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터키 소버린 신용부도스왑(CDS) 프리미엄 결정요인: 리스크 전가효과

Determinants of Sovereign Credit Default Swap Premium in Turkey: Pass-through Effect of Risks

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주제분류종교학

초록

The guiding research question of this study is to discover whether sovereign credit default swap(CDS) premium for Turkey is determined by market risk, regional risk and bank risk. The dependent variable is sovereign credit default swap premium for Turkey with the maturity of 1yr, 2yr, 3yr, 4yr, 5yr, 7yr, 10yr, 20yr and 30yr. Independent variables are the implied volatility of equity options, interest swap rate, Euro STOXX 50, Portugal sovereign CDS premium, Greece sovereign CDS premium, Akbank CDS premium. The baseline model is controlled by the time lagged sovereign CDS premium(t-1) and dollar index. The research time frame covers 3. March 2008 to 25. December 2015. The main findings are twofold: market and regional risks show statistically significant relationship with sovereign CDS premium, and there is no statistical correlation between bank risk and sovereign CDS premium in Turkey. These findings reinforce the view that the main determinants of CDS premium are the implied volatility in markets and interest rate.

Abstract

The guiding research question of this study is to discover whether sovereign credit default swap(CDS) premium for Turkey is determined by market risk, regional risk and bank risk. The dependent variable is sovereign credit default swap premium for Turkey with the maturity of 1yr, 2yr, 3yr, 4yr, 5yr, 7yr, 10yr, 20yr and 30yr. Independent variables are the implied volatility of equity options, interest swap rate, Euro STOXX 50, Portugal sovereign CDS premium, Greece sovereign CDS premium, Akbank CDS premium. The baseline model is controlled by the time lagged sovereign CDS premium(t-1) and dollar index. The research time frame covers 3. March 2008 to 25. December 2015. The main findings are twofold: market and regional risks show statistically significant relationship with sovereign CDS premium, and there is no statistical correlation between bank risk and sovereign CDS premium in Turkey. These findings reinforce the view that the main determinants of CDS premium are the implied volatility in markets and interest rate.

참고문헌 (36)

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