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Year 2017, Volume: 3 Issue: 1, 197 - 205, 30.06.2017
https://doi.org/10.17261/Pressacademia.2017.404

Abstract

References

  • Afşar, a., & Karaçayır, E. (2016). Ülke Kredi Notunun Belirleyicileri Türkiye ve AB Ülkeleri Üzerine Bir Uygulama. Journal Of Economics, Finance and Accounting, 3(4), 320–329.
  • Afonso, A. (2002), “Understanding The Determinants of Government Debt Ratings: Evidence forhe the Two Leading Agencies”, Department of Economics and Research Center on the Portuguese Economy (CISEP), Lisbon.
  • Archer, C. C., Biglaiser, G., ve DeRouen, K. Jr. (2007), “Sovereign Bonds and the Democratic Advantage: Does Regime Type Affect Credit Rating Agency Ratings in the Developing World?” [Ülke Bonoları ve Demokratik Avantaj: Gelişen Dünyada Rejim Türleri Kredi Derecelendirme Kuruluşlarının Derecelendirmesini Etkiler mi?] International Organization, Vol.61, No.2 (Spring 2007), pp. 341-365
  • Breusch, T.S. ve Pagan, A.R. (1980), "The Lagrange Multiplier Test and Its Applications to Model Spesification in Econometrics", The Review of Economic Studies, 47(1), 239-253.
  • Cantor, R. ve Packer, F. (1996), “Determinants and Impact of Sovereign Credit Rating”. [Ülke Kredi Notlarının Etkileri ve Belirleyicileri]. Federal Reserve Bank of New York Economic Policy Review, pp:37-54.
  • Çınar, Serkan. (2010), OECD Ülkelerinde Kişi Başına GSYİH Durağan mı? Panel Veri Analizi, Marmara Üniversitesi İ.İ.B.F. Dergisi 29(2), 591-601
  • Gültekin-Karakaş, D., Hisarcıklılar, M. ve Öztürk, H., (2011), “Sovereign Risk Ratings: Biased Toward Developed Countries?”, Emerging Markets Finance & Trade, 47(2), 69–87.
  • Gür, T. (2000), “Ülke Riskinin Belirlenmesinde Yöntemler”, H.Ü. İktisadi ve İdari Bilimler Dergisi, 18(2): 119-139.
  • Gür, T. H. & Öztürk, H. 2011, “Ülke Riski, Derecelendirme Kuruluşları, Aksaklıklar ve Yeni Düzenlemeler” Sosyoekonomi Dergisi. 20112/110204, pp. 69-92
  • Ferri, G., Liu, L. ve Stiglitz, J.E. (1999). “The Procyclical Role of Rating Agencies: Evidence from The East Asian Crisis”. [Derecelendirme
  • Kuruluşlarının Döngüsel Rolü: Doğu Asya Krizinden Deliller]. Economic Notes 28, 335–355
  • Kaufmann, D., Kraay, A. ve Mastruzzi, M. (2003). “Governance Matters 3: Governance Indicators for 1996-2002”. [Yönetim Meseleleri 3: 1996-2002 arası Yönetim Endeksi]. Word Bank Working Paper, No:3106
  • Iyengar, S. (2010), “Are Sovereign Credit Ratings Objective and Transparent?”, The IUP Journal of Financial Economics, Vol. VIII, No.3.
  • Matyas, L. ve Sevestre, P. (2008), The Econometrics of Panel Data Fundamentals and Recent Developments in Theory and Practice, Third Edition, Germany: Springer.
  • Nazlıoğlu, Şaban, (2010) Makro İktisat Politikalarının Tarım Sektörü Üzerindeki Etkisi: Gelişmiş ve Gelişmekte Olan Ülkeler İçin Bir Karşılaştırma, Erciyes Üniversitesi, Sosyal Bilimler Enstitüsü, (Yayımlanmamış Doktora Tezi).
  • Ratha, D., Prabak, K., De ve Mohapatra, S. (2010). “Shadow Sovereign Rating for Unrated Developing Countries”. [Derecelendirilmemiş Gelişmekte Olan Ülkeler İçin Gölge Ülke Notları]. World Development, Volume 39, Issue 3, March 2011, Pages 295-307
  • Pesaran, M.H. (2004), "General Diagnostic Tests for Cross Section Dependence in Panels", Cesifo Working Paper, No: 1229, 1-40.
  • Pesaran, M.H. (2007), "A Simple Panel Unit Root Test in the Presence of Cross-Section Dependence", Journal of Applied Econometrics, 22(2), 265-312.
  • Pesaran, M. H., Ullah, A. ve Yamagata, T. (2008), “A Bias-Adjusted LM Test of Error Cross-Section Independence”, Econometrics Journal, 11, 105-127.
  • Ovalı, S. 2014. “Ülke Kredi Notu Değerlendirme Kriterleri Açısından Türkiye: Ab İle Karşılaştırmalı Analiz” Uluslararası Yönetim İktisat ve İşletme Dergisi, Cilt 10, Sayı 23, pp. 53-81.
  • Şahinöz, S. ve Gönenç, R. (2011), “Determinants of Credit Ratings, Sovereign Bond Spreads and Real Interest Rates In Emerging Markets”, İktisat İşletme ve Finans, 26(305), 9-35.
  • Ul-Haque, N., Kumar, M.S., Mark, N. ve Mathieson, D.J., (1996). “The economic content of indicators of developing country creditworthiness”, [Gelişmekte Olan Ülkelerin Kredibilitesinin Göstergelerinin Ekonomik İçeriği]. International Monetary Fund Staff Papers, 43, 688– 724.
  • Yıldırım, K., Mercan, M., Kostakoğlu, S. F. (2013), Satın Alma Gücü Paritesinin Geçerliliğinin Test Edilmesi: Zaman Serisi ve Panel Veri Analizi, Eskişehir Osmangazi Üniversitesi İ.İ.B.F. Dergisi, 8(3), 75- 95
  • Westerlund, J. (2007), "Testing for Error Correction in Panel Data", Oxford Bulletin of Economics and Statistics, 69(6), 709-748.

MACROECONOMIC FACTORS AFFECTING THE COUNTRY CREDIT INVESTIGATIONS: AN APPLICATION ON FRAGILE EIGHT

Year 2017, Volume: 3 Issue: 1, 197 - 205, 30.06.2017
https://doi.org/10.17261/Pressacademia.2017.404

Abstract

This study examines the relationship between
macroeconomic variables and country credit ratings determined by credit rating
agencies. In this context, the credit ratings of the countries (Turkey, Brazil,
Chile, Argentina, India, Indonesia, Russia, and S. Africa), which are called
Fragile Sekizli, are ranked by Fitch, one of the three major credit rating
agencies. At the same time, country credit ratings are used as a dependent
variable, independent of macroeconomic factors affecting country credit ratings,
such as GDP per capita, exports, inflation, unemployment, exchange rate, total
reserves, ratio of trade to GDP and ratio of gross savings to GDP It is
discussed. The factors affecting the country credit ratings were examined by
panel data analysis on Fragile Eight, which is also included in Turkey. Country
credit scores and macroeconomic variable figures between 2000 and 2015 were
used in the study.



 

References

  • Afşar, a., & Karaçayır, E. (2016). Ülke Kredi Notunun Belirleyicileri Türkiye ve AB Ülkeleri Üzerine Bir Uygulama. Journal Of Economics, Finance and Accounting, 3(4), 320–329.
  • Afonso, A. (2002), “Understanding The Determinants of Government Debt Ratings: Evidence forhe the Two Leading Agencies”, Department of Economics and Research Center on the Portuguese Economy (CISEP), Lisbon.
  • Archer, C. C., Biglaiser, G., ve DeRouen, K. Jr. (2007), “Sovereign Bonds and the Democratic Advantage: Does Regime Type Affect Credit Rating Agency Ratings in the Developing World?” [Ülke Bonoları ve Demokratik Avantaj: Gelişen Dünyada Rejim Türleri Kredi Derecelendirme Kuruluşlarının Derecelendirmesini Etkiler mi?] International Organization, Vol.61, No.2 (Spring 2007), pp. 341-365
  • Breusch, T.S. ve Pagan, A.R. (1980), "The Lagrange Multiplier Test and Its Applications to Model Spesification in Econometrics", The Review of Economic Studies, 47(1), 239-253.
  • Cantor, R. ve Packer, F. (1996), “Determinants and Impact of Sovereign Credit Rating”. [Ülke Kredi Notlarının Etkileri ve Belirleyicileri]. Federal Reserve Bank of New York Economic Policy Review, pp:37-54.
  • Çınar, Serkan. (2010), OECD Ülkelerinde Kişi Başına GSYİH Durağan mı? Panel Veri Analizi, Marmara Üniversitesi İ.İ.B.F. Dergisi 29(2), 591-601
  • Gültekin-Karakaş, D., Hisarcıklılar, M. ve Öztürk, H., (2011), “Sovereign Risk Ratings: Biased Toward Developed Countries?”, Emerging Markets Finance & Trade, 47(2), 69–87.
  • Gür, T. (2000), “Ülke Riskinin Belirlenmesinde Yöntemler”, H.Ü. İktisadi ve İdari Bilimler Dergisi, 18(2): 119-139.
  • Gür, T. H. & Öztürk, H. 2011, “Ülke Riski, Derecelendirme Kuruluşları, Aksaklıklar ve Yeni Düzenlemeler” Sosyoekonomi Dergisi. 20112/110204, pp. 69-92
  • Ferri, G., Liu, L. ve Stiglitz, J.E. (1999). “The Procyclical Role of Rating Agencies: Evidence from The East Asian Crisis”. [Derecelendirme
  • Kuruluşlarının Döngüsel Rolü: Doğu Asya Krizinden Deliller]. Economic Notes 28, 335–355
  • Kaufmann, D., Kraay, A. ve Mastruzzi, M. (2003). “Governance Matters 3: Governance Indicators for 1996-2002”. [Yönetim Meseleleri 3: 1996-2002 arası Yönetim Endeksi]. Word Bank Working Paper, No:3106
  • Iyengar, S. (2010), “Are Sovereign Credit Ratings Objective and Transparent?”, The IUP Journal of Financial Economics, Vol. VIII, No.3.
  • Matyas, L. ve Sevestre, P. (2008), The Econometrics of Panel Data Fundamentals and Recent Developments in Theory and Practice, Third Edition, Germany: Springer.
  • Nazlıoğlu, Şaban, (2010) Makro İktisat Politikalarının Tarım Sektörü Üzerindeki Etkisi: Gelişmiş ve Gelişmekte Olan Ülkeler İçin Bir Karşılaştırma, Erciyes Üniversitesi, Sosyal Bilimler Enstitüsü, (Yayımlanmamış Doktora Tezi).
  • Ratha, D., Prabak, K., De ve Mohapatra, S. (2010). “Shadow Sovereign Rating for Unrated Developing Countries”. [Derecelendirilmemiş Gelişmekte Olan Ülkeler İçin Gölge Ülke Notları]. World Development, Volume 39, Issue 3, March 2011, Pages 295-307
  • Pesaran, M.H. (2004), "General Diagnostic Tests for Cross Section Dependence in Panels", Cesifo Working Paper, No: 1229, 1-40.
  • Pesaran, M.H. (2007), "A Simple Panel Unit Root Test in the Presence of Cross-Section Dependence", Journal of Applied Econometrics, 22(2), 265-312.
  • Pesaran, M. H., Ullah, A. ve Yamagata, T. (2008), “A Bias-Adjusted LM Test of Error Cross-Section Independence”, Econometrics Journal, 11, 105-127.
  • Ovalı, S. 2014. “Ülke Kredi Notu Değerlendirme Kriterleri Açısından Türkiye: Ab İle Karşılaştırmalı Analiz” Uluslararası Yönetim İktisat ve İşletme Dergisi, Cilt 10, Sayı 23, pp. 53-81.
  • Şahinöz, S. ve Gönenç, R. (2011), “Determinants of Credit Ratings, Sovereign Bond Spreads and Real Interest Rates In Emerging Markets”, İktisat İşletme ve Finans, 26(305), 9-35.
  • Ul-Haque, N., Kumar, M.S., Mark, N. ve Mathieson, D.J., (1996). “The economic content of indicators of developing country creditworthiness”, [Gelişmekte Olan Ülkelerin Kredibilitesinin Göstergelerinin Ekonomik İçeriği]. International Monetary Fund Staff Papers, 43, 688– 724.
  • Yıldırım, K., Mercan, M., Kostakoğlu, S. F. (2013), Satın Alma Gücü Paritesinin Geçerliliğinin Test Edilmesi: Zaman Serisi ve Panel Veri Analizi, Eskişehir Osmangazi Üniversitesi İ.İ.B.F. Dergisi, 8(3), 75- 95
  • Westerlund, J. (2007), "Testing for Error Correction in Panel Data", Oxford Bulletin of Economics and Statistics, 69(6), 709-748.
There are 24 citations in total.

Details

Journal Section Articles
Authors

Salih Arslan

Publication Date June 30, 2017
Published in Issue Year 2017 Volume: 3 Issue: 1

Cite

APA Arslan, S. (2017). MACROECONOMIC FACTORS AFFECTING THE COUNTRY CREDIT INVESTIGATIONS: AN APPLICATION ON FRAGILE EIGHT. PressAcademia Procedia, 3(1), 197-205. https://doi.org/10.17261/Pressacademia.2017.404
AMA Arslan S. MACROECONOMIC FACTORS AFFECTING THE COUNTRY CREDIT INVESTIGATIONS: AN APPLICATION ON FRAGILE EIGHT. PAP. June 2017;3(1):197-205. doi:10.17261/Pressacademia.2017.404
Chicago Arslan, Salih. “MACROECONOMIC FACTORS AFFECTING THE COUNTRY CREDIT INVESTIGATIONS: AN APPLICATION ON FRAGILE EIGHT”. PressAcademia Procedia 3, no. 1 (June 2017): 197-205. https://doi.org/10.17261/Pressacademia.2017.404.
EndNote Arslan S (June 1, 2017) MACROECONOMIC FACTORS AFFECTING THE COUNTRY CREDIT INVESTIGATIONS: AN APPLICATION ON FRAGILE EIGHT. PressAcademia Procedia 3 1 197–205.
IEEE S. Arslan, “MACROECONOMIC FACTORS AFFECTING THE COUNTRY CREDIT INVESTIGATIONS: AN APPLICATION ON FRAGILE EIGHT”, PAP, vol. 3, no. 1, pp. 197–205, 2017, doi: 10.17261/Pressacademia.2017.404.
ISNAD Arslan, Salih. “MACROECONOMIC FACTORS AFFECTING THE COUNTRY CREDIT INVESTIGATIONS: AN APPLICATION ON FRAGILE EIGHT”. PressAcademia Procedia 3/1 (June 2017), 197-205. https://doi.org/10.17261/Pressacademia.2017.404.
JAMA Arslan S. MACROECONOMIC FACTORS AFFECTING THE COUNTRY CREDIT INVESTIGATIONS: AN APPLICATION ON FRAGILE EIGHT. PAP. 2017;3:197–205.
MLA Arslan, Salih. “MACROECONOMIC FACTORS AFFECTING THE COUNTRY CREDIT INVESTIGATIONS: AN APPLICATION ON FRAGILE EIGHT”. PressAcademia Procedia, vol. 3, no. 1, 2017, pp. 197-05, doi:10.17261/Pressacademia.2017.404.
Vancouver Arslan S. MACROECONOMIC FACTORS AFFECTING THE COUNTRY CREDIT INVESTIGATIONS: AN APPLICATION ON FRAGILE EIGHT. PAP. 2017;3(1):197-205.

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