MACROECONOMIC FACTORS AFFECTING THE COUNTRY CREDIT INVESTIGATIONS: AN APPLICATION ON FRAGILE EIGHT

This study examines the relationship between macroeconomic variables and country credit ratings determined by credit rating agencies. In this context, the credit ratings of the countries (Turkey, Brazil, Chile, Argentina, India, Indonesia, Russia, and S. Africa), which are called Fragile Sekizli, are ranked by Fitch, one of the three major credit rating agencies. At the same time, country credit ratings are used as a dependent variable, independent of macroeconomic factors affecting country credit ratings, such as GDP per capita, exports, inflation, unemployment, exchange rate, total reserves, ratio of trade to GDP and ratio of gross savings to GDP It is discussed. The factors affecting the country credit ratings were examined by panel data analysis on Fragile Eight, which is also included in Turkey. Country credit scores and macroeconomic variable figures between 2000 and 2015 were used in the study.

Keywords:

Credit Rating Agencies, Fitch, Fragile Eight, Macroeconomic Factors Panel Data Analysis,

PDF

___

Afşar, a., & Karaçayır, E. (2016). Ülke Kredi Notunun Belirleyicileri Türkiye ve AB Ülkeleri Üzerine Bir Uygulama. Journal Of Economics, Finance and Accounting, 3(4), 320–329.
Afonso, A. (2002), “Understanding The Determinants of Government Debt Ratings: Evidence forhe the Two Leading Agencies”, Department of Economics and Research Center on the Portuguese Economy (CISEP), Lisbon.
Archer, C. C., Biglaiser, G., ve DeRouen, K. Jr. (2007), “Sovereign Bonds and the Democratic Advantage: Does Regime Type Affect Credit Rating Agency Ratings in the Developing World?” [Ülke Bonoları ve Demokratik Avantaj: Gelişen Dünyada Rejim Türleri Kredi Derecelendirme Kuruluşlarının Derecelendirmesini Etkiler mi?] International Organization, Vol.61, No.2 (Spring 2007), pp. 341-365
Breusch, T.S. ve Pagan, A.R. (1980), "The Lagrange Multiplier Test and Its Applications to Model Spesification in Econometrics", The Review of Economic Studies, 47(1), 239-253.
Cantor, R. ve Packer, F. (1996), “Determinants and Impact of Sovereign Credit Rating”. [Ülke Kredi Notlarının Etkileri ve Belirleyicileri]. Federal Reserve Bank of New York Economic Policy Review, pp:37-54.
Çınar, Serkan. (2010), OECD Ülkelerinde Kişi Başına GSYİH Durağan mı? Panel Veri Analizi, Marmara Üniversitesi İ.İ.B.F. Dergisi 29(2), 591-601
Gültekin-Karakaş, D., Hisarcıklılar, M. ve Öztürk, H., (2011), “Sovereign Risk Ratings: Biased Toward Developed Countries?”, Emerging Markets Finance & Trade, 47(2), 69–87.
Gür, T. (2000), “Ülke Riskinin Belirlenmesinde Yöntemler”, H.Ü. İktisadi ve İdari Bilimler Dergisi, 18(2): 119-139.
Gür, T. H. & Öztürk, H. 2011, “Ülke Riski, Derecelendirme Kuruluşları, Aksaklıklar ve Yeni Düzenlemeler” Sosyoekonomi Dergisi. 20112/110204, pp. 69-92
Ferri, G., Liu, L. ve Stiglitz, J.E. (1999). “The Procyclical Role of Rating Agencies: Evidence from The East Asian Crisis”. [Derecelendirme
Kuruluşlarının Döngüsel Rolü: Doğu Asya Krizinden Deliller]. Economic Notes 28, 335–355
Kaufmann, D., Kraay, A. ve Mastruzzi, M. (2003). “Governance Matters 3: Governance Indicators for 1996-2002”. [Yönetim Meseleleri 3: 1996-2002 arası Yönetim Endeksi]. Word Bank Working Paper, No:3106
Iyengar, S. (2010), “Are Sovereign Credit Ratings Objective and Transparent?”, The IUP Journal of Financial Economics, Vol. VIII, No.3.
Matyas, L. ve Sevestre, P. (2008), The Econometrics of Panel Data Fundamentals and Recent Developments in Theory and Practice, Third Edition, Germany: Springer.
Nazlıoğlu, Şaban, (2010) Makro İktisat Politikalarının Tarım Sektörü Üzerindeki Etkisi: Gelişmiş ve Gelişmekte Olan Ülkeler İçin Bir Karşılaştırma, Erciyes Üniversitesi, Sosyal Bilimler Enstitüsü, (Yayımlanmamış Doktora Tezi).
Ratha, D., Prabak, K., De ve Mohapatra, S. (2010). “Shadow Sovereign Rating for Unrated Developing Countries”. [Derecelendirilmemiş Gelişmekte Olan Ülkeler İçin Gölge Ülke Notları]. World Development, Volume 39, Issue 3, March 2011, Pages 295-307
Pesaran, M.H. (2004), "General Diagnostic Tests for Cross Section Dependence in Panels", Cesifo Working Paper, No: 1229, 1-40.
Pesaran, M.H. (2007), "A Simple Panel Unit Root Test in the Presence of Cross-Section Dependence", Journal of Applied Econometrics, 22(2), 265-312.
Pesaran, M. H., Ullah, A. ve Yamagata, T. (2008), “A Bias-Adjusted LM Test of Error Cross-Section Independence”, Econometrics Journal, 11, 105-127.
Ovalı, S. 2014. “Ülke Kredi Notu Değerlendirme Kriterleri Açısından Türkiye: Ab İle Karşılaştırmalı Analiz” Uluslararası Yönetim İktisat ve İşletme Dergisi, Cilt 10, Sayı 23, pp. 53-81.
Şahinöz, S. ve Gönenç, R. (2011), “Determinants of Credit Ratings, Sovereign Bond Spreads and Real Interest Rates In Emerging Markets”, İktisat İşletme ve Finans, 26(305), 9-35.
Ul-Haque, N., Kumar, M.S., Mark, N. ve Mathieson, D.J., (1996). “The economic content of indicators of developing country creditworthiness”, [Gelişmekte Olan Ülkelerin Kredibilitesinin Göstergelerinin Ekonomik İçeriği]. International Monetary Fund Staff Papers, 43, 688– 724.
Yıldırım, K., Mercan, M., Kostakoğlu, S. F. (2013), Satın Alma Gücü Paritesinin Geçerliliğinin Test Edilmesi: Zaman Serisi ve Panel Veri Analizi, Eskişehir Osmangazi Üniversitesi İ.İ.B.F. Dergisi, 8(3), 75- 95
Westerlund, J. (2007), "Testing for Error Correction in Panel Data", Oxford Bulletin of Economics and Statistics, 69(6), 709-748.

Başlangıç: 2015
Yayıncı: PressAcademia

Arşiv