Relationship Between Credit Default Swaps (CDS) and Government Bonds: A Study on Turkey

Abstract

The purpose of the study is to examine the relationship between Turkey's dollar-denominated Eurobonds and CDS contracts that are related to these Eurobonds and also to present the price discovery process. First, ADF and Lee-Strazicich unit root tests were applied to variables regarding daily data for the period 02.01.2014-31.12.2019. With finding structural breaks after unit root tests, causality relations between variables were examined by the Toda-Yamamoto causality method. There is a very strong one-way causality relationship from CDS premiums to bond premiums at the 5% significance level and a causality relation from bond premiums to CDS premiums at the 10% significance level. This situation shows that the credit risk premium pricing is realized primarily in CDS contracts.

The Relationship Between Consumer Lending and Economic Growth in Terms of Credit Impulse and Credit Variables

“…Gerçek hayattaki verilerde çoğunlukla yapısal kırılmaların olduğu göz önünde bulundurulduğunda Fourier Granger nedensellik testinin sonuçları önem kazanmaktadır. Toda-Yamamoto nedensellik analizi ise seriler arasındaki ilişkilerin, durağanlık seviyeleri ya da eşbütünleşik olup olmadıklarına dair ön bilgilere ihtiyaç duymayan bir modeldir (Mazak ve Özkul, 2020). Toda-Yamamoto nedensellik analizi geleneksel nedensellik analizi olarak sıkça kullanılan VAR ve VECM yöntemlerinden ayrışmaktadır.…”

Kredi Derecelendirme Kuruluşları, Kredi Notları ve Kredi Temerrüt Swapları Üzerine Bir Değerlendirme

“…By investing, the party undertaking the risk actually earns a return equal to the CDS premium (Özpınar et al, 2018). The CDS premium is indexed to five-year US treasury bonds, which are defined as risk-free (Mazak & Özkul, 2020). Table 5 shows the five-year CDS premiums of 22 countries (WGB, 2022).…”