Kredi Temerrüt Swapları İle Vade Farklarından Kaynaklanan Risk Primleri Arasındaki İlişki: Türkiye Üzerine Bir Uygulama(The Relationship between Credit Default Swaps and Risk Premiums due to Maturity Differences: A Turkish Case)

Abstract

In this study, the relationship between Credit Default Swaps (CDSs) as a risk indicator and risk premiums due to maturity differences in Turkey were analyzed. In this framework, we tried to reveal the causality between the CDSs and the estimated risk premiums. In the analysis, as the risk indicator of borrowing instruments, 5-year CDS premiums were used as dependent variable while risk premiums between two-month and three-month bond interest rates derived from Campbell and Shiller (1987) approach were used as independent variables. The reason for this situation is that the two-and three-month maturity debt bond is the closest indicator related to liquidity. Thus, the relationship between liquidity risk and CDS, a financial risk indicator in international markets, has been investigated. In this study, the monthly data for the period of May 2001 - March 2017 and the “rolling window causality approach” developed by Hill (2007) was used. The results of this study have shown that there existed relationship between risk premiums and CDSs almost entirely in 2010 and 2016, while there was almost no relationship in other periods. This implies that CDSs do not always show risk premiums.

Keywords

• Credit Default Swaps
• Risk Premiums
• Rolling Window Causality Approach