DIŞ BORÇLARIN ÜLKE CDS PRİMLERİ ÜZERİNDEKİ ETKİSİNİN İNCELENMESİ: TÜRKİYE ÖRNEĞİ

Abstract

Sovereign credit default spreads have been commonly used as an alternative credit risk measurement. Hence, identification of the determinants of sovereign CDS premiums has great importance in the macro-finance literature. Of the macro-economic determinants related to sovereign CDS premiums, foreign debt to GDP is one of the major solvency indicators that is analyzed in most empirical studies investigating the determinants of sovereign credit default spreads since high foreign debt to GDP ratio is generally accepted as an indicator of increasing financial fragility. In recent years, the rising trend in foreign debt to GDP ratio has been attracting attention in Turkey. This study investigates the relationship between foreign debt and sovereign CDS premiums and attempts to test the impact of foreign debt to GDP ratio on sovereign CDS premiums in Turkey for the period between 2000:Q1 and 2018:Q2. In order to examine the relationship, Fourier SHIN Cointegration Test and Fourier Granger Causality Test are employed by using quarterly data related to the variables obtained from the Ministry of Treasury and Finance and Bloomberg. The results show that there is a positive relationship between the variables.