Sovereign risk plays a significant role in shaping financial investment behaviors towards the country. In this respect, sovereign risk premiums are closely monitored by policymakers, politicians, academicians as well as financial investors. As the country risk increases, those who want to buy the country's debt instruments demand more interest payments. Concordantly, rising sovereign risk has negative consequences in many ways such as borrowing capacity, borrowing cost, and financing the

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... account deficit. However, the behavior of sovereign risk premiums differs in the crisis period from normal periods. Therefore, it is necessary to clarify what are the main determinants of sovereign risk so that crisis periods can be managed successfully by policymakers. In this study, short and long term relationships between sovereign risk premium and current account balance, inflation rate, government bond interest rate, and nominal exchange rates were analyzed for 2008:q1 to 2014:q2 period by dynamic panel data method for Brics economies and Turkey. According to the findings of the empirical analyses, current account deficit, inflation, and interest rates affect positively sovereign CDS spreads both in the short and long term and there exists a direct relationship between them. On the other hand, the exchange rate has a very weak short-run effect and no significant long-run effect on the sovereign CDS spreads. Besides, both short and long-run effects of interest rates on sovereign CDS spreads are more pronounced than of others. That is to say, sovereign CDS spreads are influenced mainly by changes in the interest rates. Structured Abstract: The extraordinary development of the financial markets and the vulnerabilities accumulated within the financial system, resulting in crisis periodically, have made risk management compulsory for financial investors. In this process, credit derivatives have become the most effective tool for controlling credit risk. Credit derivatives are financial contracts that transfer credit risk from one side to another for a price, without touching the ownership of the principal asset if the principal or interest of the debt is not paid on time for various reasons. As the most frequently used credit derivative instrument in the credit derivatives market, credit default swaps (CDS) is the contract of transferring the credit risk of a reference asset (of a firm/country) to a particular institution/company for a price. It is important to note that the CDS contract covers all cases where the conditions previously agreed on the repayment of the loan are not fully or partially fulfilled for various reasons (bankruptcy, payment failure, denial of liability). A financial investor who buys protection with a CDS contract transfers all these risks to the party selling the CDS contract for a certain price, Turkish Studies -Economy, 15 (3) and if the risks occur, the losses are covered by the party selling CDS contract. The price of the credit default swap is called "spread". CDS spreads are calculated on a daily basis and they adapt to all kinds of developments at an extraordinary speed. Especially, they react excessively to macroeconomic phenomenons under extraordinary conditions like a crisis period. For this reason, sovereign CDS spreads, which are considered as the most accurate indicator of country risk, are closely observed by politicians, government, academicians as well as financial investors, who intend to purchase the debt instruments of a country. Öz: Ülke risk primi, ülkeye yönelik finansal yatırım davranışlarında önemli bir belirleyici konumunda olduğundan finansal yatırımcıların yanında, politika yapıcılar, siyasiler, akademisyenler tarafından da yakından takip edilmektedir. Ülke riski arttıkça, o ülkenin borçlanma araçlarına ait faiz oranları, artan risk primi sebebiyle yükselişe geçmekte, buna paralel olarak ulusal ekonomik sistem, borçlanma kapasitesi, borçlanma maliyeti ve cari açığın finansmanı gibi birçok açıdan olumsuz etkilenmektedir. Dahası bu etki, kriz dönemlerinde daha belirgin olmaktadır. Bu nedenle, kriz dönemlerinin politika yapıcılar tarafından başarılı bir şekilde yönetilebilmesi için ülke riskinin temel belirleyicilerinin bilinmesi önem taşımaktadır. Bu çalışmada, ülke risk primleri ile cari işlemler dengesi, enflasyon oranı, devlet tahvili faiz oranı ve nominal döviz kuru arasındaki kısa ve uzun vadeli ilişkiler dinamik panel veri analizi yöntemleri ile 2008:q1 to 2014:q2 dönemi verileri kullanılarak Brics ekonomileri ve Türkiye için analiz edilmiştir. Ampirik analizlerin bulgularına göre, ele alınan ülke grubu ve dönem aralığı için, ülke risk priminin, cari işlemler açığı, enflasyon ve faiz oranlarından hem kısa hem de uzun vadede pozitif yönde ve istatistiksel olarak anlamlı bir şekilde etkilendiği anlaşılmaktadır. Öte yandan, döviz kuru, ülke risk primi üzerinde kısa vadede çok zayıf bir etki meydana getirse de, uzun vadede anlamlı bir etkiye sahip olmadığı tespit edilmiştir. Ayrıca, ele alınan değişkenler arasında faiz oranlarının ülke risk primi üzerindeki kısa ve uzun vadeli etkileri daha belirgindir.