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Abstract


AN ECONOMETRİC ANALYSİS RELATED TO EVALUATİNG TO THE RELATİN BETWEEN CDS PREMİUM AND MARKET DATA: A CASE STUDY IN TURKEY

In this study, the relation between CDS premiums for 11 years and the market data has been analysed. In the analysis, annual financial data have been used. Data known as market data are data thought to be the reason of changing the country credit risk. These are Growth, BIST 100 Index, Market Capitalization of the Stock Exchange Companies, Dolar Rate of Exchange and Date Bond Interest Rate. In terms of this model results, the power of explaining the CDS variable of independent variables has been obtained as 78.2 per-cent. Whenever BUY increases 1 per-cent, CDS will increase 10.7 per-cent; BIST increases 1 per-cent, CDS will decreaser 12.8 per-cent; BSPK increases 1 per-cent, CDS will increase 12.4 per-cent; DOL increases 1 per-cent, CDS will increase 15.8 per-cent; GTF increases 1 per-cent, CDS will increase 9 per-cent.



Keywords
CDS(Credit Default Swap), Market Data, Risk Premium



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