CDS Primleri ile Portföy Yatırımları Arasındaki İlişkinin Değerlendirilmesi: Türkiye Örneği

Abstract

CDS, which are tools used for hedging, speculation or arbitrage purposes, can be issued not only by institutions such as banks but also by countries. The probability of bankruptcy of a state or institutions affects CDS spread. Therefore, it is crucial to determine the distribution of the effects on CDS spreads variable by years. In this study, the relationship between CDS spreads for Turkey and portfolio investments is investigated through time series analysis, using the quarterly data from 2010 to 2018. For this purpose, firstly, Augmented Dickey Fuller (ADF) and Kwiatkowski-Philips-Schmidt-Shin (KPSS) unit root tests were performed to determine the stationarity of the series used in the study. Then, Johansen Cointegration Test was performed to determine if there is a long run relationship between the series. As there is a cointegration of the variable, the findings from Fully Modified Ordinary Least Squares (FMOLS) show that there is a negative relationship between portfolio investments and CDS spreads. Furthermore, the short run relationship between the variables was investigated using Granger Causality Test and it was determined that portfolio investments have an effect upon CDS spreads in the short run.