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CDS-Bono Farki ve Duzeltme Hareketi

Author

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  • Kurmas Akdogan
  • Meltem Gulenay Chadwick

Abstract

[TR] Ulke kredi riskinin alternatif gostergeleri olan kredi temerrut takasi (CDS) orani ve EMBI+ulke farki degerlerinin teoride arbitraj imkanina yer vermeyecek sekilde esit olmasi beklense de; iki veri donemsel olarak oldukca farkli hareketler gosterebilmektedir. Bu not, soz konusu farkin aciklayicisi olabilecek yapisal etmenleri ve piyasa etmenlerini tanitmakta; CDS ve bono piyasasinin secilmis ulkeler bazinda ve kriz donemlerinde ayrismasinin dinamiklerini incelemektedir. [EN] Theoretically, Credit Default Swap (CDS) spreads and EMBI+Country Sovereign Spreads should be equal to avoid arbitrage opportunity. However, data reveals significant differences between these two spreads. This note discusses structural and market factors behind this discrepancy and analyzes the divergence of CDS and bond markets especially during periods of financial market stress.

Suggested Citation

  • Kurmas Akdogan & Meltem Gulenay Chadwick, 2012. "CDS-Bono Farki ve Duzeltme Hareketi," CBT Research Notes in Economics 1201, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    • Handle: RePEc:tcb:econot:1201
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    File URL: https://www.tcmb.gov.tr/wps/wcm/connect/167c3986-ac41-4583-bd98-f814fbd0fdc3/EN1201eng.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-167c3986-ac41-4583-bd98-f814fbd0fdc3-m3fw4-F
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    Cited by:

    1. Kargi, Bilal, 2014. "Credit Default Swap (CDS) Spreads: The Analysis of Time Series for The Integration with The Interest Rates and The Growth in Turkish Economy," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 10(1), pages 59-66.
    2. Nurbanu Bursa & Hüseyin Tatlýdil, 2015. "Investigation of Credit Default Swaps using Detrended Fluctuation Analysis which is an Econophysical Technique," Eurasian Eononometrics, Statistics and Emprical Economics Journal, Eurasian Academy Of Sciences, vol. 2(2), pages 25-33, October.
    3. Nilufer KAYA KANLI & Osman AYDOGUS, 2017. "Ulke Risk Faktorlerinin Dogrudan Yabanci Yatirimlar Uzerindeki Belirleyici Etkisi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 17(2), pages 179-190.

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