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A COMPARATIVE ANALYSIS OF SOVEREIGN CREDIT RATING METHODS AND CREDIT DEFAULT SWAPS

Year 2017, Volume: 17 Issue: 4, 107 - 124, 30.12.2017

Abstract

The measurement and evaluation of credit notes of the country especially in the last half century has become quite important and these assessments have become a vital factor for the macroeconomic performance of the countries. In this context, two of the methods that can be applied to measure the credibility of the countries are rating by credit rating agencies and credit default swaps. Both of these methods which have different methodology reflect the credit ratings of countries. In this study a comparative analysis of these two methods is performed and similarities and differences between them has been demonstrated. Also the consistency of the results obtained by these two methods are analyzed and a policy implication is
proposed on the methods of sovereign credit rating.

References

  • Anthropelos, M. (2010). A Short Introduction to Credit Default Swaps, Also available at: http://web.xrh.unipi.gr/faculty/anthropelos/CR/Introto CDS.pdf, Access Date: 03.12.2017
  • Balıkçıoğlu, E. (2013). Ülkelerin Finansal Açıdan Kredi Notlarını Etkileyen Faktörler Ve Kurallı Maliye Politikasının Etkisi: 2000 Sonrası DönemTürkiye’de Uygulanan Maliye Politikalarının Kredi Notları Üzerindeki Etkisinin Karşılaştırmalı Analizi. Published Phd thesis, Ankara: Ankara University Social Sciences Institute.
  • Bartels, B. (2015). Essays on Credit Rating Agencies and The Assessment of Sovereign Risk. Published Phd Dissertation. Universitätsbibliothek Mainz, Also available at: https://publications.ub.uni-mainz.de/theses/volltexte /2015/4037/pdf/4037.pdf., Access Date: 19.12.2017
  • Bheenick, E. (2005). “An Analysis of the Determinants of Sovereign Ratings”. Melbourne: Global Finance Journal, 15.
  • Çalışkan, Ö.V. (2002). “Kredi Derecelendirme Kuruluşları ve Risk Değerlendirme Kriterleri”. G.Ü İ.İ.B.F journal, 1, 53-66.
  • Cantor, R., Packer, F., (1996). “Determinants and Impact of Sovereign Credit Ratings”. Economic Policy Review, Federal Reserve Bank of New york, November, 37-53.
  • Chang, J.H., (2005). “Globalization and East Asian Economies: An Introduction”. Global Economic Review, Taylor and Francis Journals, 34(4), 355-362.
  • Chen, K., Fleming, M., Jackson, J., Li, A. Sarkar, A. (2011). An Analysis of CDS Transactions: Implications for Public Reporting. Federal Reserve Bank of New York Staff Reports, Staff Report no. 517 Also available at: https://pdfs.semanticscholar.org/174d/a82efeca53d96350 cb144d6ea808b570a75a.pdf, Access Date: 03.12.2017
  • Dimitriou, C. (2016). “Sovereign Debt and Credit Rating Agencies”. N. p., Also available at: https://www.google.com.tr/url?sa=t&rct=j&q=&esrc =s&source=web&cd=1&cad=rja&uact=8&ved=0ahUKEwi7-bum8frX AhUEWxoKHRvMD3wQFggoMAA&url=https%3A%2F%2Fthesis.eur.nl%2Fpub%2F35330%2FDimitriou-C.-388670-.pdf&usg=AOvVaw2 hpSHOgMnQylDg0RpqvCK3, Access Date: 08.12.2017
  • Fuchs, A., Gehring, K. (2015). The Home Bias in Sovereign Ratings, Courant Research Centre: Poverty, Equity and Growth - Discussion Papers, No. 179
  • Gülmez, A., Besel, F. and Yardimcioglu, F. (2017) Does Country Credit Rating Affect Current Deficit Account: The Case of Turkey (1992-2014). Review of Innovation and Competitiveness, vol.3(2), 25-42 124
  • http://www.guvensayilgan.com/wp-content/uploads/2014/09/Kredi-Temerr% C3%BCt-Swaplar%C4%B1-ve-Kredi-Dereceleri.pdf , Access: 23.03.2016
  • http://www.economywatch.com/features/A-New-Credit-Rating-Agency-for-BRICS.02-13-15.html, https://www.fitchratings.com/, Access Date:21.03.2016
  • https://www.moodys.com/Pages/atc001.aspx , Access Date: 19.03.2016
  • http://financialplanningbodyofknowledge.com/wiki/Credit_default_swaps, Access Date: 18.12.2017
  • https://www.sec.gov/investor/alerts/ib_creditratings.pdf, Access Date: 21.03.2016
  • https://www.standardandpoors.com/ , Access Date: 21.03.2016
  • Longstaff, F.A., Mithal, S. and Neis, E. (2003). “The Credit Default Swap Market: Is Credit Protection Priced Correctly?”. Presented at USC FBE Finance Seminar.
  • Tang, Leo. (2016). Three Essays on Credit Ratings. Diss. Rutgers University-Graduate School-Newark, Also Available at: https://rucore.libraries.rutgers.edu/rutgers-lib/50567/#citation-export, Access Date: 08.12.2017
  • Ulusoy, A. (2012). Devlet Borçlanması.Trabzon: Aksakal Publications.

ÜLKE KREDİ DERECELENDİRME YÖNTEMLERİ VE KREDİ TEMERRÜD SWAPLARININ KARŞILAŞTIRMALI BİR ANALİZİ

Year 2017, Volume: 17 Issue: 4, 107 - 124, 30.12.2017

Abstract

Ülkelerin kredi notlarının ölçülmesi ve değerlendirilmesi özellikle son yarım yüzyılda oldukça önem kazanmış ve bu değerlendirmeler ülkelerin makroekonomik performansları için önemli faktörler haline gelmişlerdir. Bu bağlamda, ülkelerin kredibilitelerinin ölçülmesinde başvurulabilecek metodlardan ikisi kredi derecelendirme kuruluşlarının değerlendirmeleri ve kredi temerrüd
swaplarıdır. Her ikisi de tamamen farklı methodolojilere sahip olan bu yöntemler ülkelerin kredi notlarını yansıtır. Bu çalışmada bu iki yöntemin karşılaştırmalı analizi yapılarak, benzer ve farklı yönleri ortaya konulmuştur. Ayrıca bu iki yöntemle elde edilen sonuçların tutarlılığı da analiz edilmiştir ve ülke kredi derecelndirme yöntemlerine ilişkin politika önerilerinde bulunulmuştur.

References

  • Anthropelos, M. (2010). A Short Introduction to Credit Default Swaps, Also available at: http://web.xrh.unipi.gr/faculty/anthropelos/CR/Introto CDS.pdf, Access Date: 03.12.2017
  • Balıkçıoğlu, E. (2013). Ülkelerin Finansal Açıdan Kredi Notlarını Etkileyen Faktörler Ve Kurallı Maliye Politikasının Etkisi: 2000 Sonrası DönemTürkiye’de Uygulanan Maliye Politikalarının Kredi Notları Üzerindeki Etkisinin Karşılaştırmalı Analizi. Published Phd thesis, Ankara: Ankara University Social Sciences Institute.
  • Bartels, B. (2015). Essays on Credit Rating Agencies and The Assessment of Sovereign Risk. Published Phd Dissertation. Universitätsbibliothek Mainz, Also available at: https://publications.ub.uni-mainz.de/theses/volltexte /2015/4037/pdf/4037.pdf., Access Date: 19.12.2017
  • Bheenick, E. (2005). “An Analysis of the Determinants of Sovereign Ratings”. Melbourne: Global Finance Journal, 15.
  • Çalışkan, Ö.V. (2002). “Kredi Derecelendirme Kuruluşları ve Risk Değerlendirme Kriterleri”. G.Ü İ.İ.B.F journal, 1, 53-66.
  • Cantor, R., Packer, F., (1996). “Determinants and Impact of Sovereign Credit Ratings”. Economic Policy Review, Federal Reserve Bank of New york, November, 37-53.
  • Chang, J.H., (2005). “Globalization and East Asian Economies: An Introduction”. Global Economic Review, Taylor and Francis Journals, 34(4), 355-362.
  • Chen, K., Fleming, M., Jackson, J., Li, A. Sarkar, A. (2011). An Analysis of CDS Transactions: Implications for Public Reporting. Federal Reserve Bank of New York Staff Reports, Staff Report no. 517 Also available at: https://pdfs.semanticscholar.org/174d/a82efeca53d96350 cb144d6ea808b570a75a.pdf, Access Date: 03.12.2017
  • Dimitriou, C. (2016). “Sovereign Debt and Credit Rating Agencies”. N. p., Also available at: https://www.google.com.tr/url?sa=t&rct=j&q=&esrc =s&source=web&cd=1&cad=rja&uact=8&ved=0ahUKEwi7-bum8frX AhUEWxoKHRvMD3wQFggoMAA&url=https%3A%2F%2Fthesis.eur.nl%2Fpub%2F35330%2FDimitriou-C.-388670-.pdf&usg=AOvVaw2 hpSHOgMnQylDg0RpqvCK3, Access Date: 08.12.2017
  • Fuchs, A., Gehring, K. (2015). The Home Bias in Sovereign Ratings, Courant Research Centre: Poverty, Equity and Growth - Discussion Papers, No. 179
  • Gülmez, A., Besel, F. and Yardimcioglu, F. (2017) Does Country Credit Rating Affect Current Deficit Account: The Case of Turkey (1992-2014). Review of Innovation and Competitiveness, vol.3(2), 25-42 124
  • http://www.guvensayilgan.com/wp-content/uploads/2014/09/Kredi-Temerr% C3%BCt-Swaplar%C4%B1-ve-Kredi-Dereceleri.pdf , Access: 23.03.2016
  • http://www.economywatch.com/features/A-New-Credit-Rating-Agency-for-BRICS.02-13-15.html, https://www.fitchratings.com/, Access Date:21.03.2016
  • https://www.moodys.com/Pages/atc001.aspx , Access Date: 19.03.2016
  • http://financialplanningbodyofknowledge.com/wiki/Credit_default_swaps, Access Date: 18.12.2017
  • https://www.sec.gov/investor/alerts/ib_creditratings.pdf, Access Date: 21.03.2016
  • https://www.standardandpoors.com/ , Access Date: 21.03.2016
  • Longstaff, F.A., Mithal, S. and Neis, E. (2003). “The Credit Default Swap Market: Is Credit Protection Priced Correctly?”. Presented at USC FBE Finance Seminar.
  • Tang, Leo. (2016). Three Essays on Credit Ratings. Diss. Rutgers University-Graduate School-Newark, Also Available at: https://rucore.libraries.rutgers.edu/rutgers-lib/50567/#citation-export, Access Date: 08.12.2017
  • Ulusoy, A. (2012). Devlet Borçlanması.Trabzon: Aksakal Publications.
There are 20 citations in total.

Details

Primary Language English
Journal Section Reasearch Articles
Authors

Burak Pirdal

Publication Date December 30, 2017
Submission Date February 24, 2017
Published in Issue Year 2017 Volume: 17 Issue: 4

Cite

APA Pirdal, B. (2017). A COMPARATIVE ANALYSIS OF SOVEREIGN CREDIT RATING METHODS AND CREDIT DEFAULT SWAPS. Bolu Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 17(4), 107-124.
AMA Pirdal B. A COMPARATIVE ANALYSIS OF SOVEREIGN CREDIT RATING METHODS AND CREDIT DEFAULT SWAPS. ASBİ. December 2017;17(4):107-124.
Chicago Pirdal, Burak. “A COMPARATIVE ANALYSIS OF SOVEREIGN CREDIT RATING METHODS AND CREDIT DEFAULT SWAPS”. Bolu Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 17, no. 4 (December 2017): 107-24.
EndNote Pirdal B (December 1, 2017) A COMPARATIVE ANALYSIS OF SOVEREIGN CREDIT RATING METHODS AND CREDIT DEFAULT SWAPS. Bolu Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 17 4 107–124.
IEEE B. Pirdal, “A COMPARATIVE ANALYSIS OF SOVEREIGN CREDIT RATING METHODS AND CREDIT DEFAULT SWAPS”, ASBİ, vol. 17, no. 4, pp. 107–124, 2017.
ISNAD Pirdal, Burak. “A COMPARATIVE ANALYSIS OF SOVEREIGN CREDIT RATING METHODS AND CREDIT DEFAULT SWAPS”. Bolu Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 17/4 (December 2017), 107-124.
JAMA Pirdal B. A COMPARATIVE ANALYSIS OF SOVEREIGN CREDIT RATING METHODS AND CREDIT DEFAULT SWAPS. ASBİ. 2017;17:107–124.
MLA Pirdal, Burak. “A COMPARATIVE ANALYSIS OF SOVEREIGN CREDIT RATING METHODS AND CREDIT DEFAULT SWAPS”. Bolu Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, vol. 17, no. 4, 2017, pp. 107-24.
Vancouver Pirdal B. A COMPARATIVE ANALYSIS OF SOVEREIGN CREDIT RATING METHODS AND CREDIT DEFAULT SWAPS. ASBİ. 2017;17(4):107-24.

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