Araştırma Makalesi
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Investigation of Relationship Between Macroeconomic Indicators and Sovereign Risk Premium: Case of Turkey

Yıl 2021, Cilt: 16 Sayı: 61, 310 - 329, 31.01.2021
https://doi.org/10.19168/jyasar.820772

Öz

The purpose of this study is to examine the relationship between macroeconomic indicators/variables and sovereign risk premium in Turkey. The relationship between sovereign risk premium and exchange rate volatility, external debt/exports ratio, short-term interest rate, inflation rate has been analyzed with the Vector Error Correction Model (VECM) using monthly data for the period between January 2003 – June 2017. Results for Turkey show that there is not a long term causality relationship between sovereign risk premium and selected macroeconomic variables. When looking at the causality relationship of the short term, that there is one-directional causality between sovereign risk premium and macroeconomic variables except interest rate.

Kaynakça

  • Afonso, A. 2002. “Understanding the Determinants of Government Debt Ratings: Evidence for the Two Leading Agencies”, Available at SSRN 300785. 1-29.
  • Aizenman, J., Jinjarak, Y. and Park, D. 2013. “Fundamentals and Sovereign Risk of Emerging Markets”, NBER Working Paper, 18963.
  • Akdoğan, K. and Chadwick, M.G. 2012. “CDS-Bono Farkı ve Düzeltme Hareketi”, Türkiye Cumhuriyet Merkez Bankası Ekonomi Notları, 1, 1-9,
  • Alexopoulou, I., Bunda, I. and Ferrando, A. 2009. “Determinants of Government Bond Spreads in New EU Countries”, ECB Working Paper, No. 1101.
  • Arghyrou, M.G. and Tsoukalas, J. 2011. “The Greek Debt Crisis: Likely Causes, Mechanics and Outcomes”, The World Economy, 34, 173-191.
  • Arghyrou, M.G. and Kontonikas, A. 2012. “The EMU Sovereign Debt Crisis: Fundamentals, Expectations and Contagion” Journal of International Financial Markets, Institutions and Money, 22, 658-677.
  • Arora, V. and Cerisola, M. 2000. “How does US Monetary Policy Influence Economic Conditions in Emerging Markets?”, International Monetary Fund, 0-148.
  • Badurlar Öner, İ. 2008. "Türkiye'de Konut Fiyatları İle Makro Ekonomik Değişkenler Arasındaki İlişkinin Araştırılması", Anadolu Üniversitesi Sosyal Bilimler Dergisi, Cilt:8, Sayı:1, 223-238.
  • Baldacci, E., Gupta, S. and Mati, A. 2008. “Is it (still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets”, IMF Working Papers, 1-23.
  • Blanchard, O. 2004. “Fiscal Dominance and İnflation Targeting: Lessons From Brazil”, NBER Working Paper No. 10389.
  • Bissoondoyal-Bheenick, E. 2005. “An Analysis of the Determinants of Sovereign Ratings”, Global Finance Journal, 15(3), 251-280.
  • Brewer, T. L. and Rivoli, P. 1990. “Politics and Perceived Country Creditworthiness in International Banking”. Journal of Money, Credit and Banking, 22(3), 357–369.
  • Budina, N. and Mantchev, T. 2000, “Determinants of Bulgarian Brady Bond Prices: An Empirical Assessment”, World Bank Working Paper, No. WPS 2277, Washington D.C.
  • Burton, F. N. and Inoue, H. 1985. “An Appraisal of the Early-Warning Indicators of Sovereign Loan Default in Country Risk Evaluation Systems”, Management International Review, 25(1), 45–56.
  • Caceres, C., Guzzo, V. and Segoviano Basurto, M. 2010. “Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals?”, IMF Working Papers, 1-29.
  • Cantor, R. and Packer, F. 1996. “Determinants and Impact of Sovereign Credit Ratings”, Economic Policy Review, 2(2). 37-54.
  • Canuto, O., Santos P. F. and S Porto, P. C. 2004. “Macroeconomics and Sovereign Risk Ratings”. World Bank Discussion Papers, Washington D. C., 1-19.
  • Chowdhury, S.M.Z.I., Bayar, Y. and Kılıç, C. 2013.” Effects of Major Macroeconomıc Indıcators on Emergıng Markets Bond Index”, Afyon Kocatepe Üniversitesi, İİBF Dergisi, (C. XV, S. II, 2013).
  • Clark, E. and Kassimatis, K. 2015. “Macroeconomic Effects On Emerging-Markets Sovereign Credit Spreads.” Journal of Financial Stability, 20, 1-13.
  • Cline, W.R. and Barnes, K.J.S. 1997. “Spreads and Risk in Emerging Market Lending”. IIF Research Paper, No. 97-1.
  • Crısto, M. and Puıg, M. 2004. “Dollarization and the Relationship Between EMBI and Fundamentals Latin American Countries”, Institut de Recerca en Economia Aplicada Regional i Publica Research Institute of Applied Economics Working Paper, (6): 1-37.
  • Çulha, O. Y., Özatay, F. and Şahinbeyoglu, G. 2006. “The Determinants of Sovereign Spreads in Emerging Markets”, CBRT Working Paper, 06/04, 1-43.
  • Di Cesare, A., Grande, G., Manna, M. and Taboga, M. 2013. “Recent Estimates of Sovereign Risk Premia For Euro-Area Countries”, Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, No 128.
  • Edwards, S. 1984. “LDC Foreign Borrowing and Default Risk: An Empirical Investigation, 1976- 80”, American Economic Review, Vol. 74, Issue 4, 726-34.
  • Edwards, S. 1986. “The Pricing of Bonds and Bank Loans in International Markets. An Empirical Analysis of Developing Countries’ Foreign Borrowing”, European Economic Review, Vol. 30, No. 3, 565-589.
  • Eichengreen, M. and Mody, A. 1998. “What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment?”, Working Paper, No. 6408, National Bureau of Economic Research.
  • Favero, C. A., Giavazzi, F. and Spaventa, L. 1997. “High Yields: The Spread on German Interest Rates”, Economic Journal, 1997, Vol. 107, Issue 443, 956-85.
  • Favero, C. A. and Giavazzi, F. 2004. “Inflation Targeting and Debt: Lessons From Brazil”, NBER Working Paper No. 10390.
  • Ferrucci, G. 2003. “Empirical Determinants of Emerging Market Economies’ Sovereign Bond Spreads”, Bank of England Working Paper, 205, 1–42.
  • Gerlach, S., Schulz, A. and Wolff, G. B. 2010. “Banking and Sovereign Risk in the Euro Area”, CEPR Discussion Paper, No. 7833.
  • Goldman Sachs, 2000. “Introducing GS-ESS: A New Framework for Assessing Fair Value in Emerging Markets Hard-Currency Debt” Goldman Sachs Global Economics Paper, No:45.
  • Granger, C.W.J. 1988. “Some Recent Developments in a Concept of Causality”, Journal of Econometrics, Vol. 39, 199-211.
  • Gujarati, D. 2004. “Basic Econometrics”, Fourth Edition, McGraw Hill Companies, New York.
  • Guler, H. and Talasli, A. 2012. “Determinants Of Sovereign Bond Spreads A Comparative Analysis During The Global Financial Crisis”. MPRA Munich Personal RePEc Archive.
  • Hansen, E. and Zegarra, J. 2016. “Political Risk and Sovereign Spreads in Latin America”, Academia Revista Latinoamericana de Administración, Vol. 29 Iss 2 pp. 165 – 180.
  • Hilscher, J. and Nosbusch, Y. 2010. “Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt”, Review of Finance, 14(2), 235-262.
  • Hund, J. and Lesmond, D.A. 2008. “Liquidity and Credit Risk İn Emerging Debt Markets”, Unpubished Working Paper, University of Texas – Austin and Tulane University, New Orleans, 1-48.
  • Johansen, S. (1988). “Statistical Analysis of Cointegrating Vectors”, Journal of Economic Dynamics and Control, 12, 231-254. Kamin, S. B. and Von Kleist, K. 1999. “The Evolution and Determinants of Emerging Markets Credit Spreads in the 1990”, BIS Working Papers, 68, 1–33.
  • Krayenbuehl, T. E. 1985. “Country Risk: Assessment and Monitoring”, Lexington Books, Toronto.
  • Love, J. and Chandra, R. 2005. “Testing Export-led Growth in South Asia”, Journal of Economic Studies, Vol: 32, No: 2, 132-145.
  • Maltritz, D. and Molchanov, A. 2014.” Country Credit Risk Determinants With Model Uncertainty”, International Review of Economics & Finance, Volume 29, January 2014, Pages 224-234.
  • Martell, R. 2008. “Understanding Common Factors in Domestic and International Bond Spreads*”, Review of Finance, Vol. 12 No. 2, pp. 365-389.
  • Matsumura, M. S. and Vicente, J. V. M. 2010. “The Role of Macroeconomic Variables in Sovereign Risk.” Emerging Markets Review, 11(3), 229-249.
  • Min, H.G. 1998. “Determinants of Emerging Market Bond Spreads. Do Economic Fundamentals Matter?”, World Bank Policy Research Working Paper, 1899.
  • Mora, N. 2006. “Sovereign Credit Ratings: Guilty Beyond Reasonable Doubt?”, Journal of Banking & Finance, 30(7), 2041-2062.
  • Moser, C. 2006. “The Impact of Political Risk on Sovereign Bonds Spreads Evidence From Latin America”, Working Paper, University of Mainz, Mainz.
  • Mpapalika, J. and Malikane, C. 2019. “The determinants of sovereign risk premium in African countries” Journal of Risk and Financial Management, 12(1), 29.
  • Mulder, C. and Perrelli, R. 2001. “Foreign Currency Credit Ratings for Emerging Market Economies”, IMF Working Paper, Nov, WP/01/191.
  • Nişancı, M. 2005. “Eşbütünleşme Tekniği İle Türkiye’de Yakıt Talebinin Analizi”, Atatürk Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Sayı: 19, No: 2, 19-30.
  • Nogués, J. and Grandes, M. 2001. “Country Risk: Economic Policy, Contagions Effect or Political Noise?”, Journal of Applied Economics, Vol. IV, No. 1 (May 2001), 125-162.
  • Olabisi, M. and Stein, H. 2015. “Sovereign Bond İssues: Do African Countries Pay More To Borrow?”, Journal of African Trade, 2: 87–109.
  • Özatay, F. 2007. “Monetary Policy Challenges for Turkey in European Union Accession Process”, in: Basçı, E., von Hagen, J., Togan, S. (Eds.), Macroeconomic Policies for EU Accession, Edward Elgar.
  • Özatay, F., Özmen, E. and Şahinbeyoğlu, G. 2009, “Emerging Market Sovereign Spreads, Global Financial Conditions and US Macroeconomic News”, Economic Modelling, Vol. 26 No. 2, pp. 526-531.
  • Rocha, K. and Garcia, F. A. A. 2004. “The Term Structure of Sovereign Spreads in Emerging Markets: a Calibration Approach for Structural Models”, IPEA Press, Brazil.
  • Rojas, A. and Jaque, F. 2003. “Determinants of the Chilean Sovereign Spread: Is it Purely Fundamentals?”, Documentos de Trabajo, Banco Central de Chile.
  • Rowland, P. and Torres, J. (2004), “Determinants of Spreads and Credit Worthiness for Emerging Market Debt: A Panel Data Study”, Banco de la República de Colombia, Borradores de Economía, No: 295.
  • Rozada, M.G. and Yeyati, E. L. 2008. "Global Factors and Emerging Market Spreads," Economic Journal, Vol. 118, Issue 533, 1917-1936. Sgherri, S. and Zoli, E. 2009. “Euro Area Sovereign Risk During the Crisis”, IMF Working Papers, 1-23.
  • Sy, A. N. (2002). “Emerging Market Bond Spreads and Sovereign Credit Ratings: Reconciling Market Views with Economic Fundamentals”, Emerging Markets Review, 3(4), 380-408.
  • Şahinöz, S. and Gönenç, R. 2011. “Determinants of Credit Ratings, Sovereign Bond Spreads and Real Interest Rates in Emerging Markets” Iktisat Isletme ve Finans, 26(305), 09-35.
  • Varlık, N. and Gebeşoğlu, F. 2018. “The Macroeconomic Effects Of Sovereign Risk Premium Shock: A Case Study For Turkey”, Yönetim ve Ekonomi Araştırmaları Dergisi, Cilt: 16, Sayı: 2, 236-246.
  • Varlık, S. (2017). “Ülke Risk Primi Şokunun Bankacılık Sisteminin Sağlamlığına Etkisi: SVAR Modeli Çerçevesinde Türkiye Örneği”, Sosyoekonomi, 25(33), 103-126.
  • Weigel, D.D. and Gemmill, G. 2006, “What Drives Credit Risk in Emerging Markets? The Roles of Country Fundamentals and Market Co-Movements”, Journal of International Money and Finance, Vol. 25 No. 3, pp. 476-502.

Makroekonomik Göstergeler ve Ülke Risk Primi İlişkisinin İncelenmesi: Türkiye Örneği

Yıl 2021, Cilt: 16 Sayı: 61, 310 - 329, 31.01.2021
https://doi.org/10.19168/jyasar.820772

Öz

Bu çalışmanın amacı, Türkiye’deki makroekonomik göstergeler/değişkenler ile ülke risk primi arasındaki ilişkiyi incelemektir. Türkiye’nin Ocak 2003 – Haziran 2017 dönemi arasındaki aylık verileri kullanılarak, ülke risk primi ile döviz kuru oynaklığı, dış borç/ihracat oranı, kısa dönem faiz oranı ve enflasyon oranı arasındaki ilişki Vektör Hata Düzeltme Modeliyle (VECM) incelenmiştir. Sonuçlara göre, Türkiye için, ülke risk primi ile seçilmiş makroekonomik değişkenler arasında uzun dönemli bir nedensellik ilişkisi bulunmamıştır. Ülke risk primi ile kısa dönem faiz oranları dışındaki diğer makroekonomik değişkenler arasında ise kısa dönemli tek yönlü bir nedensellik ilişkisi mevcuttur.

Kaynakça

  • Afonso, A. 2002. “Understanding the Determinants of Government Debt Ratings: Evidence for the Two Leading Agencies”, Available at SSRN 300785. 1-29.
  • Aizenman, J., Jinjarak, Y. and Park, D. 2013. “Fundamentals and Sovereign Risk of Emerging Markets”, NBER Working Paper, 18963.
  • Akdoğan, K. and Chadwick, M.G. 2012. “CDS-Bono Farkı ve Düzeltme Hareketi”, Türkiye Cumhuriyet Merkez Bankası Ekonomi Notları, 1, 1-9,
  • Alexopoulou, I., Bunda, I. and Ferrando, A. 2009. “Determinants of Government Bond Spreads in New EU Countries”, ECB Working Paper, No. 1101.
  • Arghyrou, M.G. and Tsoukalas, J. 2011. “The Greek Debt Crisis: Likely Causes, Mechanics and Outcomes”, The World Economy, 34, 173-191.
  • Arghyrou, M.G. and Kontonikas, A. 2012. “The EMU Sovereign Debt Crisis: Fundamentals, Expectations and Contagion” Journal of International Financial Markets, Institutions and Money, 22, 658-677.
  • Arora, V. and Cerisola, M. 2000. “How does US Monetary Policy Influence Economic Conditions in Emerging Markets?”, International Monetary Fund, 0-148.
  • Badurlar Öner, İ. 2008. "Türkiye'de Konut Fiyatları İle Makro Ekonomik Değişkenler Arasındaki İlişkinin Araştırılması", Anadolu Üniversitesi Sosyal Bilimler Dergisi, Cilt:8, Sayı:1, 223-238.
  • Baldacci, E., Gupta, S. and Mati, A. 2008. “Is it (still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets”, IMF Working Papers, 1-23.
  • Blanchard, O. 2004. “Fiscal Dominance and İnflation Targeting: Lessons From Brazil”, NBER Working Paper No. 10389.
  • Bissoondoyal-Bheenick, E. 2005. “An Analysis of the Determinants of Sovereign Ratings”, Global Finance Journal, 15(3), 251-280.
  • Brewer, T. L. and Rivoli, P. 1990. “Politics and Perceived Country Creditworthiness in International Banking”. Journal of Money, Credit and Banking, 22(3), 357–369.
  • Budina, N. and Mantchev, T. 2000, “Determinants of Bulgarian Brady Bond Prices: An Empirical Assessment”, World Bank Working Paper, No. WPS 2277, Washington D.C.
  • Burton, F. N. and Inoue, H. 1985. “An Appraisal of the Early-Warning Indicators of Sovereign Loan Default in Country Risk Evaluation Systems”, Management International Review, 25(1), 45–56.
  • Caceres, C., Guzzo, V. and Segoviano Basurto, M. 2010. “Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals?”, IMF Working Papers, 1-29.
  • Cantor, R. and Packer, F. 1996. “Determinants and Impact of Sovereign Credit Ratings”, Economic Policy Review, 2(2). 37-54.
  • Canuto, O., Santos P. F. and S Porto, P. C. 2004. “Macroeconomics and Sovereign Risk Ratings”. World Bank Discussion Papers, Washington D. C., 1-19.
  • Chowdhury, S.M.Z.I., Bayar, Y. and Kılıç, C. 2013.” Effects of Major Macroeconomıc Indıcators on Emergıng Markets Bond Index”, Afyon Kocatepe Üniversitesi, İİBF Dergisi, (C. XV, S. II, 2013).
  • Clark, E. and Kassimatis, K. 2015. “Macroeconomic Effects On Emerging-Markets Sovereign Credit Spreads.” Journal of Financial Stability, 20, 1-13.
  • Cline, W.R. and Barnes, K.J.S. 1997. “Spreads and Risk in Emerging Market Lending”. IIF Research Paper, No. 97-1.
  • Crısto, M. and Puıg, M. 2004. “Dollarization and the Relationship Between EMBI and Fundamentals Latin American Countries”, Institut de Recerca en Economia Aplicada Regional i Publica Research Institute of Applied Economics Working Paper, (6): 1-37.
  • Çulha, O. Y., Özatay, F. and Şahinbeyoglu, G. 2006. “The Determinants of Sovereign Spreads in Emerging Markets”, CBRT Working Paper, 06/04, 1-43.
  • Di Cesare, A., Grande, G., Manna, M. and Taboga, M. 2013. “Recent Estimates of Sovereign Risk Premia For Euro-Area Countries”, Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, No 128.
  • Edwards, S. 1984. “LDC Foreign Borrowing and Default Risk: An Empirical Investigation, 1976- 80”, American Economic Review, Vol. 74, Issue 4, 726-34.
  • Edwards, S. 1986. “The Pricing of Bonds and Bank Loans in International Markets. An Empirical Analysis of Developing Countries’ Foreign Borrowing”, European Economic Review, Vol. 30, No. 3, 565-589.
  • Eichengreen, M. and Mody, A. 1998. “What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment?”, Working Paper, No. 6408, National Bureau of Economic Research.
  • Favero, C. A., Giavazzi, F. and Spaventa, L. 1997. “High Yields: The Spread on German Interest Rates”, Economic Journal, 1997, Vol. 107, Issue 443, 956-85.
  • Favero, C. A. and Giavazzi, F. 2004. “Inflation Targeting and Debt: Lessons From Brazil”, NBER Working Paper No. 10390.
  • Ferrucci, G. 2003. “Empirical Determinants of Emerging Market Economies’ Sovereign Bond Spreads”, Bank of England Working Paper, 205, 1–42.
  • Gerlach, S., Schulz, A. and Wolff, G. B. 2010. “Banking and Sovereign Risk in the Euro Area”, CEPR Discussion Paper, No. 7833.
  • Goldman Sachs, 2000. “Introducing GS-ESS: A New Framework for Assessing Fair Value in Emerging Markets Hard-Currency Debt” Goldman Sachs Global Economics Paper, No:45.
  • Granger, C.W.J. 1988. “Some Recent Developments in a Concept of Causality”, Journal of Econometrics, Vol. 39, 199-211.
  • Gujarati, D. 2004. “Basic Econometrics”, Fourth Edition, McGraw Hill Companies, New York.
  • Guler, H. and Talasli, A. 2012. “Determinants Of Sovereign Bond Spreads A Comparative Analysis During The Global Financial Crisis”. MPRA Munich Personal RePEc Archive.
  • Hansen, E. and Zegarra, J. 2016. “Political Risk and Sovereign Spreads in Latin America”, Academia Revista Latinoamericana de Administración, Vol. 29 Iss 2 pp. 165 – 180.
  • Hilscher, J. and Nosbusch, Y. 2010. “Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt”, Review of Finance, 14(2), 235-262.
  • Hund, J. and Lesmond, D.A. 2008. “Liquidity and Credit Risk İn Emerging Debt Markets”, Unpubished Working Paper, University of Texas – Austin and Tulane University, New Orleans, 1-48.
  • Johansen, S. (1988). “Statistical Analysis of Cointegrating Vectors”, Journal of Economic Dynamics and Control, 12, 231-254. Kamin, S. B. and Von Kleist, K. 1999. “The Evolution and Determinants of Emerging Markets Credit Spreads in the 1990”, BIS Working Papers, 68, 1–33.
  • Krayenbuehl, T. E. 1985. “Country Risk: Assessment and Monitoring”, Lexington Books, Toronto.
  • Love, J. and Chandra, R. 2005. “Testing Export-led Growth in South Asia”, Journal of Economic Studies, Vol: 32, No: 2, 132-145.
  • Maltritz, D. and Molchanov, A. 2014.” Country Credit Risk Determinants With Model Uncertainty”, International Review of Economics & Finance, Volume 29, January 2014, Pages 224-234.
  • Martell, R. 2008. “Understanding Common Factors in Domestic and International Bond Spreads*”, Review of Finance, Vol. 12 No. 2, pp. 365-389.
  • Matsumura, M. S. and Vicente, J. V. M. 2010. “The Role of Macroeconomic Variables in Sovereign Risk.” Emerging Markets Review, 11(3), 229-249.
  • Min, H.G. 1998. “Determinants of Emerging Market Bond Spreads. Do Economic Fundamentals Matter?”, World Bank Policy Research Working Paper, 1899.
  • Mora, N. 2006. “Sovereign Credit Ratings: Guilty Beyond Reasonable Doubt?”, Journal of Banking & Finance, 30(7), 2041-2062.
  • Moser, C. 2006. “The Impact of Political Risk on Sovereign Bonds Spreads Evidence From Latin America”, Working Paper, University of Mainz, Mainz.
  • Mpapalika, J. and Malikane, C. 2019. “The determinants of sovereign risk premium in African countries” Journal of Risk and Financial Management, 12(1), 29.
  • Mulder, C. and Perrelli, R. 2001. “Foreign Currency Credit Ratings for Emerging Market Economies”, IMF Working Paper, Nov, WP/01/191.
  • Nişancı, M. 2005. “Eşbütünleşme Tekniği İle Türkiye’de Yakıt Talebinin Analizi”, Atatürk Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Sayı: 19, No: 2, 19-30.
  • Nogués, J. and Grandes, M. 2001. “Country Risk: Economic Policy, Contagions Effect or Political Noise?”, Journal of Applied Economics, Vol. IV, No. 1 (May 2001), 125-162.
  • Olabisi, M. and Stein, H. 2015. “Sovereign Bond İssues: Do African Countries Pay More To Borrow?”, Journal of African Trade, 2: 87–109.
  • Özatay, F. 2007. “Monetary Policy Challenges for Turkey in European Union Accession Process”, in: Basçı, E., von Hagen, J., Togan, S. (Eds.), Macroeconomic Policies for EU Accession, Edward Elgar.
  • Özatay, F., Özmen, E. and Şahinbeyoğlu, G. 2009, “Emerging Market Sovereign Spreads, Global Financial Conditions and US Macroeconomic News”, Economic Modelling, Vol. 26 No. 2, pp. 526-531.
  • Rocha, K. and Garcia, F. A. A. 2004. “The Term Structure of Sovereign Spreads in Emerging Markets: a Calibration Approach for Structural Models”, IPEA Press, Brazil.
  • Rojas, A. and Jaque, F. 2003. “Determinants of the Chilean Sovereign Spread: Is it Purely Fundamentals?”, Documentos de Trabajo, Banco Central de Chile.
  • Rowland, P. and Torres, J. (2004), “Determinants of Spreads and Credit Worthiness for Emerging Market Debt: A Panel Data Study”, Banco de la República de Colombia, Borradores de Economía, No: 295.
  • Rozada, M.G. and Yeyati, E. L. 2008. "Global Factors and Emerging Market Spreads," Economic Journal, Vol. 118, Issue 533, 1917-1936. Sgherri, S. and Zoli, E. 2009. “Euro Area Sovereign Risk During the Crisis”, IMF Working Papers, 1-23.
  • Sy, A. N. (2002). “Emerging Market Bond Spreads and Sovereign Credit Ratings: Reconciling Market Views with Economic Fundamentals”, Emerging Markets Review, 3(4), 380-408.
  • Şahinöz, S. and Gönenç, R. 2011. “Determinants of Credit Ratings, Sovereign Bond Spreads and Real Interest Rates in Emerging Markets” Iktisat Isletme ve Finans, 26(305), 09-35.
  • Varlık, N. and Gebeşoğlu, F. 2018. “The Macroeconomic Effects Of Sovereign Risk Premium Shock: A Case Study For Turkey”, Yönetim ve Ekonomi Araştırmaları Dergisi, Cilt: 16, Sayı: 2, 236-246.
  • Varlık, S. (2017). “Ülke Risk Primi Şokunun Bankacılık Sisteminin Sağlamlığına Etkisi: SVAR Modeli Çerçevesinde Türkiye Örneği”, Sosyoekonomi, 25(33), 103-126.
  • Weigel, D.D. and Gemmill, G. 2006, “What Drives Credit Risk in Emerging Markets? The Roles of Country Fundamentals and Market Co-Movements”, Journal of International Money and Finance, Vol. 25 No. 3, pp. 476-502.
Toplam 62 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

İlkay Badurlar 0000-0002-2052-6945

Yayımlanma Tarihi 31 Ocak 2021
Yayımlandığı Sayı Yıl 2021 Cilt: 16 Sayı: 61

Kaynak Göster

APA Badurlar, İ. (2021). Makroekonomik Göstergeler ve Ülke Risk Primi İlişkisinin İncelenmesi: Türkiye Örneği. Yaşar Üniversitesi E-Dergisi, 16(61), 310-329. https://doi.org/10.19168/jyasar.820772
AMA Badurlar İ. Makroekonomik Göstergeler ve Ülke Risk Primi İlişkisinin İncelenmesi: Türkiye Örneği. Yaşar Üniversitesi E-Dergisi. Ocak 2021;16(61):310-329. doi:10.19168/jyasar.820772
Chicago Badurlar, İlkay. “Makroekonomik Göstergeler Ve Ülke Risk Primi İlişkisinin İncelenmesi: Türkiye Örneği”. Yaşar Üniversitesi E-Dergisi 16, sy. 61 (Ocak 2021): 310-29. https://doi.org/10.19168/jyasar.820772.
EndNote Badurlar İ (01 Ocak 2021) Makroekonomik Göstergeler ve Ülke Risk Primi İlişkisinin İncelenmesi: Türkiye Örneği. Yaşar Üniversitesi E-Dergisi 16 61 310–329.
IEEE İ. Badurlar, “Makroekonomik Göstergeler ve Ülke Risk Primi İlişkisinin İncelenmesi: Türkiye Örneği”, Yaşar Üniversitesi E-Dergisi, c. 16, sy. 61, ss. 310–329, 2021, doi: 10.19168/jyasar.820772.
ISNAD Badurlar, İlkay. “Makroekonomik Göstergeler Ve Ülke Risk Primi İlişkisinin İncelenmesi: Türkiye Örneği”. Yaşar Üniversitesi E-Dergisi 16/61 (Ocak 2021), 310-329. https://doi.org/10.19168/jyasar.820772.
JAMA Badurlar İ. Makroekonomik Göstergeler ve Ülke Risk Primi İlişkisinin İncelenmesi: Türkiye Örneği. Yaşar Üniversitesi E-Dergisi. 2021;16:310–329.
MLA Badurlar, İlkay. “Makroekonomik Göstergeler Ve Ülke Risk Primi İlişkisinin İncelenmesi: Türkiye Örneği”. Yaşar Üniversitesi E-Dergisi, c. 16, sy. 61, 2021, ss. 310-29, doi:10.19168/jyasar.820772.
Vancouver Badurlar İ. Makroekonomik Göstergeler ve Ülke Risk Primi İlişkisinin İncelenmesi: Türkiye Örneği. Yaşar Üniversitesi E-Dergisi. 2021;16(61):310-29.