The Effect of Sovereign Credit Ratings on CDS Premiums: An Event Study on Developed and Developing Countries

Year 2022, Issue: 117, 135 - 158, 27.04.2022

Sinem Uçarkaya Şenol Babuşcu Adalet Hazar

https://doi.org/10.33203/mfy.1067002

Cited By: 2

Abstract

This study aims to examine whether credit ratings effect country CDS premiums in developed and developing countries and whether the effect differs between the two groups. For this purpose, CDS premiums of 26 developed and developing countries for the period of January 2005-October 2021, the announcements of credit rating agencies and event analysis method
were employed. The results show that CDS premiums in developed countries are not statistically affected by negative announcements, but the response to positive announcements is statistically significant. On the other hand, CDS premiums in emerging countries are significantly affected by both positive and negative rating announcements.

Keywords

Credit rating announcement, CDS premium, event study, sovereign credit rating

Ülke Kredi Notlarının CDS Primleri Üzerindeki Etkisi: Gelişmiş ve Gelişmekte Olan Ülkeler Üzerine Bir Olay Analizi

Abstract

Bu çalışmanın amacı gelişmiş ve gelişmekte olan ülkelerde kredi derecelerinin ülke CDS primleri üzerinde etkili olup olmadığının ve etkinin gelişmiş ve gelişmekte olan ülkeler arasında farklılık gösterip göstermediğinin incelenmesdir. Bu amaçla dünya ekonomisinde ağırlığı olan 17 gelişmiş ve 9 gelişmekte olan ülkenin 4 Ocak 2005 ile 12 Ekim 2021 dönemi için ABD doları cinsinden 5 yıl vadeli devlet tahvillerine ilişkin CDS primleri ile S&P, Moody’s ve Fitch kredi derecelendirme kuruluşlarının söz konusu ülkelerin kredi notu veya görünümüne ilişkin yaptıkları duyurular kullanılarak, olay analizi yöntemiyle araştırma sorularına yanıt aranmıştır. Analiz sonuçları gelişmiş ülkelerde CDS primlerinin negatif duyurulardan istatistiksel olarak anlamlı ölçüde etkilenmediğini, pozitif duyurulara verilen tepkinin ise istatistiksel olarak anlamlı olduğunu göstermektedir. Öte yandan, gelişmekte olan ülkelerde CDS primleri hem pozitif hem de negatif derecelendirme duyurularından anlamlı ölçüde etkilenmektedir. Bu bulgular gelişmekte olan ülkeler açısından daha önce yapılan bazı çalışmaların bulgularıyla paralellik arz ederken, gelişmiş ülkelerin negatif duyurulara verdiği tepki açısından bir çalışmanın bulgularıyla örtüşmemektedir.

Keywords

Kredi derecelendirme duyurusu, CDS primi, olay analizi, ülke kredi notu

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