ÖZET
This study examines the relationship between the Türkiye CDS premium and the prices of USD/TL and BIST30 futures contracts traded on BIST VIOP. In addition, the national and global variables affecting these three variables were analyzed. Based on the literature, four national and eight global variables were used to explain these variables. Inflation, industrial production index, central bank external debt, and reserve data are used at the national level. The VIX and MSCI ACWI indices and CDS premiums of the USA, China, Germany, Italy, the United Kingdom, and Brazil were used at the global level. Data were collected at a monthly frequency covering the period from August 2018 to December 2024. VAR model-based, Granger causality, impulse response, and variance decomposition analyses were conducted. The results reveal a relationship between CDS and BIST30 futures with both global and national variables, while USD/ TL futures are primarily influenced by national factors. The effect of the structural breaks was also significant.
ABSTRACT
This study examines the relationship between the Türkiye CDS premium and the prices of USD/TL and BIST30 futures contracts traded on BIST VIOP. In addition, the national and global variables affecting these three variables were analyzed. Based on the literature, four national and eight global variables were used to explain these variables. Inflation, industrial production index, central bank external debt, and reserve data are used at the national level. The VIX and MSCI ACWI indices and CDS premiums of the USA, China, Germany, Italy, the United Kingdom, and Brazil were used at the global level. Data were collected at a monthly frequency covering the period from August 2018 to December 2024. VAR model-based, Granger causality, impulse response, and variance decomposition analyses were conducted. The results reveal a relationship between CDS and BIST30 futures with both global and national variables, while USD/ TL futures are primarily influenced by national factors. The effect of the structural breaks was also significant.
ANAHTAR KELİMELER: Credit default swap, Futures and options market, Futures contract, Time series analysis, Türkiye
KEYWORDS: Credit default swap, Futures and options market, Futures contract, Time series analysis, Türkiye