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Avrasya Ekonometri �statistik ve Ampirik Ekonomi DergisiYl:2016 Say: 3 Alan: statistik

Nurbanu Bursa; Gamze zel Kadlar
Trkiye Kredi Temerrt Takas? Primlerinin Entropi Kavram? ile ?ncelenmesi
 
Finansal piyasalarda, lkelerin risk primi gstergesi olarak kredi temerrt takaslarnn kullanlmas son zamanlarda yaygn bir uygulama haline gelmitir. Kredi temerrt takaslar (KTT), irketlerin ve lkelerin temerrde dme olaslnn hesaplanmasnda kullanlabilecek en nemli finansal rnlerden biridir. Bu almada, Trkiye kredi temerrt takas primlerinin entropi kavram ile ekonometrik bir analizi yaplmtr. Kullanlan veriler dorultusunda, Ocak 2011-Ekim 2014 tarihleri arasndaki Trkiyenin 5 yl vadeli KTT primlerinin, Borsa stanbul 100 endeksi, dviz sepeti, genel bte dengesi ve finansman, ihracatn ithalat aylk karlama oran deikenleri ile olan ilikileri incelenmitir. Analiz sonucu BST100 endeksinin deerinin bilinmesinin KTT primleri hakkndaki belirsizlii byk lde kaldrd grlmektedir. Ayrca, hesaplanan entropi korelasyon katsaylarndan da BST100 endeksinin KTT primleri ile en yksek ilikiye, genel bte dengesi ve finansman deikeninin ise en dk ilikiye sahip olduu grlmektedir.

Anahtar Kelimeler: Kredi Temerrt Takas, Prim, Entropi, BST100 endeksi, Trkiye.


Investigation of Turkey Credit Default Swaps with Entropy Concept
 
In financial markets, the use of credit default swaps as indicator of countries risk premium has become a common practice in recent times. Credit default swaps (CDS) are one of the most important financial products that can be used to calculate the probability of default of companies and countries. In this study, an econometric analysis was conducted with entropy concept for Turkeys credit default swap spreads. The relationship between Turkeys 5-year credit default swap spreads and BIST100 index, currency basket, overall balance of the budget and finance, the monthly rate of exports meeting imports was examined between the dates of January 2011 and October 2014. As a result of analysis, knowing the value of BIST100 index removes uncertainty largely about the CDS spreads. It is also seen from the calculated entropy correlation coefficients, BIST100 index has the highest correlation with CDS spreads and overall balance of the budget and finance has the lowest relationship.

Keywords: Credit Default Swap, Spread, Entropy, BST100 index, Turkey.


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