It Is Not Your Risk but It Is Your Problem: A Spatial Analysis of Emerging Market Credit Default Swap Premia

Mehmet Selman Colak, Sumeyra Korkmaz, Huseyin Ozturk and Muhammed Hasan Yilmaz

CBT Research Notes in Economics from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: [EN] This paper studies the peer effects on emerging markets credit default swap (CDS) premia. Unlike various other spillover models, spatial econometrics is used to distinguish between direct (countryspecific) and indirect (non-country specific) effects on the CDS premia. This strategy enables us to investigate non-country specific channels driving the shifts in sovereign credit risk. On top of documenting statistically significant spatial interactions, the paper finds that indirect effects are nearly as important as the direct ones in explaining the CDS movements. The findings are robust to a set of additional analyses. This study emphasizes that caution is warranted in using CDS premium as a sovereign risk indicator. [TR] Bu calismada, gelismekte olan ulkelerin kredi temerrut takasi (CDS) primlerindeki akran etkileri incelenmektedir. Diger cesitli yayilim modellerinin aksine, CDS primleri uzerindeki dogrudan (ulkeye ozgu olan) ve dolayli (ulkeye ozgu olmayan) etkilerin ayristirilmasinda mekânsal ekonometrik yontemlerden faydalanilmaktadir. Bu strateji, ulke kredi riskinde degisimlere yol acan ulke-disi belirli kanallarin incelenmesine olanak saglamaktadir. İstatistiki olarak anlamli mekânsal etkilesimleri belgelemesinin yani sira, calisma CDS hareketlerini aciklamada dolayli etkilerin neredeyse dogrudan etkiler kadar onemli oldugunu ortaya koymaktadir. Bulgular bir dizi ek analize karsi saglamdir. Bu calisma CDS priminin ulke kredi riskini temsilen gosterge olarak kullaniminda dikkatli olunmasi gerektigine vurgu yapmaktadir.

Date: 2024
New Economics Papers: this item is included in nep-fmk, nep-geo and nep-ure
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