Publication: Effects of credit default swap spread on the real economy : the case of Turkey
Abstract
Kredi Temerrüt Swapı (CDS), tahvil veya benzeri bir yatırımı elinde bulunduran yatırımcının vadesinde ödeme yapmama riskini azaltan bir finansal üründür. CDS her ne kadar bir sigorta işlemi gibi algılansa da temelde bir finansal üründür. Bir başka deyişle borçlu şirketin iflası veya iflas başvurusunda bulunması durumunda alacaklı firmanın haklarını garanti altına alan bir finansal araçtır. Ekonomiye ilişkin endişeler artmaya devam ederken CDS, küresel ekonomide önemli tedbir ve harcamaları etkileyen önemli bir gösterge olarak ortaya çıktı. Reel sektörde faaliyet gösteren Türk işletmelerinin CDS primleri, ödeme kapasiteleri ve finansal güçleri arasındaki bağlantıyı araştırmak amacıyla zaman serisi modeli ve nedensellikten yararlanılmıştır. 2009 yılında başlayıp 2022 yılı sonuna veya sonrasına kadar devam eden seçilen zaman diliminde toplam 168 ay yer almaktadır. Analiz sırasında CDS, karşılıksız çek, işsizlik, tüketici fiyat endeksi, takipteki krediler, ABD Doları döviz kuru, Türkiye Cumhuriyet Merkez Bankası (TCMB) faiz oranı ve borsa değişkenlerinden yararlanılmıştır. Araştırmanın bulguları CDS ile Türk ticari işletmelerinin genel finansal gücü arasında istatistiksel olarak anlamlı bir nedenselliğin bulunmadığını göstermektedir. Bu çalışma, Türkiye'deki CDS ile reel sektördeki işletmelerin finansal sağlamlığı arasındaki ilişkiyi analiz edecektir. Ayrıca CDS' nin reel sektörün dinamiklerini etkileyen makroekonomik veriler üzerindeki etkisi de analiz edilecektir. CDS primi ile değişkenler arasındaki ilişki zaman serisi kullanılarak analiz edilecektir. Çalışmanın temel amacı, belirlenen primlerdeki değişimlerin reel sektörün borç ödeme gücü üzerindeki etkisini incelemektir. Çalışmanın 4 motivasyonu bulunmaktadır. İlki, CDS ile Türkiye'nin ekonomik göstergeleri arasındaki ilişkinin analiz edilmesidir. CDS fiyatlaması, Türkiye'nin ekonomik krizi için bir gösterge midir sorusu ikinci motivasyondur. Beklenen Mevcut Kredi Kaybı (CECL), finansal kuruluşların kredi riskini daha verimli bir şekilde değerlendirme, kontrol etme ve açıklama kapasitelerini artırdığı için CDS’in reel sektör şirketleri üzerindeki etkisini incelemek için çekici bir neden sunar. Son olarak, CDS’in Türk reel sektör şirketlerinin finansal gücüne olumsuz bir etkisi olup olmadığını gözlemlemektir.
The Credit Default Swap (CDS) is a financial product that mitigates the risk of non-payment to an investor holding a bond or similar investment at the maturity date. While the CDS may be perceived as an insurance transaction, it is fundamentally a financial product. In other terms, it is a financial instru-ment that guarantees creditors’ rights in case of a debtor company's insolvency or bankruptcy filing. As concerns about the economy continue to grow, the CDS has emerged as an essential indica-tor that has an impact on significant measures and expenditures in the global economy. The time series model and causality are utilized to investigate the connection between CDS, the payment capacity and the financial strength of Turkish real sector companies. A total of 168 months is included in the time period that has been chosen, which begins in 2009 and continues until the end of 2022 or later. During the analysis, the following variables were utilized: CDS, bounced cheques, unemployment, consumer price index, non-performing loans, USD FX rate, Central Bank of Turkey (CBRT) interest rate and stock exchange. The findings of the study indicate that there was no statistically significant causation between CDS and the overall financial strength of Turkish enterprises. This study analyses the correlation between Turkey's CDS and the financial robustness of en-terprises in the real sector. Furthermore, the impact of CDS on macroeconomic data, influencing dy-namics of the real sector, will be analysed. The relationship between CDS and variables will be ana-lysed using time series. The primary objective of the study is to examine the impact of variances in specified premiums on the solvency of the real sector. There are 4 motivations; the first is analysing the relation between CDS and economic key performance indicators (KPI). “Is CDS an indicator of Turkey’s economic crisis?” question is the sec-ond motivation. Current Expected Credit Loss (CECL) serves as an attractive reason to examine the influence of CDS on companies in the real sector, as it improves financial institutions' capacity to evaluate, control, and disclose credit risk with efficiency. Finally, observing if there is a negative im-pact of CDS on Turkish real sector companies’ solvency.
The Credit Default Swap (CDS) is a financial product that mitigates the risk of non-payment to an investor holding a bond or similar investment at the maturity date. While the CDS may be perceived as an insurance transaction, it is fundamentally a financial product. In other terms, it is a financial instru-ment that guarantees creditors’ rights in case of a debtor company's insolvency or bankruptcy filing. As concerns about the economy continue to grow, the CDS has emerged as an essential indica-tor that has an impact on significant measures and expenditures in the global economy. The time series model and causality are utilized to investigate the connection between CDS, the payment capacity and the financial strength of Turkish real sector companies. A total of 168 months is included in the time period that has been chosen, which begins in 2009 and continues until the end of 2022 or later. During the analysis, the following variables were utilized: CDS, bounced cheques, unemployment, consumer price index, non-performing loans, USD FX rate, Central Bank of Turkey (CBRT) interest rate and stock exchange. The findings of the study indicate that there was no statistically significant causation between CDS and the overall financial strength of Turkish enterprises. This study analyses the correlation between Turkey's CDS and the financial robustness of en-terprises in the real sector. Furthermore, the impact of CDS on macroeconomic data, influencing dy-namics of the real sector, will be analysed. The relationship between CDS and variables will be ana-lysed using time series. The primary objective of the study is to examine the impact of variances in specified premiums on the solvency of the real sector. There are 4 motivations; the first is analysing the relation between CDS and economic key performance indicators (KPI). “Is CDS an indicator of Turkey’s economic crisis?” question is the sec-ond motivation. Current Expected Credit Loss (CECL) serves as an attractive reason to examine the influence of CDS on companies in the real sector, as it improves financial institutions' capacity to evaluate, control, and disclose credit risk with efficiency. Finally, observing if there is a negative im-pact of CDS on Turkish real sector companies’ solvency.