TIME-VARYING COUNTRY BETA APPROACH IN MODELLING COUNTRY RISK OF TURKEY

Ahmet Kerem Ozdemir; Mehmet Emin Yildiz; Emir Otluoglu

Makale detayları

TIME-VARYING COUNTRY BETA APPROACH IN MODELLING COUNTRY RISK OF TURKEY

Yazarlar:

Ahmet Kerem Ozdemir | Mehmet Emin Yildiz | Emir Otluoglu

Yayıncı:

PressAcademia

Dergi:

Journal of Business Economics and Finance 2015 Vol.4 Issue 4, pp.0-0

Belge Tipi:

Makale

Yayın Tarihi:

1/2016

Belge Dili:

Türkçe

Document ID (Org No.):

2000737917

Sıklık:

Üç Aylık

eISSN:

2146-7943

Özet:

 


This paper analyses Turkey’s country risk using a time-varying country beta market model incorporating various macroeconomic variables over the period January 2004 to August 2015. To our knowledge this is the first study exploring Turkey’s country risk using country beta approach. We confirmed that Turkey’s country beta is time-varying and demonstrates a huge amount of volatility especially between 2004 and 2007. We find that government and private sector external debt and market interest rates are the significant macroeconomic factors that have influenced Turkey’s country beta during the analysis period. These findings reveal an important structural macroeconomic change in Turkish economy that is concerns about the sustainability of government debt and public finances have shifted to private sector related issues. Specifically, while private sector external debt, which increased rapidly during this period, has a significant positive impact on Turkey’s country beta, substantially lowered levels of government external debt (as a percentage of GDP) acts as a risk-reducing macroeconomic factor.

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Makale detayları

TIME-VARYING COUNTRY BETA APPROACH IN MODELLING COUNTRY RISK OF TURKEY

Yazarlar: Ahmet Kerem Ozdemir | Mehmet Emin Yildiz | Emir Otluoglu

Yayıncı: PressAcademia

Dergi: Journal of Business Economics and Finance 2015 Vol.4 Issue 4, pp.0-0

Belge Tipi: Makale

Yayın Tarihi: 1/2016

Belge Dili: Türkçe

Document ID (Org No.): 2000737917

Sıklık: Üç Aylık

eISSN: 2146-7943

Sayı

Yazarlar:

Ahmet Kerem Ozdemir | Mehmet Emin Yildiz | Emir Otluoglu

Yayıncı:

PressAcademia

Dergi:

Journal of Business Economics and Finance 2015 Vol.4 Issue 4, pp.0-0

Belge Tipi:

Makale

Yayın Tarihi:

1/2016

Belge Dili:

Türkçe

Document ID (Org No.):

2000737917

Sıklık:

Üç Aylık

eISSN:

2146-7943