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Journals / Maliye Dergisi / 2022 / Cilt: - Sayı: 183

The Impact of Global Uncertainities on Country Credit Risk Premium Under Different Economic Regimes: The Case of Turkey

Farklı Ekonomik Rejimler Altında Küresel Belirsizliklerin Ülke Kredi Risk Primi Üzerine Etkisi: Türkiye Örneği

Deniz ERER
Pages
1–23
Publication Date
2023-10-16
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The findings from Markov regime switching model indicate t hat country-specific macroeconomic factors affect Turkey’s country cred it risk premium during economic contraction periods while global uncertainities in addition to country specific elements play an important role on country credit risk premium during economic expansion periods.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study analyzes the variables affecting country credit risk premium under different economic regimes for Turkey during the period of January 2010-June 2022.
📊
Key Findings & Data:The country-specific factors are included in the model, as well the elements reflecting global uncertainities.
💡
Conclusion & Impact:The findings from Markov regime switching model indicate t hat country-specific macroeconomic factors affect Turkey’s country cred it risk premium during economic contraction periods while global uncertainities in addition to country specific elements play an important role on country credit risk premium during economic expansion periods.
🔬Design:Modeling & Simulation
📍Scope:2010 Verileri
⚙️Variables:Domain Parameters

Abstract

This study analyzes the variables affecting country credit risk premium under different economic regimes for Turkey during the period of January 2010-June 2022. The country-specific factors are included in the model, as well the elements reflecting global uncertainities. The findings from Markov regime switching model indicate t hat country-specific macroeconomic factors affect Turkey’s country cred it risk premium during economic contraction periods while global uncertainities in addition to country specific elements play an important role on country credit risk premium during economic expansion periods.

Özet

Bu çalışmada, Ocak 2010-Haziran 2022 dönemi için Türkiye’de ülke risk primini etkileyen de ğişkenler farkl ı ekonomik konjonktürler aç ısından incelenmiştir. Çalışmada ülkeye özgü faktörlerin yan ı sıra küresel belirsizlikleri yansıtan unsurlar da dahil edilmi ştir. Markov rejim de ğişim modelinin kullan ıldığı çalışmada elde edilen bulgular ekonominin daralma dönemlerinde Türkiye’nin ülke risk primi üzerinde ülkeye özgü makroekonomik faktörlerin daha etkili oldu ğunu, ekonominin genişleme dönemlerinde ise ülkeye özgü faktörlerin yan ında küresel belirsizliklerin de önemli unsurlar olarak ortaya çıktığını göstermektedir.

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Cite This Article

ERER, D. (2023). The Impact of Global Uncertainities on Country Credit Risk Premium Under Different Economic Regimes: The Case of Turkey. Maliye Dergisi, Cilt: - Sayı: 183, 1–23. https://ajindex.com/articles/967557

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