The Sensitivity of CDS Premium to the Global Risk Factor : Evidence from Emerging Markets

[EN] Changes in the global risk appetite cause co-movement in emerging market risk premiums. However, the sensitivity of the changes in risk premium to the global risk appetite may vary across emerging markets. In this study, we analyze how the global risk appetite affects Credit Default Swap (CDS) premiums in emerging markets using Principal Component Analysis (PCA) and rolling regressions. The PCA results indicate that the first common component derived by the PCA accounts for almost 76 percent of the common variation in CDS premiums. Additionally, the explanatory power of the first factor seems to be high over the sample period. However, the sensitivity to the global risk factor tends to change over time and across countries. In this regard, we use fixed effects panel regressions to identify the macroeconomic factors driving the heterogeneity across emerging markets. The panel regression results point to the significance of government debt to GDP and international reserves to GDP in explaining sensitivity. Accordingly, countries with lower government debt and higher reserves tend to be less subject to the variations in the global risk appetite. [TR] Kuresel risk istahindaki degisimler gelismekte olan ulkelerin risk primlerinin beraber hareket etmesine yol acmaktadir. Fakat gelismekte olan ulkelerin risk primlerindeki degisimlerin boyutu farklilasabilmektedir. Bu notta, temel bilesen analizi (PCA) ve kayan regresyonlar yontemleri kullanilarak, gelismekte olan ulke piyasalarinin kredi temerrut takasi (CDS) primlerinin kuresel risk faktorlerine duyarliligi incelenmektedir. Temel bilesen analizi sonuclarina gore, birinci kuresel risk faktoru CDS primlerindeki ortak hareketin yaklasik yuzde 76’sini aciklamaktadir. Ayni zamanda, birinci faktorun aciklayici gucu orneklem donemi boyunca yuksek seviyede seyretmektedir. Ote yandan, kuresel risk faktorune olan duyarlilik zaman ve ulke boyutunda farklilasmaktadir. Bu baglamda, sabit etkiler panel regresyonlari kullanilarak, hassasligin ulke ve zaman bazinda farklilasmasina neden olan makroekonomik faktorler incelenmistir. Panel regresyon analizi sonuclari, kamu borcu/GSYIH ve brut rezervler/GSYIH oranlarinin hassasligi aciklamada onemli faktorler olduguna isaret etmektedir. Bu cercevede, dusuk kamu borcuna ve yuksek rezerv miktarina sahip olan ulkelerin kredi riski algilamalarindaki degisimlere daha az duyarli oldugu gorulmektedir.