Credit Default Swap (CDS) Spreads: The Analysis of Time Series for the Integration with the Interest Rates and the Growth in Turkish Economy

Foreign investors who come to the country receive credit default swaps which are an insurance against the possibility of failing to fulfill the obligations of the host country. The purpose of using this financial instrument is to provide protection against possible default situations. The higher the value of the credit default swap premium, it means that the risk of default is relatively high whereas the lower risk means that the default risk is relatively low. The purpose of this study is to analyze with ARDL (Autoregressive Distributed Lag Model) Method Turkey's credit default swap premium for January 2005-September 2017 period and the long run and short run relationship between foreign direct investment and portfolio investments in Turkey. According to the results of the study, there is no long run and short run relationship between credit default swaps and foreign direct investments in Turkey; The presence of a long run and short run relationship with portfolio investments has been identified. Key words: Credit Default Swap, Foreign Direct Investments, Portfolio Investments, Time Series Analysis, ARDL Method

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High Yield Bonds

Debt Markets and Investments ◽

10.1093/oso/9780190877439.003.0031 ◽

2019 ◽

pp. 599-620

Author(s):

Byron C. Barnes ◽

Tony Calenda ◽

Elvis Rodriguez

Keyword(s):

Interest Rates ◽

Economic Activity ◽

Default Risk ◽

Credit Default Swap ◽

High Yield ◽

Credit Default ◽

Key Drivers ◽

Default Swap ◽

Investment Grade ◽

Credit Event

High yield bonds (HYBs) have become an integral part of the funding and investment landscape. HYBs are bonds rated below investment grade, indicating a potentially greater default risk and concomitant return. Although often associated with leveraged buyouts (LBOs), corporations also use HYBs to finance general corporate needs. The key drivers of HYB issuance include general economic activity, the number and size of transactions requiring financing, interest rates, and the availability of substitute financial products such as leveraged loans. Leveraged loans are another source of financing for issuers with a similar profile as HYB issuers. A key difference between HYBs and leveraged loans is that the covenants associated with a leveraged loan are typically more lender friendly. Similar to investment grade bonds, investors can purchase insurance to hedge a long HYB position against a credit event by using a credit default swap.

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ANALISIS PENGARUH FUNDAMENTAL EKONOMI MAKRO DAN SENTIMEN GLOBAL TERHADAP PERKEMBANGAN CREDIT DEFAULT SWAP DI INDONESIA

EKUITAS (Jurnal Ekonomi dan Keuangan) ◽

10.24034/j25485024.y2019.v3.i1.4077 ◽

2019 ◽

Vol 3 (1) ◽

pp. 27-47

Author(s):

Riwi - Sumantyo ◽

Sutanto - Sutanto

Keyword(s):

Time Series ◽

Error Correction ◽

Credit Default Swap ◽

Error Correction Model ◽

Correction Model ◽

Credit Default ◽

Default Swap ◽

Fund Rate

Penelitian ini membahas seberapa besar pengaruh sisi fundamental ekonomi makro yang terdiri dari inflasi, suku bunga, Indeks Harga Saham Gabungan (IHSG) serta sisi sentimen global yang terdiri dari Fed Fund Rate (FFR), Harga Minyak Dunia, dan indeks Dow Jones terhadap persepsi investor terhadap risiko investasi di suatu negara dalam penelitian ini adalah Indonesia yang diukur dengan nilai indeks Credit Default Swap (CDS). Penelitian ini merupakan jenis penelitian kuantitatif dimana data yang digunakan menggunakan suatu skala numerik (angka). Data yang digunakan merupakan data time series dengan periode dalam penelitian ini adalah Januari 2008- Desember 2017. Jenis data yang digunakan dalam penelitian ini adalah data sekunder yang terdiri dari data inflasi, utang luar negeri, IHSG, Fed Fund Rate (FFR), Harga minyak, dan indeks Dow Jones, Credit Default Swap. Alat analisis yang digunakan dalam penelitian ini adalah Error Correction Model-Eagle Granger (ECM-EG) dengan aplikasi Eviews 9. Hasil penelitian ini menunjukkan dalam jangka pendek hanya variabel IHSG dan indeks Dow Jones yang berpengaruh signifikan terhadap nilai indeks CDS. Dalam jangka panjang hanya variabel suku bunga yang tidak berpengaruh signifikan sedangkan variabel bebas lain berpengaruh signifikan terhadap nilai indeks CDS.

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