SavedAdd your journal

Journals / MALİYE FİNANS YAZILARI / 2015 / Cilt: 29 - Sayı: 103

ANALYSIS OF THE RESPONSES OF TURKEY'S RATINGS AND CREDIT DEFAULT SWAP SPREADS TO THE ECONOMIC AND SOCIAL EVENTS

Türkiye'nin Derecelendirme Notları Ve Kredi Temerrüt Swap Primlerinin Ekonomik Ve Sosyal Olaylara Tepkisinin Analizi1 Bekir KAYA2 - Emine ÖNER KAYA3 - Kürşat YALÇINER4

Emine KAYA ÖNER
Bekir KAYA
Kürşat YALÇINER
Pages
85–111
Publication Date
2022-10-18
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

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

By using multiple linear regression method and daily data, it was determined that ratings and credit default swaps are not always give the same response to the same events for the period between January 1, 2007 and April 22, 2014 in Turkey

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Credit ratings and credit default swap spreads are two main indicators for the measurement of a country's credit risk.
📊
Key Findings & Data:Measurement of the response to the economic and social events provide the opportunity to test which indicator is more effective to reflect country risk.
💡
Conclusion & Impact:By using multiple linear regression method and daily data, it was determined that ratings and credit default swaps are not always give the same response to the same events for the period between January 1, 2007 and April 22, 2014 in Turkey
🔬Design:Research Article
📍Scope:2007 Verileri
⚙️Variables:Domain Parameters

Abstract

Credit ratings and credit default swap spreads are two main indicators for the measurement of a country's credit risk. Measurement of the response to the economic and social events provide the opportunity to test which indicator is more effective to reflect country risk. By using multiple linear regression method and daily data, it was determined that ratings and credit default swaps are not always give the same response to the same events for the period between January 1, 2007 and April 22, 2014 in Turkey

Özet

Kredi derecelendirme notları ve kredi temerrüt swap primleri bir ülkenin kredi riskinin ölçülmesinde iki temel göstergedir. Ekonomik ve sosyal olaylara verilen tepkinin ölçülmesi hangi göstergenin ülke riskini yansıtmada daha etkin olduğunu test etme imkânı sağlamaktadır. Çoklu doğrusal regresyon yöntemi ve günlük veriler kullanılarak, 01.01.2007 ile 22.04.2014 tarihleri arasındaki dönemin, Türkiye ölçeğinde analiz edildiği çalışmada, derecelendirme notları ve CDS primlerinin aynı olaylara her zaman aynı tepkiyi vermediği tespit edilmiştir

🔖

Cite This Article

ÖNER, E. K., KAYA, B., YALÇINER, K. (2022). ANALYSIS OF THE RESPONSES OF TURKEY'S RATINGS AND CREDIT DEFAULT SWAP SPREADS TO THE ECONOMIC AND SOCIAL EVENTS. MALİYE FİNANS YAZILARI, Cilt: 29 - Sayı: 103, 85–111. https://ajindex.com/articles/577971

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (14)

  1. Büyüköztürk, Ş., 2012. Sosyal Bilimler İçin Veri Analizi El Kitabı, 16. Baskı,
  2. Ankara,
  3. Pegem Akademi. Castellano, R. ve R. Giacometti, 2012. Credit Default Swaps: Implied Ratings Versus Official Ones, Research Paper, 10, 163-180.
  4. Ersan, İ. ve S. Günay, 2009. "Kredi Riski Göstergesi Olarak Kredi Temerrüt Swapları (CDSs) ve Kapatma Davasının Türkiye Riski Üzerine Etkisine Dair Bir Uygulama", Bankacılar Dergisi, 71, 3-22.
  5. Finnerty, J.D., C.D. Miller ve R.R. Chen, 2013. The Impact of Credit Rating Announcements On Credit Default Swap Spreads, 37, 2011-2030. Fitch Rating, 2014. Definitions of Ratings and Other Forms of Opinion. Flannery, M.J., J.F. Houston ve F. Partnoy, 2010. Credit Default Swap Spreads as Viable Substitutes for Credit Ratings, University of San Diego School of Law, Legal Studies Research Paper Series, No: 10-31, 2084-2123.
  6. Gande, A. ve D.C. Parsley, 2005. "News Spillovers in the Sovereign Debt Market", Journal of Financial Economics, 75, 691-734.
  7. Hull, J., M. Predescu ve A. White, 2004. "The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements", Journal of Banking & Finance, 28, 2789-2811.
  8. Ismailescu, I. ve H. Kazemi, 2010. "The Reaction of Market Credit Default Swap Spreads to Sovereign Credit Ratings Changes", Journal of Banking and Finance, 34, 2861-2873.
  9. Jacobs, M., C.M. Peluso ve A.K. Karagözoğlu, 2010. Measuring Credit Risk: CDS Spreads vs. Credit Ratings. The 2010
  10. FMA Meetings. Jensen, M.S. ve K.N. Daniels, 2005. "The Effect of Credit Ratings on Credit Default Swap Spreads and Credit Spreads", The Journal of Fixed Income, 15(3), 16-33.
  11. Lehnert, T. ve F. Neske, 2006. "On the Relationship between Credit Rating Announcements and Credit Default Swap Spreads for European Reference Entities", Journal of Credit Risk, 2, 83-90.
  12. Micu, M., E.M. Remolona ve P.D. Wooldridge, 2004. The Price Impact of Rating Announcements: Evidence from the Credit Default Swap Market, BIS Ouarterly Review, 55-66.
  13. Micu, M., E.M. Remolona ve P.D. Wooldridge, 2006. The Price Impact of Ra- ting Announcements: Which Announcements Matter?, BIS Working Papers, No: 207. Moody's Investor Services, 2014. Rating Symbols and Definitions. Norden, L. ve M. Weber, 2004. "Informational Efficiency of Credit Default Swap and Stock Markets: the Impact of Credit Rating Announcements", Journal of Banking & Finance, 28, 2813-2843.
  14. Papaioannou, G., 2011. "Economic and Market Factors versus Credit Rating Announcements, on Credit Default Swap Sprea