The Relationship Between CDS Spreads and Macroeconomic Variables: An Analysis of Türkiye Using Nonlinear Models

Authors : Ahmet Kasap

Pages : 19-36

View : 31 | Download : 21

Publication Date : 2025-03-19

Article Type : Research Paper

Abstract :This study examines the relationship between CDS spreads and macroeconomic variables in Turkey during the 2020-2024 period. The effects of macroeconomic indicators, such as exchange rates, short-term interest rates, money supply, gold prices, and stock indices, on CDS spreads were evaluated using LCM and TRM models. The analysis began with unit root tests to assess the stationarity of variables, followed by detailed evaluations of the relationships using linear and nonlinear models. The results reveal that CDS spreads are sensitive not only to macroeconomic variables but also to market conditions. Under calmer market conditions, the BIST Banking Index had a narrowing effect on CDS spreads, while exchange rate fluctuations had widening effects. Under more volatile market conditions, the effects of exchange rate fluctuations and short-term interest rates became stronger, and money supply showed a significant impact. Gold prices did not exhibit a significant effect under either market condition. These findings demonstrate that the factors influencing CDS spreads differ depending on market conditions and highlight the importance of nonlinear models in understanding these relationships. The study provides valuable insights for policymakers aiming to manage financial risks and ensure market stability.
Keywords : CDS Spreadleri, Makroekonomik Değişkenler, Threshold Regression Model (TRM