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Journals / Ekonomi Politika ve Finans Araştırmaları Dergisi / 2026 / Cilt: 11 Sayı: 2

The Impact of Stock Markets, Interest Rates, and Exchange Rates on Credit Default Swap Premiums: Evidence from Advanced and Emerging Economies

Borsalar, Faiz Oranları ve Döviz Kurlarının Kredi Temerrüt Takası Primleri Üzerindeki Etkisi: Gelişmiş ve Gelişmekte Olan Ekonomiler Örneği

Zekai Şenol(SİVAS CUMHURİYET ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ, FİNANS VE BANKACILIK BÖLÜMÜ)0000-0001-8818-0752
Fatma Zeren(İNÖNÜ ÜNİVERSİTESİ)0000-0002-1661-3587
Gökhan Konat(ABANT İZZET BAYSAL ÜNİVERSİTESİ)0000-0002-0964-7893
Ayşegül Han(İNÖNÜ ÜNİVERSİTESİ)0000-0002-3390-2129
Pages
449–479
Publication Date
2026-06-30
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Results show that bond yields have a positive effect on CDS spreads in both advanced and emerging economies.

📌 3 Key Takeaways

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Objective & Hypothesis:This study aims to examine how bond yields, yield curves, exchange rates, stock indices, and market volatility impact Credit Default Swap (CDS) spreads.
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Key Findings & Data:This study tries to reach a larger sample size by using weekly data from 33 countries, which account for about 77% of the world’s GDP.
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Conclusion & Impact:Results show that bond yields have a positive effect on CDS spreads in both advanced and emerging economies.
🔬Design:Araştırma Makalesi
📍Scope:2010 Verileri
⚙️Variables:Kredi Temerrüt Takası · Borsalar · Tahvil Getirisi

Abstract

This study aims to examine how bond yields, yield curves, exchange rates, stock indices, and market volatility impact Credit Default Swap (CDS) spreads. This study tries to reach a larger sample size by using weekly data from 33 countries, which account for about 77% of the world’s GDP. CDS determinants are identified by country development level, and the sample is divided into advanced and emerging economies. The study also covers the effects of global and regional risk factors such as the European debt crisis, the US debt ceiling crisis, the oil shock, the US-China trade war, COVID-19, Russia’s invasion of Ukraine, and the Israel-Hamas conflict. It uses weekly data from 33 countries (both advanced and emerging markets) covering the period from January 1, 2010, to August 30, 2024. In the analysis, the Common Correlated Effects Mean Group estimator proposed by Pesaran (2006) and the Augmented Mean Group approach developed by Eberhardt and Bond (2009) are employed. Results show that bond yields have a positive effect on CDS spreads in both advanced and emerging economies. Stock market indices negatively affect CDS spreads, while exchange rates negatively impact CDS spreads in advanced economies but positively in emerging markets.

Özet

Bu çalışma, tahvil getirileri, getiri eğrileri, döviz kurları, borsa endeksleri ve piyasa oynaklığının Kredi Temerrüt Takası (CDS) üzerindeki etkisini incelemeyi amaçlamaktadır. Çalışma, dünya GSYH’sinin yaklaşık %77’sini oluşturan 33 ülkenin verileri kullanarak yapılmıştır. CDS belirleyicileri, ülkelerin gelişmişlik düzeyine göre gruplandırılmış, örneklem gelişmiş ve gelişmekte olan ekonomiler olarak ikiye ayrılmıştır. Çalışma ayrıca Avrupa borç krizi, ABD borç tavanı krizi, petrol şoku, ABD-Çin ticaret savaşı, COVID-19 pandemisi, Rusya’nın Ukrayna’yı işgali ve İsrail-Hamas çatışması gibi küresel ve bölgesel risk faktörlerinin etkilerini de kapsamaktadır. 1 Ocak 2010 – 30 Ağustos 2024 dönemini kapsayan haftalık veriler kullanılmıştır. Analizde, Pesaran’ın (2006) Common Correlated Effects Mean Group tahmincisi ile Eberhardt ve Bond’un (2009) Augmented Mean Group yöntemi uygulanmıştır. Bulgular, tahvil getirilerinin hem gelişmiş hem de gelişmekte olan ekonomilerde CDS üzerinde pozitif bir etkisi olduğunu göstermektedir. Borsa endeksleri CDS’i negatif yönde etkilerken, döviz kurları gelişmiş ekonomilerde CDS’i negatif, gelişmekte olan ekonomilerde ise pozitif yönde etkilemektedir.

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Cite This Article

Şenol, Z., Zeren, F., Konat, G., Han, A. (2026). The Impact of Stock Markets, Interest Rates, and Exchange Rates on Credit Default Swap Premiums: Evidence from Advanced and Emerging Economies. Ekonomi Politika ve Finans Araştırmaları Dergisi, Cilt: 11 Sayı: 2, 449–479. https://doi.org/10.30784/epfad.1777228

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