GELİŞMİŞ VE GELİŞMEKTE OLAN EKONOMİLERİN ÜLKE RİSKİNİN BELİRLEYENLERİ

Year 2024, Volume: 25 Issue: 4, 253 - 283, 31.12.2024

Sinem Atıcı Ustalar

https://doi.org/10.53443/anadoluibfd.1484820

Abstract

Bu çalışmada ülke betasının zamana göre değiştiği ortaya konularak, gelişmiş ve gelişmekte olan ekonomilerin ülke risklerinin belirleyenleri analiz edilmektedir. Bu amaçla ilk olarak Heteroskedastik Piyasa Modeli yardımıyla gelişmiş ve gelişmekte olan ekonomilerin 2004-2023 yılları arasındaki beta değerleri hesaplanmıştır. Model hesaplamaları beta değerlerinin zamana ve ülkelere göre değiştiğini kanıtlamaktadır. İkinci olarak ülke betasının ticari açıklık, finansal açıklık, sanayi üretim endeksi, reel efektif döviz kuru ve enflasyon oranı ile ilişkisi panel Sabit Etkiler EKK tahmincisi kullanılarak araştırılmaktadır. Tahmin sonuçları seçilen değişkenlerin ülke betası üzerindeki etkisinin anlamlı olduğunu göstermektedir. Gelişmiş ekonomilerin pay senedi piyasalarının betası finansal açıklık ve sanayi üretim endeksindeki değişimlere duyarlı iken, gelişmekte olan ülkelerin pay senedi piyasasının betası ise ticari açıklık, reel efektif döviz kuru ve enflasyon oranındaki değişimlere duyarlıdır.

Keywords

Ülke Riski, Makroekonomik Değişkenler, Heteroskedastik Piyasa Modeli

THE DETERMINANTS OF COUNTRY RISK OF DEVELPED AND DEVELOPING ECONOMIES

Abstract

In this study, the determinants of country risks of developed and developing economies are analyzed by revealing that country beta varies over time. For this purpose, firstly, the beta values of developed and developing economies between 2004 and 2023 were calculated with the help of the Heteroskedastic Market Model. Model calculations prove that beta values vary over time and countries. Secondly, the relationship of country beta with trade openness, financial openness, industrial production index, real effective exchange rate and inflation rate is investigated using the panel Fixed Effects OLS estimator. Estimation results show that the effect of the selected variables on country beta is significant. While the beta of the stock markets of developed economies is sensitive to changes in financial openness and industrial production index, the beta of the stock markets of developing countries is sensitive to changes in trade openness, real effective exchange rate and inflation rate.

Keywords

Country Risk, Macroeconomic Variables, Heteroskedastic Market Model

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