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Finansal Kriz Sonrası GIIPS Hazine Bonosu Risk Primi (Spreads) Genişlemesinin Belirleyicileri

Author

Listed:
  • Baki Demirel

    (Gaziosmanpasa University)

Abstract

ABD kaynaklı 2008 finansal krizi Euro Bölgesi ülkelerini asimetrik olarak etkilemiş çevre ve merkez ülkelerin risk yapısı farklılaşmıştır. Bu farklılık sonucu riski artan çevre GIIPS ile Almanya hazine bonosu CDS’leri arasındaki fark (spread; risk primleri) genişlemiştir. Euro bölgesi spreadlerinin genişlemesinin arkasındaki nedenlerin tespit edilmesine yönelik çalışmalar literatürü genişletmiştir. Bu çalışmalar özellikle Euro bölgesinin mali uyumsuzluğu ve GIIPS’lerin bütçe dengesindeki aşırı bozulmalar üzerinde durmaktadırlar. Bu çalışma Euro Bölgesi hazine bonosu spreads genişlemesi üzerinde etkili olduğu düşünülen yurt içi- yurt dışı değişkenleri belirlemeyi amaçlamıştır. Çalışmada bu amaca ulaşmak için 5 ülkeye ait 2008-2012 dönemine ilişkin üç aylık verilerden yararlanılmış ve Panel çatı kullanılmıştır.

Suggested Citation

  • Baki Demirel, 2014. "Finansal Kriz Sonrası GIIPS Hazine Bonosu Risk Primi (Spreads) Genişlemesinin Belirleyicileri," Ekonomik Yaklasim, Ekonomik Yaklasim Association, vol. 25(92), pages 69-86.
    • Handle: RePEc:eyd:eyjrnl:v:25:y:2014:i:92:p:69-86
    DOI: 10.5455/ey.35513
    Note: [English Title] Determinants of Expand in GIIPS Sovereign CDS Spreads after Financial Crisis [English Abstract] The 2008 financial crisis has asymmetrically hit a variety of European countries, and therefore the risk structure of periphery and core countries has changed. As a result of this, CDS (Credit Default Swap) spreads in Germany have differed from the GIIPS countries. In reviewing the literature, there has been an increasing interest in the reasoning behind the expand in GIIPS sovereign CDS spreads. Studies in the literature have particularly focused on fiscal mismatch in Eurozone and excessive deterioration in the budget balance of GIIPS. The aim of this paper is to determine the variables that are assumed to influence Eurozone CDS spreads. In this paper, panel data analysis was used for 5 countries for the period 2008-2012 and 3-month data was used. [English Keywords] Sovereign Bond Spreads, GIIPS, GMM.
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    Keywords

    Hazine Bonosu Risk Primleri; GIIPS; GMM.;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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