Assessment of the Impact of Trade Partner’s Cross- Country Sovereign Rating on the Financial Market of Selected Emerging Market Economies

Abstract

In recent years, credit rating agencies such as Moody’s, S&P and Fitch either upgraded or downgraded countries when their economies were either blossoming or in a chaotic state. There is general consensus that credit rating agencies’ actions have triggered substantial financial unrestrained behaviour that resulted to the recent financial meltdown in 2008. To what extent does a sovereign ratings upgrade or downgrade of the major trade partners of an emerging market economy impact trade both domestically and internationally? This research is done using data from 10 emerging countries between 2000-2011to investigate the cross-country impact of either an upgrade or downgrade of an emerging economy’s principal trade partners on its financial market. In addition we analyse the impact prior and after the 2008 financial crisis. The ramifying impact on emerging economies due to sovereign grade change given a 10 days event window prior and after the event is investigated. We use both a pooled panel framework and event study methodology to assess the significance of the effect of rating changes

Keywords

• Contagion, emerging markets, event study, financial markets, pooled panel, sovereign credit rating

Ticaret Ortağı Kredi Notunun Seçilmiş Yükselen Piyasa Ekonomilerinin Finansal Piyasaları Üzerindeki Etkilerinin Değerlendirilmesi

Abstract

Son yıllarda Moody’s, S&P ve Fitch gibi kredi derecelendirme kuruluşları ülkelerin notlarını ekonomilerinin iyi veya kötü durumda olmalarına göre arttırmakta ve düşürmektedirler. Kredi derecelendirme kuruluşlarının hareketlerinin 2008 finansal krizi ile sonuçlanan finansal olarak kontrol edilemeyen davranışları tetiklediği üzerinde genel bir fikir birliğine varılmıştır. Yükselen piyasa ekonomisinin en önemli ticaret ortaklarının kredi notlarının yükseltilmesi ve düşürülmesi ülke ticareti üzerinde ne ölçüde etkilidir? Bu çalışmada 20012011 yılları arası 10 yükselen piyasa ekonomisine ait veriler kullanılarak en önemli ticaret ortaklarının kredi notundaki değişikliklerin ülkenin finansal piyasaları üzerindeki etkileri araştırılmıştır. Olay çalışmasında kredi notu değişikliklerinin 10 gün öncesi ve sonrası etkileri araştırılmıştır. Kredi notu değişikliklerinin etkilerinin değerlendirilmesinde havuzlanmış panel ve olay çalışması yöntemi birlikte kullanılmıştır

Keywords

• Bulaşma, yükselen piyasalar, olay çalışması, finansal piyasalar, havuzlanmış panel, bağımsız kredi derecelendirme

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