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Ülke Riski, Derecelendirme Kuruluşları, Aksaklıklar ve Yeni Düzenlemeler

Yıl 2011, Cilt: 16 Sayı: 16, - , 01.12.2011

Öz

Kredi Derecelendirme Kuruluşları (KDK) ve bu kuruluşların ülkelere verdiği, uluslararası sermaye piyasalarında da geniş bir kullanım alanı bulan kredi notları, yaşanan her finansal kriz sonrasında giderek artan bir şekilde eleştiriye maruz kalmaktadır. Birçok uluslararası otorite, kredi derecelendirme sektörünün düzenlenmesine ve denetlenmesine yönelik olarak önerilerde bulunmuş ve birçok ülke, kredi derecelendirme sektörünün düzenlenmesi ve denetimi yolunda önemli adımlar atmıştır. Özelikle akademik çalışmalar KDK’ların verdiği notların veriliş yönteminin keyfiliğini, içerdiği metodolojik ve yöntemsel problemleri ve notların krizleri öngörme performanslarını ciddi biçimde eleştirmektedir. Bu çalışma, uluslararası bütünleşme ve küreselleşme çerçevesinde önemi artan ülke riskinin ölçümü süresinde büyük önem atfedilen KDK’lara yönetilen temel eleştirileri geniş bir perspektiften ele almak amacını gütmekte ve bu alandaki eksiklikleri göz önüne sermektedir. Çalışma ayrıca A.B.D.‘de ortaya çıkıp tüm dünyaya yayılan 2007–2009 dünya finansal krizi çerçevesinde KDK’lara yönelik yeni düzenlemeleri, denetim öneri ve çalışmalarını konu ile ilgili kesimlere tanıtmaktadır.

Kaynakça

  • Alexe, S. ve P. Hammer, A. Kogan, M. Lejeune (2003), “A Non-Recursive Regression Model for Country Risk Rating”, Rutcor Research Report, RRR 9- 2003, Rutgers University Piscataway, New Jersey.
  • Ban, Ü. ve N. Yörük (2003), “Derecelendirme, Derecelendirme Yöntemleri ve Avrupa Birliği’ne Giriş Öncesi Türkiye Açısından Değerlendirme”, VII. Ulusal Finans Sempozyumu Bildiriler, İstanbul Üniversitesi, 22-25 Ekim 2003, ss. 523-557.
  • Belratti, A. (1990), “Empirical Estimates of the Debt Capacity to Repay a Foreign Debt: A Vector Autoregressive Methodology”, in: H. O'Neil, (ed), Third World Debt: How Sustainable are Current Strategies and Solutions?, Frank Cass, London.
  • Bennell, J.A. ve D. Crabbe, S. Thomas, O. Gwilym (2006), Modeling Sovereign Credit Ratings: Neural Networks versus Ordered Probit, Expert Systems with Applications, 30. sf. 415–425.
  • Bissoondoyal-Bheenick, E. ve R. Brooks, A.Y. Yip (2005), “Determinants of Sovereign Ratings: A Comparison of Case-Based Reasoning and Ordered Probit Approaches”, Monash Econometrics and Business Statistics Working Papers 9/05, Monash University, Department of Econometrics and Business Statistics.
  • Brewer, T.L. ve P. Rivoli (1990), “Politics and Perceived Country Creditworthiness in International Banking”, Journal of Money, Credit and Banking, Vol. 22. ss. 357-369.
  • Cantor R. ve F. Packer (1994), “The Credit Rating Industry”, Federal Reserve Bank of New York Quarterly Review, Summer-Fall Issue. ss. 1-26.
  • Cline, W.R. (1984), International Debt: Systematic Risk and Policy Responses, Institute of International Economics, Washington, DC. pp. XIX–317.
  • Commission of the European Communities (2008), Proposal for a Regulation of the European Parliament and of the Council on Credit Rating Agencies, Brussel.
  • Dale R.S. ve S.H. Thomas (1991), “The Regulatory Use of Credit Ratings in International Financial Markets”, Journal of International Securities Markets, Spring Issue, ss. 9-18.
  • Dhonte, P. (1974), Quantitative Indicators and Analysis of External Debt Problems, IMF mimeo, Washington DC.
  • Edwards, S. (1984), “LDC Foreign Borrowing and Default Risk: An Empirical Investigation 1976-80”, American Economic Review, Vol.74 (4), pp. 726-734.
  • Ettinger, P.R. ve D.E. Golieb (1962), Credit and Collections, Prentice-Hall Inc. sf. 119–120.
  • Feder, G. and R.E. Just (1977), “A Study of Debt Servicing Capacity Applying Logit Analysis”, Journal of Development Economics, Vol. 4 (1), Pages 25-38.
  • Feeder, G.R. Just and K. Ross (1981), “Projecting Debt Service Capacity of Developing Countries”, Journal of Financial and Qualitative Analysis, vol. 16(5), pp. 651-669.
  • Fisk, C. and Rim Linger, F. (1979), Nonparametric Estimation of LDC Repayment Prospects, CIA mimeo, Washington DC.
  • Frank, C.R. Jr. and W.R. Cline (1971), “Measurement of Debt Servicing Capacity: An Application of Discriminant Analysis”, Journal of International Economics, Vol.1 (3), 327-44.
  • Grinols, E. (1976), International Debt Rescheduling and Discrimination Using Financial Variables, US Treasury Department mimeo, Washington, DC.
  • Gültekin-Karakas D., M. Hisarcıklılar, H. Öztürk (2011), “Sovereign Risk Ratings: Biased Toward Developed Countries?”, Emerging Markets Finance and Trade, Vol. 47, Supplement 2: 69-87.
  • Gür, T.H. (1998), “External Debt and Empirical Models for Country Risk Assessment”, Capital Markets Board of Turkey (SPK), Pub. Number 117, Ankara, (1995) Ph.D. Dissertation, State University of New York at Albany, Department of Economics.
  • Gür, T.H. (2001), “A Country Risk Assessment Model and the Asian Crisis”, Central Bank Review, 1(2001) 49-68.
  • Hajivassiliou, V.A. (1987), “The External Debt Repayment Problems of LDC’s: An Econometric Model Based on Panel Data”, Journal of Econometrics, 36(1-2), 205-230.
  • Hajivassiliou, V.A. (1994), “External Debt Crises of Developing Countries”, Journal of Applied Econometrics, Vol. 9(2), 109-131.
  • Haque, N.U. ve N. Mark, D. Mathieson (1997), “Rating the Raters of Country Creditworthiness”, Finance and Development, Vol. 34. ss. 10- 13.
  • Hernandez-Trillo, F. (1995), “A Model-Based Estimation of the Probability of Default in Sovereign Credit Markets”, Journal of Development Economics, Vol. 64, 163-179 Vol 4. 163-179.
  • Hoti, S. ve M. McAleer (2002), Country Risk Ratings: An International Comparison, Department of Economics, University of Western Australia.
  • Hu, Y.T., ve R. Kiesel, W. Perraudin (2002), “The Estimation of Transition Matrices for Sovereign Credit Ratings”, Journal of Banking and Finance, Vol. 26. ss. 1383- 1406.
  • IMF (2010), The Uses and Abuses of Sovereign Credit Ratings (in Global Financial Stability Report; Sovereigns, Funding, and Systemic Liquidity), International Monetary Fund, Washington.
  • İnce, M. (1996), Devlet Borçlanması (Kamu Kredisi), Ankara: Seçkin Yayınevi, Beşinci Baskı.
  • İsmailescu, I, ve H.B. Kazemi (2010), “The Reaction of Emerging Market Credit Default Swap Spreads to Sovereign Credit Rating”, Journal of Banking and Finance, Vol. 34. ss. 2861-2873.
  • Kharas, H. (1984), “The Long-run Creditworthiness of Developing Countries: Theory and Practice”, Quarterly Journal of Economics, August. 415–439.
  • Kaminsky, G. ve S.L. Schmukler (2002), “Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?”, World Bank Economic Review, Vol. 16. ss. 171-195.
  • Longstaff, A.F. ve J. Pan, L.H. Pedersen, K.J. Singleton (2007), “How Sovereign is Sovereign Credit Risk?”, NBER Working Paper Series, National Bureau of Economic Research, Cambridge, Mass.
  • Monfort, B. and C. Mulder (2000), “Using Credit Ratings for Capital Requirements on Lending to Emerging Market Economies: Possible Impact of a New Basel Accord”, IMF Working Paper, No 00/69.
  • Mayo, A.L. ve A.G. Barret (1977), “An Early-Warning Model for Assessing developing Country Risk in Developing Countries”, in S.H. Goodman, (ed.), Financing and Risk in Developing Countries, New York : Praeger Publishers.
  • McCreevy, (2008), Press Conference on Credit Rating Agencies, Brussels, 12 November 2008.
  • Ngassam, C. (1991), “Factors Affecting the External Debt-Servicing Capacity of African Nations: An Empirical Investigation”, The Review of Black Political Economy, Vol. 20, Issue 2, pp. 45-64.
  • Ozler, S. (1992), “The Evaluation of Credit Terms”, Journal of Development Economics, 38(1), January, pp. 79-97.
  • Gultekin-Karakas, D. ve M. Hisarciklilar, H. Ozturk (2011), “Sovereign Risk Ratings: Biased Towards Developed Countries?”, Emerging Markets Finance and Trade (baskıda).
  • Partnoy, F. (2001), “The Paradox of Credit Ratings”, University of San Diego Law&Econ. Research Paper, No: 20, University of San Diego.
  • Partnoy, F. (2006), “How and Why Credit Rating Agencies are not Like Other Gatekeepers”, University of San Diego Legal Studies, Paper 07- 46, University of San Diego.
  • Saini, K. ve P. Bates (1978), “Statistical Techniques for Determining Debt-Service Capacity for Developing Countries”, Federal Reserve Bank of New York Research Paper, No 7818.
  • Sergen, N. (1977), “Economic Indicators and Country Risk Appraisal”, Economic Review of the Federal Reserve Bank of San Francisco.
  • Smith, G.W. (1977), The External Debt prospects of the Non-oil Exporting Developing Countries: an Econometric Analysis, Overseas Development Council NIEO Series, No 10, Washington, DC.

Ülke Riski, Derecelendirme Kuruluşları, Aksaklıklar ve Yeni Düzenlemeler

Yıl 2011, Cilt: 16 Sayı: 16, - , 01.12.2011

Öz

Kredi Derecelendirme Kuruluşları (KDK) ve bu kuruluşların ülkelere verdiği, uluslararası sermaye piyasalarında da geniş bir kullanım alanı bulan kredi notları, yaşanan her finansal kriz sonrasında giderek artan bir şekilde eleştiriye maruz kalmaktadır. Birçok uluslararası otorite, kredi derecelendirme sektörünün düzenlenmesine ve denetlenmesine yönelik olarak önerilerde bulunmuş ve birçok ülke, kredi derecelendirme sektörünün düzenlenmesi ve denetimi yolunda önemli adımlar atmıştır. Özelikle akademik çalışmalar KDK’ların verdiği notların veriliş yönteminin keyfiliğini, içerdiği metodolojik ve yöntemsel problemleri ve notların krizleri öngörme performanslarını ciddi biçimde eleştirmektedir. Bu çalışma, uluslararası bütünleşme ve küreselleşme çerçevesinde önemi artan ülke riskinin ölçümü süresinde büyük önem atfedilen KDK’lara yönetilen temel eleştirileri geniş bir perspektiften ele almak amacını gütmekte ve bu alandaki eksiklikleri göz önüne sermektedir. Çalışma ayrıca A.B.D.‘de ortaya çıkıp tüm dünyaya yayılan 2007–2009 dünya finansal krizi çerçevesinde KDK’lara yönelik yeni düzenlemeleri, denetim öneri ve çalışmalarını konu ile ilgili kesimlere tanıtmaktadır.

Kaynakça

  • Alexe, S. ve P. Hammer, A. Kogan, M. Lejeune (2003), “A Non-Recursive Regression Model for Country Risk Rating”, Rutcor Research Report, RRR 9- 2003, Rutgers University Piscataway, New Jersey.
  • Ban, Ü. ve N. Yörük (2003), “Derecelendirme, Derecelendirme Yöntemleri ve Avrupa Birliği’ne Giriş Öncesi Türkiye Açısından Değerlendirme”, VII. Ulusal Finans Sempozyumu Bildiriler, İstanbul Üniversitesi, 22-25 Ekim 2003, ss. 523-557.
  • Belratti, A. (1990), “Empirical Estimates of the Debt Capacity to Repay a Foreign Debt: A Vector Autoregressive Methodology”, in: H. O'Neil, (ed), Third World Debt: How Sustainable are Current Strategies and Solutions?, Frank Cass, London.
  • Bennell, J.A. ve D. Crabbe, S. Thomas, O. Gwilym (2006), Modeling Sovereign Credit Ratings: Neural Networks versus Ordered Probit, Expert Systems with Applications, 30. sf. 415–425.
  • Bissoondoyal-Bheenick, E. ve R. Brooks, A.Y. Yip (2005), “Determinants of Sovereign Ratings: A Comparison of Case-Based Reasoning and Ordered Probit Approaches”, Monash Econometrics and Business Statistics Working Papers 9/05, Monash University, Department of Econometrics and Business Statistics.
  • Brewer, T.L. ve P. Rivoli (1990), “Politics and Perceived Country Creditworthiness in International Banking”, Journal of Money, Credit and Banking, Vol. 22. ss. 357-369.
  • Cantor R. ve F. Packer (1994), “The Credit Rating Industry”, Federal Reserve Bank of New York Quarterly Review, Summer-Fall Issue. ss. 1-26.
  • Cline, W.R. (1984), International Debt: Systematic Risk and Policy Responses, Institute of International Economics, Washington, DC. pp. XIX–317.
  • Commission of the European Communities (2008), Proposal for a Regulation of the European Parliament and of the Council on Credit Rating Agencies, Brussel.
  • Dale R.S. ve S.H. Thomas (1991), “The Regulatory Use of Credit Ratings in International Financial Markets”, Journal of International Securities Markets, Spring Issue, ss. 9-18.
  • Dhonte, P. (1974), Quantitative Indicators and Analysis of External Debt Problems, IMF mimeo, Washington DC.
  • Edwards, S. (1984), “LDC Foreign Borrowing and Default Risk: An Empirical Investigation 1976-80”, American Economic Review, Vol.74 (4), pp. 726-734.
  • Ettinger, P.R. ve D.E. Golieb (1962), Credit and Collections, Prentice-Hall Inc. sf. 119–120.
  • Feder, G. and R.E. Just (1977), “A Study of Debt Servicing Capacity Applying Logit Analysis”, Journal of Development Economics, Vol. 4 (1), Pages 25-38.
  • Feeder, G.R. Just and K. Ross (1981), “Projecting Debt Service Capacity of Developing Countries”, Journal of Financial and Qualitative Analysis, vol. 16(5), pp. 651-669.
  • Fisk, C. and Rim Linger, F. (1979), Nonparametric Estimation of LDC Repayment Prospects, CIA mimeo, Washington DC.
  • Frank, C.R. Jr. and W.R. Cline (1971), “Measurement of Debt Servicing Capacity: An Application of Discriminant Analysis”, Journal of International Economics, Vol.1 (3), 327-44.
  • Grinols, E. (1976), International Debt Rescheduling and Discrimination Using Financial Variables, US Treasury Department mimeo, Washington, DC.
  • Gültekin-Karakas D., M. Hisarcıklılar, H. Öztürk (2011), “Sovereign Risk Ratings: Biased Toward Developed Countries?”, Emerging Markets Finance and Trade, Vol. 47, Supplement 2: 69-87.
  • Gür, T.H. (1998), “External Debt and Empirical Models for Country Risk Assessment”, Capital Markets Board of Turkey (SPK), Pub. Number 117, Ankara, (1995) Ph.D. Dissertation, State University of New York at Albany, Department of Economics.
  • Gür, T.H. (2001), “A Country Risk Assessment Model and the Asian Crisis”, Central Bank Review, 1(2001) 49-68.
  • Hajivassiliou, V.A. (1987), “The External Debt Repayment Problems of LDC’s: An Econometric Model Based on Panel Data”, Journal of Econometrics, 36(1-2), 205-230.
  • Hajivassiliou, V.A. (1994), “External Debt Crises of Developing Countries”, Journal of Applied Econometrics, Vol. 9(2), 109-131.
  • Haque, N.U. ve N. Mark, D. Mathieson (1997), “Rating the Raters of Country Creditworthiness”, Finance and Development, Vol. 34. ss. 10- 13.
  • Hernandez-Trillo, F. (1995), “A Model-Based Estimation of the Probability of Default in Sovereign Credit Markets”, Journal of Development Economics, Vol. 64, 163-179 Vol 4. 163-179.
  • Hoti, S. ve M. McAleer (2002), Country Risk Ratings: An International Comparison, Department of Economics, University of Western Australia.
  • Hu, Y.T., ve R. Kiesel, W. Perraudin (2002), “The Estimation of Transition Matrices for Sovereign Credit Ratings”, Journal of Banking and Finance, Vol. 26. ss. 1383- 1406.
  • IMF (2010), The Uses and Abuses of Sovereign Credit Ratings (in Global Financial Stability Report; Sovereigns, Funding, and Systemic Liquidity), International Monetary Fund, Washington.
  • İnce, M. (1996), Devlet Borçlanması (Kamu Kredisi), Ankara: Seçkin Yayınevi, Beşinci Baskı.
  • İsmailescu, I, ve H.B. Kazemi (2010), “The Reaction of Emerging Market Credit Default Swap Spreads to Sovereign Credit Rating”, Journal of Banking and Finance, Vol. 34. ss. 2861-2873.
  • Kharas, H. (1984), “The Long-run Creditworthiness of Developing Countries: Theory and Practice”, Quarterly Journal of Economics, August. 415–439.
  • Kaminsky, G. ve S.L. Schmukler (2002), “Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?”, World Bank Economic Review, Vol. 16. ss. 171-195.
  • Longstaff, A.F. ve J. Pan, L.H. Pedersen, K.J. Singleton (2007), “How Sovereign is Sovereign Credit Risk?”, NBER Working Paper Series, National Bureau of Economic Research, Cambridge, Mass.
  • Monfort, B. and C. Mulder (2000), “Using Credit Ratings for Capital Requirements on Lending to Emerging Market Economies: Possible Impact of a New Basel Accord”, IMF Working Paper, No 00/69.
  • Mayo, A.L. ve A.G. Barret (1977), “An Early-Warning Model for Assessing developing Country Risk in Developing Countries”, in S.H. Goodman, (ed.), Financing and Risk in Developing Countries, New York : Praeger Publishers.
  • McCreevy, (2008), Press Conference on Credit Rating Agencies, Brussels, 12 November 2008.
  • Ngassam, C. (1991), “Factors Affecting the External Debt-Servicing Capacity of African Nations: An Empirical Investigation”, The Review of Black Political Economy, Vol. 20, Issue 2, pp. 45-64.
  • Ozler, S. (1992), “The Evaluation of Credit Terms”, Journal of Development Economics, 38(1), January, pp. 79-97.
  • Gultekin-Karakas, D. ve M. Hisarciklilar, H. Ozturk (2011), “Sovereign Risk Ratings: Biased Towards Developed Countries?”, Emerging Markets Finance and Trade (baskıda).
  • Partnoy, F. (2001), “The Paradox of Credit Ratings”, University of San Diego Law&Econ. Research Paper, No: 20, University of San Diego.
  • Partnoy, F. (2006), “How and Why Credit Rating Agencies are not Like Other Gatekeepers”, University of San Diego Legal Studies, Paper 07- 46, University of San Diego.
  • Saini, K. ve P. Bates (1978), “Statistical Techniques for Determining Debt-Service Capacity for Developing Countries”, Federal Reserve Bank of New York Research Paper, No 7818.
  • Sergen, N. (1977), “Economic Indicators and Country Risk Appraisal”, Economic Review of the Federal Reserve Bank of San Francisco.
  • Smith, G.W. (1977), The External Debt prospects of the Non-oil Exporting Developing Countries: an Econometric Analysis, Overseas Development Council NIEO Series, No 10, Washington, DC.
Toplam 44 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Timur Gür

Hüseyin Öztürk Bu kişi benim

Yayımlanma Tarihi 1 Aralık 2011
Gönderilme Tarihi 12 Aralık 2014
Yayımlandığı Sayı Yıl 2011 Cilt: 16 Sayı: 16

Kaynak Göster

APA Gür, T., & Öztürk, H. (2011). Ülke Riski, Derecelendirme Kuruluşları, Aksaklıklar ve Yeni Düzenlemeler. Sosyoekonomi, 16(16). https://doi.org/10.17233/se.86978
AMA Gür T, Öztürk H. Ülke Riski, Derecelendirme Kuruluşları, Aksaklıklar ve Yeni Düzenlemeler. Sosyoekonomi. Ekim 2011;16(16). doi:10.17233/se.86978
Chicago Gür, Timur, ve Hüseyin Öztürk. “Ülke Riski, Derecelendirme Kuruluşları, Aksaklıklar Ve Yeni Düzenlemeler”. Sosyoekonomi 16, sy. 16 (Ekim 2011). https://doi.org/10.17233/se.86978.
EndNote Gür T, Öztürk H (01 Ekim 2011) Ülke Riski, Derecelendirme Kuruluşları, Aksaklıklar ve Yeni Düzenlemeler. Sosyoekonomi 16 16
IEEE T. Gür ve H. Öztürk, “Ülke Riski, Derecelendirme Kuruluşları, Aksaklıklar ve Yeni Düzenlemeler”, Sosyoekonomi, c. 16, sy. 16, 2011, doi: 10.17233/se.86978.
ISNAD Gür, Timur - Öztürk, Hüseyin. “Ülke Riski, Derecelendirme Kuruluşları, Aksaklıklar Ve Yeni Düzenlemeler”. Sosyoekonomi 16/16 (Ekim 2011). https://doi.org/10.17233/se.86978.
JAMA Gür T, Öztürk H. Ülke Riski, Derecelendirme Kuruluşları, Aksaklıklar ve Yeni Düzenlemeler. Sosyoekonomi. 2011;16. doi:10.17233/se.86978.
MLA Gür, Timur ve Hüseyin Öztürk. “Ülke Riski, Derecelendirme Kuruluşları, Aksaklıklar Ve Yeni Düzenlemeler”. Sosyoekonomi, c. 16, sy. 16, 2011, doi:10.17233/se.86978.
Vancouver Gür T, Öztürk H. Ülke Riski, Derecelendirme Kuruluşları, Aksaklıklar ve Yeni Düzenlemeler. Sosyoekonomi. 2011;16(16).