The Relationship Between Credit Default Swap (Cds), Central Government External Debt Stock, and the Current Account Deficit in Türkiye

Emrah Noyan; Aylin İdikut Özpençe

Makale detayları

The Relationship Between Credit Default Swap (Cds), Central Government External Debt Stock, and the Current Account Deficit in Türkiye

Yazarlar:

Emrah Noyan | Aylin İdikut Özpençe

Yayıncı:

Mustafa Süleyman ÖZCAN

Ana Başlıklar:

Ekonomi

Dergi:

İnsan ve Toplum Bilimleri Araştırmaları Dergisi Vol.12 Issue 5, pp.2625-2649

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001303166

pISSN:

2147-1185

Anahtar kelimeler:

Özet:

 Debt ratios are often a static indicator of the borrowing situation in an economy. Since the debt burden, interest burden, or ratio to the national income of an economy shows the current situation, it does not provide health information for the future. Dynamic indicators are needed to understand potential debt relationships in the future. CDS spreads, which are based on a swap transaction and gained importance after the global crisis, have recently been used as a dynamic debt ratio. There are basically two reasons for this situation. The first reason is that static analyses are considered insufficient by market participants. The other reason is that CDS spreads clearly reveal the risk cost for the lender. The reason for the current account deficit and external borrowing can be sometimes the increased need for foreign exchange in a country. When considering foreign exchange and interest rate swaps within this framework, the relationship between the current account deficit and CDS spreads becomes more pronounced. This is because, among the reasons for foreign exchange inflows and outflows, there are factors such as foreign trade transactions, external borrowing, and swap transactions. The study analyzed the variables of central government external debt stock, current account deficit, and CDS spreads using wavelet coherence analysis in the R Studio program for the period of 2008:1-2023:3. The main reason for choosing this analysis method is that it obtains findings for the entire time period included in the analysis and increases the data set to very high dimensions with simulation. This characteristic of the analysis enhances the validity level of the findings. The study found no relationship between the central government external debt stock and CDS spreads in Türkiye, except for the two years following the 2008 global financial crisis. Additionally, a positive relationship was identified between the current account deficit and CDS spreads. These findings indicate that in Türkiye, the current account deficit has a greater impact on CDS spreads compared to the components of CDS spreads.

 Debt ratios are often a static indicator of the borrowing situation in an economy. Since the debt burden, interest burden, or ratio to the national income of an economy shows the current situation, it does not provide health information for the future. Dynamic indicators are needed to understand potential debt relationships in the future. CDS spreads, which are based on a swap transaction and gained importance after the global crisis, have recently been used as a dynamic debt ratio. There are basically two reasons for this situation. The first reason is that static analyses are considered insufficient by market participants. The other reason is that CDS spreads clearly reveal the risk cost for the lender. The reason for the current account deficit and external borrowing can be sometimes the increased need for foreign exchange in a country. When considering foreign exchange and interest rate swaps within this framework, the relationship between the current account deficit and CDS spreads becomes more pronounced. This is because, among the reasons for foreign exchange inflows and outflows, there are factors such as foreign trade transactions, external borrowing, and swap transactions. The study analyzed the variables of central government external debt stock, current account deficit, and CDS spreads using wavelet coherence analysis in the R Studio program for the period of 2008:1-2023:3. The main reason for choosing this analysis method is that it obtains findings for the entire time period included in the analysis and increases the data set to very high dimensions with simulation. This characteristic of the analysis enhances the validity level of the findings. The study found no relationship between the central government external debt stock and CDS spreads in Türkiye, except for the two years following the 2008 global financial crisis. Additionally, a positive relationship was identified between the current account deficit and CDS spreads. These findings indicate that in Türkiye, the current account deficit has a greater impact on CDS spreads compared to the components of CDS spreads.

 Debt ratios are often a static indicator of the borrowing situation in an economy. Since the debt burden, interest burden, or ratio to the national income of an economy shows the current situation, it does not provide health information for the future. Dynamic indicators are needed to understand potential debt relationships in the future. CDS spreads, which are based on a swap transaction and gained importance after the global crisis, have recently been used as a dynamic debt ratio. There are basically two reasons for this situation. The first reason is that static analyses are considered insufficient by market participants. The other reason is that CDS spreads clearly reveal the risk cost for the lender. The reason for the current account deficit and external borrowing can be sometimes the increased need for foreign exchange in a country. When considering foreign exchange and interest rate swaps within this framework, the relationship between the current account deficit and CDS spreads becomes more pronounced. This is because, among the reasons for foreign exchange inflows and outflows, there are factors such as foreign trade transactions, external borrowing, and swap transactions. The study analyzed the variables of central government external debt stock, current account deficit, and CDS spreads using wavelet coherence analysis in the R Studio program for the period of 2008:1-2023:3. The main reason for choosing this analysis method is that it obtains findings for the entire time period included in the analysis and increases the data set to very high dimensions with simulation. This characteristic of the analysis enhances the validity level of the findings. The study found no relationship between the central government external debt stock and CDS spreads in Türkiye, except for the two years following the 2008 global financial crisis. Additionally, a positive relationship was identified between the current account deficit and CDS spreads. These findings indicate that in Türkiye, the current account deficit has a greater impact on CDS spreads compared to the components of CDS spreads.

 Borç rasyoları genellikle bir ekonomideki borçlanmaya ilişkin durumun statik bir göstergesidir. Bir ekonominin içinde bulunduğu borç yükü, faiz yükü ya da bunların milli gelire oranı o anki durumu gösterdiği için geleceğe yönelik sağlıklı bir bilgi sunmaz. Gelecekte meydana gelebilecek bir borç ilişkisi için dinamik göstergelere ihtiyaç vardır. Temeli bir takas işlemi olan ve küresel kriz sonrası önem kazanan kredi temerrüt takası primleri son yıllarda dinamik bir borç rasyosu olarak kullanılmaya başlanmıştır. Bu durumun temelde iki sebebi bulunmaktadır. Bunlardan ilki statik analizlerin piyasadaki aktörler tarafından yetersiz bulunmasıdır. Diğeri ise CDS priminin borç veren taraf açısından risk maliyetini net bir şekilde ortaya koymasıdır. Cari açık ve dış borçlanmanın nedeni bazen ülkenin döviz ihtiyacının artmasından kaynaklanabilir. Döviz ve faiz swapları da bu çerçevede ele alındığında cari açık ve CDS primi ilişkisi daha belirgin hale gelmektedir. Çünkü döviz giriş çıkışlarının sebepleri arasında dış ticaret işlemleri ya da dış borçlanma gibi etmenlerin yanı sıra swap işlemleri de yer almaktadır. Çalışmada 2008:1-2023:3 dönemine ilişkin merkezi yönetim dış borç stoku, cari açık ve CDS primi değişkenleri R studio programında wavelet uyum analizi ile analiz edilmiştir. Bu analiz yönteminin tercih edilmesindeki en temel sebep analize dahil edilen zaman diliminin tamamına yönelik bulgu elde etmesi ve simülasyon ile veri kümesini çok yüksek boyutlara çıkarmasıdır. Analizin bu özelliği bulguların geçerlilik düzeyini artırmakla birlikte Türkiyede merkezi yönetim dış borç stoku ile CDS primi arasında 2008 küresel krizi sonrasındaki iki yıl hariç ilişki tespit edilmemiştir. Diğer taraftan cari açık ve CDS primi arasında ise pozitif bir ilişki bulunmuştur. Elde edilen bulgular da göstermektedir ki Türkiyede CDS priminin bileşenlerinden ziyade cari açık, CDS primlerine daha fazla etki etmektedir.

Makale detayları

The Relationship Between Credit Default Swap (Cds), Central Government External Debt Stock, and the Current Account Deficit in Türkiye

Yazarlar:

Emrah Noyan | Aylin İdikut Özpençe

Yayıncı:

Mustafa Süleyman ÖZCAN

Ana Başlıklar:

Ekonomi

Dergi:

İnsan ve Toplum Bilimleri Araştırmaları Dergisi Vol.12 Issue 5, pp.2625-2649

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001303166

pISSN:

2147-1185

Swap Contracts

Credit Default Swap (CDS)

Central Government External Debt Stock

Current Account Deficit

Wavelet Coherence AnalysisSwap Sözleşmeleri

Kredi Temerrüt Takası (CDS)

Merkezi Yönetim Dış Borç Miktarı

Cari Açık

Wavelet Coherence Analizi

Sayı

Makale detayları

Yazarlar: Emrah Noyan | Aylin İdikut Özpençe

Yayıncı: Mustafa Süleyman ÖZCAN

Ana Başlıklar: Ekonomi

Dergi: İnsan ve Toplum Bilimleri Araştırmaları Dergisi Vol.12 Issue 5, pp.2625-2649

Belge Tipi: Makale

Yayın Tarihi: 12/2023

Belge Dili: İngilizce

Document ID (Org No.): 2001303166

pISSN: 2147-1185

Sayı

Yazarlar:

Emrah Noyan | Aylin İdikut Özpençe

Yayıncı:

Mustafa Süleyman ÖZCAN

Ana Başlıklar:

Ekonomi

Dergi:

İnsan ve Toplum Bilimleri Araştırmaları Dergisi Vol.12 Issue 5, pp.2625-2649

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001303166

pISSN:

2147-1185