gözlenen volatilite 2004-2022 dönemi için incelenmiştir. Daha sonra ülke risk primi ile seçili makroekonomik değişkenler dolar kuru, enflasyon, faiz ve BİST-100 arasındaki kısa ve uzun dönemli ilişki araştırılmıştır. Bu bağlamda çalışmada ARMA3,3-GJR GARCH 1,1 modeli ile volatilite modellemesi yapılmış ve daha sonra ARDL sınır testi uygulanmıştır. Volatilite modellemesi sonucunda ülke risk primi sistemine gelen şokların volatilite direnci düşük çıkmıştır. Yine volatilite modellemesi sonucunda Asimetri katsayısına göre sistemde kaldıraç etkisi bulunmamaktadır. İncelenen dönemin uzun bir zaman dilimi olduğu göz önünde bulundurularak seride olabilecek yapısal kırılmalar, Varyansta Kırılma testi ile incelenmiş ve bulunan dört kırılma tarihi modele dâhil edilmiştir. Varyans denkleminde kırılma tarihlerinin dâhil edildiği modelin geçersiz çıkması sonucu ile volatilite direncinin düşük çıkması, birbirini destekleyen sonuçlar olarak dikkati çekmektedir. ARDL sınır testi sonucunda ülke risk primleri ile modelde kullanılan makroekonomik değişkenler arasında uzun dönemli eşbütünleşme ilişkisi belirlenmiştir. ARDL modelinde kısa ve uzun dönem birlikte dikkate alındığında ülke risk primleri üzerinde etki gücü en yüksek faktörün sermaye piyasası olduğu belirlenmiştir. Uzun dönemde fiyatlar genel düzeyi kaynaklı şoklar, ülke risk priminde artışa neden olurken kısa dönemde bağımsız değişkenlerden ülke risk primi üzerine çeşitli gecikmelerden anlamlı etkiler belirlenmiştir. ARDL modelinde kısa dönem sonuçları ile hesaplanan ECMye göre bir önceki dönemde oluşan şokun neden olduğu dengesizliğin 26lik kısmı cari dönemde giderilerek uzun dönemli denge konumuna ulaşılmaktadır.

Makale detayları

Credit default swap premium volatility and its relationship with selected macroeconomic variables: the case of Turkiye

Yazarlar:

Mustafa Çevik | Dilek Şahin

Yayıncı:

Hitit University

Ana Başlıklar:

Uluslararası Finans | Finansal Ekonomi

Dergi:

Hitit Sosyal Bilimler Dergisi Vol.16 Issue 2, pp.461-482

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001303977

pISSN:

2757-7449

Credit Default Swap Premium

GJR-GARCH Model

Volatility

ARDL Boundary Test

Cointegration TestKredi Temerrüt Takas Primi

GJR-GARCH Modeli

Volatilite

ARDL Sınır Testi

Eşbütünleşme Testi

Sayı

Makale detayları

Yazarlar: Mustafa Çevik | Dilek Şahin

Yayıncı: Hitit University

Ana Başlıklar: Uluslararası Finans | Finansal Ekonomi

Dergi: Hitit Sosyal Bilimler Dergisi Vol.16 Issue 2, pp.461-482

Belge Tipi: Makale

Yayın Tarihi: 12/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001303977

pISSN: 2757-7449

Sayı

Yazarlar:

Mustafa Çevik | Dilek Şahin

Yayıncı:

Hitit University

Ana Başlıklar:

Uluslararası Finans | Finansal Ekonomi

Dergi:

Hitit Sosyal Bilimler Dergisi Vol.16 Issue 2, pp.461-482

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001303977

pISSN:

2757-7449