Emtia Fiyatlarinin Gelismekte olan Ulke CDS Primlerine Etkisinin Analizi

Ozgur Ergul and Tuba Karakas

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

Abstract: [TR] Bu calismada, Ocak 2005-Eylul 2024 donemi icin kuresel emtia fiyatlari ile gelismekte olan ulkelerin ulke kredi temerrut takaslari (credit default swap CDS) arasindaki iliski gecikmesi dagitilmis otoregresif (Autoregressive Distributed Lag-ARDL) yontemi kullanilarak analiz edilmistir. Emtia urunleri, endustriyel metaller, degerli madenler, enerji ve tarim olarak dort ana grupta siniflandirilmis ve temel bilesen analizi kullanilarak her grup icin endeksler olusturulmustur. Kisa vadeli analiz sonuclarina gore genel olarak emtia ihracatcisi ulkelerin CDS’leri ile degerli maden, endustriyel metal, tarim ve enerji gruplari arasinda istatistiki olarak anlamli iliski bulunmustur. Tarim emtia urunleri haric beklentilere paralel negatif iliski bulunmustur. Uzun vadede de ulke CDS’leri ile emtia gruplari arasinda benzer sonuclar elde edilmistir. Emtia ithalatcisi ulkelerde kisa vadede degerli metal fiyatlari ile ulke CDS’leri arasinda istatistiki olarak anlamli negatif iliski bulunurken, diger emtia gruplarinda genel olarak emtia fiyatlarindaki yukselis ulke CDS’lerini yukseltmektedir. Uzun vadede ise sadece ulke CDS’lerinin degerli metaller ile negatif iliskisi ve tarim emtia urunleri ile pozitif iliskisi istatistiki olarak anlamli olmaya devam etmektedir. Enerji emtia endeksinin ulke CDS’leri uzerinde etkisi tespit edilmemistir. [EN] In this study, the relationship between global commodity prices and credit default swaps (CDS) of developing countries for the period January 2005 – September 2024 was analyzed using the Autoregressive Distributed Lag - ARDL method. Commodity products were classified into four main groups as industrial metals, precious metals, energy and agriculture, and indices were created for each group using principal component analysis. According to the short-term analysis results, a statistically significant relationship was found between the CDS of commodity exporting countries and precious metal, industrial metal, agriculture and energy groups. A negative relationship was found in line with expectations, except for agricultural commodity products. In the long term, similar results were obtained between country CDS and commodity groups. While in the short term in commodity importing countries there is a statistically significant negative relationship between precious metal prices and country CDS, the increase in commodity prices in other commodity groups generally increases country CDS. In the long run, only the negative correlation between country CDSs and precious metals and the positive correlation between country CDSs and agricultural commodities remain statistically significant. The energy commodity index has no impact on country CDSs.

Date: 2025
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