Ülke Kredi Riski Derecelendirmede: İç Ekonomik Veriler ile Temerrüt Olasılığı İlişkisinin İncelenmesi
Abstract
Ülke Kredi Derecelendirme notları finansal piyasalarda büyük bir öneme sahiptir. Derecelendirme notlarının piyasada fon ihtiyacı olanlar ve yatırımcılar arasında ortak bir dilde bilgi aktarımını sağlama fonksiyonu bulunmaktadır. Ülke Kredi Derecelendirme notları, ülkelerin borçlanma maliyetlerini etkilemektedir. Aynı zamanda yabancı yatırımcıların ve fonların ilgili ülkede yatırım yapma kararlarını etkilemektedir. Ülke Riski Derecelendirme yaklaşımlarında; ödemeler dengesi, iç ekonomik göstergeler, dış varlık verileri, finansal sektörün durumu, gelir ve nüfus verileri, kamu maliyesi verileri değerlendirmelerde kullanılmaktadır. Bu çalışmada, iç ekonomik veriler inceleme kapsamına alınarak ülkelerin temerrüt olasılığına olan etkileri araştırılmıştır. Çalışmada lojistik regresyon yöntemi kullanılmıştır. Ülke temerrüt verileri incelenerek kategorik hale getirilmiştir. GSYIH verileri, döviz kuru ve tüketici fiyatları artış oranı verilerinin temerrüt olasılığını açıklama gücünün yüksek olduğu görülmüştür. Çalışmada G20 ülkeleri kapsama alınmış ve 2008-2017 yılları arası incelenmiştir. Çalışma sonucunda, dolar kurundaki artışların ve bu artışlar nedeniyle USD cinsinden GSYIH’nın azalması ülkelerin temerrüt olasılığı artıran bir etken olmuştur.
References
- Afonso, A., Agnello, L., and Furceri, D. (2010). Fiscal Policy Responsiveness, Persistence, and Discretion. Public Choice, 145(3):503–530.
- Afonso, A. and Gomes, P. (2011). Do Fiscal Imbalances Deteriorate Sovereign Debt Ratings? Revue ´Economique, 62(6):1123–1134.
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- Beers, D. Leon-Maglagnit, P., Staff Working Paper 2019-39, The BoC-BoE Sovereign Default Database: What’s New in 2019?, 2019
- Cantor, R. and Packer, F. (1995). Sovereign Credit Ratings. Current Issues in Economics and Finance, 1(Jun).
- Cantor, R. and Packer, F. (1996). Determinants and Impact of Sovereign Credit Ratings. Economic Policy Review, (Oct):37–53.
- Eaton, J., Fernandez, R. (1995), Sovereign Debt, NBER Working Paper Series N:5131.
- Fitch Ratings, 27 April 2020, Sovereign Rating Criteria, Criteria Report.
- Field, A., Miles, J., 2010, Discovering Statistics Using SAS,Sage Publication, London.
- Elkhoury, M. (2008), Credıt Ratıng Agencıes And Theır Potentıal Impact On Developıng Countrıes, 186.
- Haque, Nadeem U., Mark, Nelson, Mathieson, Donald J. (1998). The Relative Importance of Political and Economic Variables in Creditworthiness Ratings”, IMF Working Paper: 1-13.
- Hill, P., Bissoondoyal-Bheenick, E., Faff, R. (2017), New Evidence on Sovereign to Corporate Credit Rating Spill-overs, IRFA,30104-7.
- Infrangilis (2012), Rating Sovereign Raters, Credit Rating Agencies - Political Scapegoats or Misguided Messengers?.
- Juan J. Cruces and Christoph Trebesch, “Sovereign Defaults: The Price of Haircuts”, American Economic Journal: Macroeconomics, 2013.
- Juttner, J.D. and J. McCarthy. 1998. ‘‘Modeling a rating crisis.’’ Mimeo, Macquarie University, Sydney.
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- Manasse, P. And Roubini, N. and Schimmelpfennig, A. (2003). Predicting Sovereign Debt Crises, WP/03/221.
- Manasse, P. And Roubini, N. (2005). “Rules of Thumb” for Sovereign Debt Crises, WP/05/42.
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- Moody’s History, https://www.moodys.com/Pages/atc001.aspx, 02.12.2020.
- Moody’s Market Segment, https://www.moodys.com/researchandratings , 03.12.2020
- Roubini, N. (2001). Debt Sustainability: How to Assess Whether a Country is Insolvent, New York University. Reinhart , M. (2002), Default, Currency Crıses And Sovereıgn Credıt Ratıngs, NBER Working Paper Series N: 8738.
- Panizza, U., Sturzenegger, F., Zettelmeyer, J. (2009), The Economics and Law of Sovereign Debt and Default, Journal of Economic Literature, 47:3, 1–47.
- Standart&Poors, 2020, Guide to Credit Rating Essentials.
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- Steven S. Skiena, The Data Science Design Manual, Springer, USA, 2017, s: 76
- Trebesch, C. 2009. “The Cost of Aggressive Sovereign Debt Policies: How Much is the Private Sector Affected?” International Monetary Fund (IMF) Working Paper 09/29.
Sovereign Credit Risk Rating: Examining the Relations between Domestic Economy Data and the Probability of Default
Abstract
Sovereign credit ratings have gained importance in financial markets. Sovereign ratings have the function of providing necessary information in a common language between market participants who need funds and investors. Sovereign credit ratings affect countries’ borrowing costs. Additionally, ıt affects the decisions of foreign investors and investment funds, to invest in the related country. In sovereign credit risk approaches, various data is used for assessment such as balance of payment, domestic economy indicators, external economy, financial sector status, income and population data, and public finance data. In the scope of this study, the relation between domestic economy indicators and the probability of default are investigated. The logistic regression method was used in the study. The Sovereign default data is analyzed and categorized. It was observed that GDP data, exchange rate, and consumer price growth rate are high explanatory variables that explain the probability of default. G20 countries were included in the study and examined between the years 2008-2017. As a result of the study, the increase in USD exchange rate and a decrease in the GDP in USD have been a factor that increases the probability of default for countries.
References
- Afonso, A., Agnello, L., and Furceri, D. (2010). Fiscal Policy Responsiveness, Persistence, and Discretion. Public Choice, 145(3):503–530.
- Afonso, A. and Gomes, P. (2011). Do Fiscal Imbalances Deteriorate Sovereign Debt Ratings? Revue ´Economique, 62(6):1123–1134.
- Butler, A., Fauver, L. (2008), Institutional Environment and Sovereign Credit Ratings, Financial Management Vol. 35, Issue 3.
- Beers, D. Leon-Maglagnit, P., Staff Working Paper 2019-39, The BoC-BoE Sovereign Default Database: What’s New in 2019?, 2019
- Cantor, R. and Packer, F. (1995). Sovereign Credit Ratings. Current Issues in Economics and Finance, 1(Jun).
- Cantor, R. and Packer, F. (1996). Determinants and Impact of Sovereign Credit Ratings. Economic Policy Review, (Oct):37–53.
- Eaton, J., Fernandez, R. (1995), Sovereign Debt, NBER Working Paper Series N:5131.
- Fitch Ratings, 27 April 2020, Sovereign Rating Criteria, Criteria Report.
- Field, A., Miles, J., 2010, Discovering Statistics Using SAS,Sage Publication, London.
- Elkhoury, M. (2008), Credıt Ratıng Agencıes And Theır Potentıal Impact On Developıng Countrıes, 186.
- Haque, Nadeem U., Mark, Nelson, Mathieson, Donald J. (1998). The Relative Importance of Political and Economic Variables in Creditworthiness Ratings”, IMF Working Paper: 1-13.
- Hill, P., Bissoondoyal-Bheenick, E., Faff, R. (2017), New Evidence on Sovereign to Corporate Credit Rating Spill-overs, IRFA,30104-7.
- Infrangilis (2012), Rating Sovereign Raters, Credit Rating Agencies - Political Scapegoats or Misguided Messengers?.
- Juan J. Cruces and Christoph Trebesch, “Sovereign Defaults: The Price of Haircuts”, American Economic Journal: Macroeconomics, 2013.
- Juttner, J.D. and J. McCarthy. 1998. ‘‘Modeling a rating crisis.’’ Mimeo, Macquarie University, Sydney.
- Karagöl, E. ,Mıhçıokur, Ü. Kredi Derecelendirme Kuruluşları Alternatif Arayışlar, Seta Rapor 09-2012, www.setav.org.
- Manasse, P. And Roubini, N. and Schimmelpfennig, A. (2003). Predicting Sovereign Debt Crises, WP/03/221.
- Manasse, P. And Roubini, N. (2005). “Rules of Thumb” for Sovereign Debt Crises, WP/05/42.
- Moody’s Inverstor Service, 2017, Rating Symbols and Definitions.
- Moody’s History, https://www.moodys.com/Pages/atc001.aspx, 02.12.2020.
- Moody’s Market Segment, https://www.moodys.com/researchandratings , 03.12.2020
- Roubini, N. (2001). Debt Sustainability: How to Assess Whether a Country is Insolvent, New York University. Reinhart , M. (2002), Default, Currency Crıses And Sovereıgn Credıt Ratıngs, NBER Working Paper Series N: 8738.
- Panizza, U., Sturzenegger, F., Zettelmeyer, J. (2009), The Economics and Law of Sovereign Debt and Default, Journal of Economic Literature, 47:3, 1–47.
- Standart&Poors, 2020, Guide to Credit Rating Essentials.
- Standart&Poors, June 2017, S&P Global Rating Definitions.
- Standart&Poors, https://www.spglobal.com/ratings/en/about/index.aspx, 01.12.2020
- Steven S. Skiena, The Data Science Design Manual, Springer, USA, 2017, s: 76
- Trebesch, C. 2009. “The Cost of Aggressive Sovereign Debt Policies: How Much is the Private Sector Affected?” International Monetary Fund (IMF) Working Paper 09/29.
Details
| Primary Language | Turkish |
|---|---|
| Subjects | Economics |
| Journal Section | Makaleler |
| Authors | |
| Publication Date | February 10, 2021 |
| Submission Date | December 10, 2020 |
| Published in Issue | Year 2021 Volume: 8 Issue: 1 |
