Econometric Analysis On Risk Premium (Cds), Market Indicators And Period Of Elections In Turkey
Türkiye’de Risk Primi (CDS), Piyasa Göstergeleri Ve Seçim Dönemlerine İlişkin Ekonometrik Analiz

Author : Gülbahar ATASEVER
Number of pages : 217-226

Abstract

As a credit derivative the CDS (Credit Default Swap), is a contract to transfer the risk of non-repayment of the loan to a specific corporation/company for a fee. The CDS premium is determined on a daily basis according to the economic and politic risk levels of countries and is considered to be more reliable than credit rating agencies because it reflects the market supply and demand dynamics well. The increase in the CDS premium implies an increase in the risks of actors in the financial market. Fort this reason, investors follow the CDS premium of the relevant country before investing. In this study, using weekly data for 2010:6-2016:12 period, it was investigated whether there is a relationship between CDS premium, central bank reserves, interest rate, dollar rate, bond interest rate, BIST100 closing prices and election periods in Turkey with VAR Analysis and Johansen Cointegration Test. According to the results, CDS variable has a low level of dollar exchange rate and bond interest rate in the short term. The central bank reserve and the stock market closing index are affected at a lower level than the CDS Premium. There is a long-run relationship between the variables. In addition, among all variables, only the CDS is affected by the changeover election periods.

Keywords

Risk Premium (CDS), VAR Analysis, Johansen Cointegration Test.

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