Özet:

The credit risk premiums (CDS), which are defined as the credit derivative instrument that protects the creditor against the risk of non-repayment of the loan, is an important risk indicator that is closely followed by market actors in this period when the sovereign credit ratings determined by credit rating agencies are subject to intense criticism. The fact that CDS offer important clues about the credibility of countries can also significantly affect investors' decisions. This indicates that there may be a causality relationship between CDS and economic growth. In this study, it is aimed to determine whether there is a causality relationship between Turkey's CDS and economic growth and whether this relationship changes over time.For this purpose, we examine the time-varying causality relationships between the change in CDS and the change in the industrial production index (IPI) representing economic growth.for the period 2012M01-2016M12. In the study, first of all, whether there is causality relation for the entire period is examined by the causality analysis method developed by Hacker and Hatemi-j (2006). Afterwards, the causality relationship between the variables was analyzed for the sub-periods using the time-varying causality method based on Hacker and Hatemi-j (2006), with the idea that unstable relations might exist during the whole period. Despite the absence of any causal relationship between economic growth and CDS for the whole period, the existence of different causality relationships among the variables in the sub-periods is determined in the study.  

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