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Avrasya Ekonometri �statistik ve Ampirik Ekonomi DergisiYl:2015 Say: 1 Alan: statistik-Saysal Yntemler-Ekonometri

Funda H. Sezgin, Tlin Atakan, Cem Deirmenci
The Analysis of Economic, Financial and Political Factors Effecting The Changes of Ratings Assessed by The Credit Rating Agencies: A Survey for Turkey
 
KRED DERECELENDRME KURULULARININ NOT DEMLERNDE EKONOMK, FNANSAL VE POLTK FAKTRLERN ETKLERNN ANALZ: TRKYE RNE Kredi derecelendirme kurulular, lkelerin kredi risklerini belli kriterlere gre incelemekte ve belirledii sembollerle deerlendirme sonularn aklamaktadr. Finansal aktrler, belirlenen notlar dorultusunda yksek yatrm dzeyinde bulunan lke ve sektrlere yneldikleri iin, kredi notu zellikle sermayeye ihtiya duyan gelimekte olan lkeler iin daha da nem tamaktadr. Bu almada, Trkiyeye Moody, S&P ve Fitch tarafndan verilen notlarn, 2000-2014 dnemi iin not deiimlerini etkileyen ekonomik, finansal ve politik deikenleri belirlemek amal kuruluun her birine ynelik lojistik regresyon modeli uygulanmtr. Analiz sonucunda, her kurulu iin GDP ve PRI deikenlerinin ortak nemli olduu, S&P iin ayrca SMR ve CAB deikenleri, Moodys iin ED ve UM deikenleri ve Fitch iin ED ve RIR deikenlerinin not deiimde nemli olduu belirlenmitir.

Anahtar Kelimeler: lke kredi notu, kredi notu deiimi, kredi reyting kurulular,ekonomik, finansal ve politik deikenler, lojistik regresyon


THE ANALYSIS OF ECONOMIC, FINANCIAL AND POLITICAL FACTORS EFFECTING THE CHANGES OF RATINGS ASSESSED BY THE CREDIT RATING AGENCIES: A SURVEY FOR TURKEY
 
Credit rating agencies examine the credit risks of countries according to certain criteria and present the rating results with certain grading symbols. Because financial actors prefer countries and industries with high investment grades as per the given ratings, credit ratings become even more important for developing countries which require capital. This study conducts a logistic regression model separately for the three well-known Rating Agencies, namely Moodys, S&P and Fitch, to determine the economic, financial and political parameters that have an influence on changes in credit ratings given to Turkey by those institutions, for the period of 2000-2014. The results of the analysis put forward that, the gross domestic product (GDP) and the political risk index (PRI) variables are equally significant for each of the three credit rating agencies; and in addition, the stock market return (SMR) and the current account balance (CAB) for S&P, the external debt (ED) and the unemployment rate (UM) for Moodys; and the external debt (ED) and the real interest rates (RIR) for Fitch, are also determined to be significant in changes in credit ratings.

Keywords: Sovereign Credit Rating, Credit Rating Changes, Credit Rating Agencies, Economic, Financial and Political Variables, Logistic Regression


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