Credit rating changes and the government cost of borrowing in Turkey

Standard and Poor's (S&P), Moody's ve Fitch s?irket ve devlet tahvilleri ic?in kredi notu üretmektedir. Ülke kredi derecelerinde deg?is?iklikler yatırımcıların kararlarını ve dolayısıyla devlet borc?lanma maliyetlerini etkiler. 2008 küresel finansal krizi kredi derecelendirme kurulus?ları ic?in o?nemli bir kilometre tas?ıdır c?ünkü kriz sürecinde yüksek dereceli ülkeler derin ekonomik dalgalanmalarla kars?ı kars?ıya kalmıs?lar ve bu durum kredi derecelendirme kurulus?larının güvenirlilig?ini azaltmıs?tır. Bu c?alıs?ma kriz sonrası do?nemde Türkiye'nin devlet tahvili spreadleri ile kredi notu deg?is?ikleri arasındaki ilis?kiyi incelemektedir. Temmuz 2007- Mart 2013 arasında vekto?r otoregresyon (VAR), Granger nedensellig?i, etki-tepki fonksiyonları ve olay c?alıs?ması yo?ntemleri kullanılarak Türkiye'nin kredi notlarındaki deg?is?ikliklerin spread deg?is?imleri üzerindeki etkisi incelenmis?tir. Ayrıca kredi notu deg?is?iklerinin Türkiye'nin devlet tahvili spreadleri üzerindeki dinamik etkisini incelemek ic?in olay c?alıs?ması yo?ntemi uygulanmıs?tır. Bu c?alıs?malar sonucunda kredi notu deg?is?iklerinin genellikle piyasa tarafından sezildig?ine dair kanıtlar bulunmus? olup, not deg?is?iklig?i o?ncesinde pozisyon alan yatırımcıların VAR sonuc?larında o?nemsiz sonuc?lar c?ıkmasına neden oldug?u tahmin edilmektedir

Kredı? notu deg?ı? s?ı? klı? klerı? ve Türkı? ye'nı?n devlet borc?lanma malı? yetlerı

Standard and Poor's (S&P), Moody's and Fitch have been producing credit ratings for government bonds and corporate bonds. Changes in credit ratings affect the investors' decisions and government cost of borrowing as well. 2008 global financial crisis is an important milestone for the credit rating agencies since during the crisis period high rated countries faced with deep economic fluctuations, which decreased creditworthiness of these agencies. This paper investigates the relationship between sovereign bond spreads and rating changes during the post-crisis period for Turkey. The relationship between credit rating/outlook changes and cost of borrowing in Turkey has not been investigated in an academic paper before. Therefore we perform vector autoregression (VAR) model including Granger causality test and impulse response functions (IRFs) analysis to investigate the effects of rating changes on the Turkish government bond spreads from July 2007 to March 2013. We also apply event study analysis in order to capture the dynamic effects of rating changes on Turkish government bond spreads. This analysis gives some evidences that rating announcements are often anticipated by the market so investors take their position before announcement day, which leads to insignificant results in VAR estimates

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