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Bu çalışmanın amacı Türkiye özelinde CDS primleri, borsa endeksleri, tahvil faizleri ve döviz kuru arasındaki ilişkilerin analiz edilmesidir. Bu amaçla değişkenler arasındaki ilişkiyi tahmin edebilmek için 29.04.2018-22.11.2020 tarihleri arasındaki haftalık veriler kullanılmıştır. Çalışmada değişkenlerin durağanlıkları birim kök testleri ile analiz edilmiştir. Durağan olduğu sonucuna ulaşılan değişkenler arası nedensellik ilişkisi Toda-Yamamoto testi ile analiz edilmiştir. Elde edilen bulgulara göre BIST banka endeksi BIST Tüm, tahvil faizleri ve CDS primlerinin granger nedenidir. Ayrıca BIST Tüm ve döviz kurları arasında çift yönlü bir ilişki bulunmaktadır. Son olarak Zivot-Andrews testi sonuçlarına göre tahvil faizleri hariç tüm değişkenlerde Covid-19 hastalığının dünya sağlık örgütüne bildirildiği tarih olan 31.12.2019 tarihinden sonra kırılmalar meydana gelmektedir. Bu sonuçlar pandemi sonucunda BIST Banka endeksinde kırılmalar meydana geldiğini ve bu kırılmaların ise diğer BIST Tüm, tahvil faizleri ve CDS primlerinde değişmelere neden olduğunu göstermektedir.
The aim of this study is to analyze the relationships between the CDS primes, stock exchanges, bond interest rates and exchange rates in Turkey. For this purpose, weekly data between 29.04.2018-22.11.2020 were used to predict the relationship between the variables. In the study, the stagnations of the variables were analyzed by unit root tests. The result is constant and the causal relationship between the variables has been analyzed by the Toda-Ya mamoto test. According to the findings obtained, the BIST bank index BIST All is the granger cause of bond interest and CDS primes. There is also a bilateral relationship between BIST All and exchange rates. Finally, according to the Zivot-Andrews test results, breaks occur after 31 December 2019, the date on which the Covid-19 disease was
The aim of this study is to analyze the relations between CDS spreads, stock market indices, bonds and exchange rates in Turkey. For this purpose, weekly data between 29.04.2018 -22.11.2020 were used to estimate the relationship between variables. In the study, the stationarities of variables were analyzed by unit root tests. The causality relationship between variables, which was concluded to be stationary, was analyzed by the Toda-Yamamoto test. According to the findings, the BIST Liquid Bank index is granger cause of BIST All Shares, bonds and CDS spreads. In addition, there is a bidirectional relationship between BIST All Shares and exchange rates. Finally, according to the results of the Zivot-Andrews test, structural breaks occur in all variables (except for bonds) after 31.12.2019, which is the date when the Covid-19 disease was reported to the world health organization. These results show that the breakdowns occurred in the BIST Bank index as a result of the pandemic, and these breakages caused changes in other BIST All Shares, bond rates and CDS spreads.
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Uluslararası
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