Cilt 9 Sayı 2 (2021): Business & Management Studies: An International Journal
Makaleler

Makrekonomik koşullar ve küresel risk faktörü ülke risk primlerini nasıl etkiler? Türkiye’den yeni kanıtlar

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  • Sinem Pınar Gürel
Sinem Pınar Gürel
Öğr. Üyesi, Pamukkale Üniversitesi
DOI: https://doi.org/10.15295/bmij.v9i2.1800

Yayınlanmış 2021-06-25

Anahtar Kelimeler

  • CDS Spreads, Macroeconomic Factors, Structural VAR
  • Ülke kredi risk primi, Makroekonomik Faktörler, Yapısal VAR

Nasıl Atıf Yapılır

Gürel, S. P. (2021). Makrekonomik koşullar ve küresel risk faktörü ülke risk primlerini nasıl etkiler? Türkiye’den yeni kanıtlar. Business & Management Studies: An International Journal, 9(2), 547–560. https://doi.org/10.15295/bmij.v9i2.1800

Telif Hakkı (c) 2021 Sinem Pınar Gürel

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Özet

Çalışmanın amacı, Türkiye’nin ülke risk primini (CDS) belirlemede, ülkeye özgü makroekonomik değişkenlerin ve küresel risk faktörünün araştırmaktır. Bu amaçla, sanayi üretim endeksi, tüketici fiyatları endeksi, nominal döviz kuru, politika faiz oranı ve global risk iştahının bir ölçümü olarak VIX oynaklık indeksinin ülke CDS primi üzerndeki etkileri SVAR metodolojisi kullanılarak 2011:01 ve 2020:09 dönemleri için araştırılmıştır. Elde edilen sonuçlar, nominal döviz kurunun CDS primini belirleyen başlıca değişken olduğunu ortaya koymaktadır. Özellikle 2018 döneminde CDS primlerindeki yüksek artışın en büyük kaynağını döviz kurundaki artışlar oluşturmaktadır. Nominal kur artışları, ülkenin CDS primini enflasyon oranındaki artışlardan daha fazla artırmaktadır. Etki tepki fonksiyonlarına göre; ülkenin CDS primini düşürmekte, ekonomik büyümenin, hisse senedi piyasasındaki getirilerden daha etkili olduğu bulunmuştur. Ayrıca, küresel risk faktörünün ülkenin CDS primindeki artışlarda önemli bir rol oynamadığı görülmektedir.

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