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Ülke Risk Priminin Belirleyicisi Olarak Merkez Bankası Kredibilitesi: Türkiye’den Kanıtlar

Year 2023, Volume: 8 Issue: 2, 128 - 155, 30.12.2023

Serdar Varlık Mehmet Öbekcan

https://doi.org/10.25229/beta.1303448
Cited By: 1

Abstract

Bu çalışmada Türkiye Cumhuriyet Merkez Bankası’nın (TCMB) kredibilitesinin Türkiye’nin CDS priminin bir belirleyicisi olup olmadığı Ocak 2008-Aralık 2022 dönemi için incelenmektedir. Çalışmanın bulguları Türkiye’nin CDS primi ile TCMB’nin kredibilitesi arasında uzun dönemli bir ilişki olduğunu göstermektedir. Merkez bankası kredibilitesinde meydana gelen artış CDS primini düşürürken; döviz kurunun değişim oranında ve enflasyon oranında meydana gelen artışlar ise CDS primini yükseltmektedir. Ayrıca hata düzeltme terimi, CDS primindeki bir sapmanın uzun dönem denge değerine hızla uyarlandığını göstermektedir. Dolayısıyla merkez bankasının enflasyon beklentilerini yönetmedeki başarısının ülke risk primini düşürmesi, para politikasının kurumsal çerçevesinin bağımsızlık, şeffaflık ve hesap verebilirlik ilkeleriyle iyileştirilmesini bir politika önerisi olarak ortaya koymaktadır.

Keywords

CDS Primi Merkez Bankası Kredibilitesi ARDL

Supporting Institution

Destekleyen Kurum Yok

Project Number

Proje Değil

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Central Bank Credibility as A Determinant of Sovereign Risk Premium: Evidence from Turkey

Year 2023, Volume: 8 Issue: 2, 128 - 155, 30.12.2023

Serdar Varlık Mehmet Öbekcan

https://doi.org/10.25229/beta.1303448
Cited By: 1

Abstract

In this study, whether the credibility of the Central Bank of the Republic of Turkey (CBRT) is a determinant of the CDS premium of Turkey or not is examined for the period of January 2008-December 2022. The findings of the study suggest that there is a long-term relationship between Turkey’s CDS premium and the CBRT’s credibility. Increase in the credibility of the central bank reduces the CDS premium, while increases in the rate of change of exchange rate and inflation rate increase the CDS premium. In addition, the error correction term indicates that a deviation in the CDS premium is quickly adjusted to the long-term equilibrium value. Therefore, the fact that the central bank’s success in managing inflation expectations reduces the sovereign risk premium reveals the improvement of the institutional framework of monetary policy with the principles of independence, transparency and accountability as a policy recommendation.

Keywords

CDS Premium Central Bank Credibility ARDL

Project Number

Proje Değil

References

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  • Abioğlu, V., Özgür, M. I., & Soyu, E. (2021). İktisadi, finansal ve politik risklerin Türkiye CDS primine etkileri. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 67, 238-251.
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  • Akkuş, H. T., Sakarya, Ş., & Tüzün, O. (2018). Tahvil faizleri ile CDS primleri arasındaki oynaklık yayılım etkilerinin belirlenmesi. Bankacılar Dergisi, 26(104), 41-54.
  • Akkuş, Ö. (2021). CDS risk primleri ile dış borçlanma ilişkisi: simetrik ve asimetrik nedensellik analizi. Uluslararası İktisadi ve İdari İncelemeler Dergisi, 31, 215-228.
  • Alexander, C., & Kaeck, A. (2008). Regime dependent determinants of credit default swap spreads. Journal of Banking & Finance, 32(6), 1008-1021.
  • Alptürk Y., Sezal, L., & Gürsoy, S. (2021). Türkiye’de jeopolitik risk ile CDS primleri arasındaki ilişki: asimetrik nedensellik analizi. Çukurova Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 25(1), 107-126.
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Details

Primary Language Turkish
Subjects Monetary Policy, Business Administration
Journal Section Articles
Authors

Serdar Varlık 0000-0002-8448-9290

Mehmet Öbekcan This is me 0000-0001-5713-2811

Project Number Proje Değil
Early Pub Date July 10, 2023
Publication Date December 30, 2023
Submission Date May 27, 2023
Acceptance Date July 4, 2023
Published in Issue Year 2023 Volume: 8 Issue: 2

Cite

APA Varlık, S., & Öbekcan, M. (2023). Ülke Risk Priminin Belirleyicisi Olarak Merkez Bankası Kredibilitesi: Türkiye’den Kanıtlar. Bulletin of Economic Theory and Analysis, 8(2), 128-155. https://doi.org/10.25229/beta.1303448

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Merkez Bankası Kredibilitesi ve Makroekonomik Performans -Türkiye’den Kanıtlar-
Politik Ekonomik Kuram
https://doi.org/10.30586/pek.1411319
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