THE DETERMINANTS OF ECONOMIC FRAGILITY: CASE OF THE FRAGILE FIVE COUNTRIES

DOĞRU, Bülent; ÜNVER, MUSTAFA

THE DETERMINANTS OF ECONOMIC FRAGILITY: CASE OF THE FRAGILE FIVE COUNTRIES

Mustafa ÜNVER, (Gümüşhane Üniversitesi,İktisadi ve İdari Bilimler Fakültesi, Ekonomi Bölümü,)

Bülent DOĞRU (Gümüşhane Üniversitesi,İktisadi ve İdari Bilimler Fakültesi, Ekonomi Bölümü,)

Akdeniz İİBF Dergisi

0 0

Yıl: 2015 Cilt: 15 Sayı: 31 Sayfa Aralığı: 1 - 24 Metin Dili: Türkçe İndeks Tarihi: 29-07-2022

THE DETERMINANTS OF ECONOMIC FRAGILITY: CASE OF THE FRAGILE FIVE COUNTRIES

Öz:

Bu çalışma; kamu mali sürdürülebilirlik ve ülke kredi notları kapsamında ekonomik kırılganlığın uzun dönem belirleyicilerini, Morgan Stanley (2013) raporunda kırılgan beşli olarak nitelediği Brezilya, Hindistan, Endonezya, Güney Afrika ve Türkiye için Phillips ve Hansen (1990) tarafından geliştirilen Tam Değiştirilmiş En Küçük Kareler (FMOLS) yaklaşımını kullanarak ampirik şekilde analiz etmiştir. Çalışmada beş ülke için kullanılan veri seti; kamu mali sürdürülebilirlik için 1980 2012 dönemini ve ülke kredi notları için 1990 2012 dönemini kapsamaktadır. Çalışmanın analiz sonuçları; kamu mali sürdürülebilirlik ile cari işlemler dengesi, Gayri Safi Yurtiçi Hasıla (GSYH),

Anahtar Kelime:

Konular: İşletme Bilgisayar Bilimleri, Bilgi Sistemleri

EKONOMİK KIRILGANLIĞIN BELİRLEYİCİLERİ: KIRILGAN BEŞLİ ÜLKE ÖRNEĞİ

Öz:

This paper makes an empirical investigation of the determinants of fragility in terms of long-term fiscal sustainability and sovereign ratings for Brazil, India, Indonesia, South Africa and Turkey, referred to as the fragile five by Morgan Stanley (2013), using the Fully Modified Ordinary Least Square (FMOLS) approach developed by Phillips and Hansen (1990). The data set covers the 1980 2012 period for fiscal sustainability and 1990 2012 for sovereign ratings in these countries. The study revealed a statistically significant relationship between fiscal sustainability and current account balance, gross domestic product (GDP), total reserves, energy imports, exchange rate, external debt and credit to the private sector, while the findings associated with sovereign ratings demonstrate significantly that the leading determinants of sovereign ratings are exchange rates, total reserves, energy imports, foreign direct investment (FDI) net inflows, current account balance, GDP and external debt stocks.

Anahtar Kelime:

Konular: İşletme Bilgisayar Bilimleri, Bilgi Sistemleri

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık

ABBAS, S. M., BELHOCINE, N., ELGANAINY, A. A., & HORTON, M. (2010). A historical public debt database. IMF Working Papers, 1-26.
ABREGO, L., & ROSS, D. (2001). Debt relief under the HIPC initiative: context and outlook for debt sustainability and resource flow. AFONSO, A. (2003). Understanding the determinants of sovereign debt ratings: Evidence for the two leading agencies. Journal of Economics and Finance, 27(1), 56-74.
AFONSO, A., FURCERI, D., & GOMES, P. (2012). Sovereign credit ratings and financial markets linkages: application to European data. Journal of International Money and Finance, 31(3), 606-638.
AFONSO, A., GOMES, P., & ROTHER, P. (2009). Ordered response models for sovereign debt ratings'. Applied Economics Letters, 16(8), 769-773.
AKYÜZ, Y., & BORATAV, K. (2003). The making of the Turkish financial crisis. World Development, 31(9), 1549-1566.
BAEK, I. M., BANDOPADHYAYA, A., & DU, C. (2005). Determinants of market-assessed sovereign risk: Economic fundamentals or market risk appetite?. Journal of International Money and Finance, 24(4), 533-548.
BAGLIANO, F. C. & MORANA, C. (2014) Determinants of US financial fragility conditions, Research in International Business and Finance, 30, 377- 392.
BASHIER, A. A. A. & WAHBAN, A. N. (2013) The determinants of employment in Jordan: A time series analysis. International Review of Management and Business Research, 2(4): 927-936
BENNELL, J. A., CRABBE, D., THOMAS, S., & AP GWILYM, O. (2006). Modelling sovereign credit ratings: Neural networks versus ordered probit. Expert Systems with Applications, 30(3), 415-425.
BERG, A. & PATTILLO, C. (1999) Predicting currency crises: The indicators approach and an alternative. Journal of International Money and Finance, 18(4), 561-586.
BERNANKE, B. & GERTLER, M. (1990) Financial fragility and economic performance, The Quarterly Journal of Economics, 105(1), 87-114.
BISSOONDOYAL-BHEENICK, E. (2005). An analysis of the determinants of sovereign ratings. Global Finance Journal, 15(3), 251-280.
BISSOONDOYAL-BHEENICK, E., BROOKS, R., & YIP, A. Y. (2006). Determinants of sovereign ratings: A comparison of case-based reasoning and ordered probit approaches. Global Finance Journal, 17(1), 136-154.
BRIGUGLIO, L., CORDINA, G., FARRUGIA, N. & VELLA, S. (2008) Profiling economic vulnerability and resilience in small states: conceptual underpinnings, Islands and Small States Institute of the University of Malta
BRIGUGLIO, L., CORDINA, G., FARRUGIA, N. & VELLA, S. (2008) Economic vulnerability and resilience concepts and measurements, Research paper / UNUWIDER, No. 2008.55, ISBN 978-92-9230-103- 3.
BUDINA, N., & VAN WIJNBERGEN, S. (2009). Quantitative approaches to fiscal sustainability analysis: a case study of Turkey since the crisis of 2001. The World Bank Economic Review, 23(1), 119-140.
CANTOR, R., & PACKER, F. (1996). Determinants and impact of sovereign credit ratings. Economic Policy Review, 2(2).
CARRERA, C. M. & VERGARA, R. (2012) Fiscal Sustainability: The impact of real exchange rate shocks on debt valuation, interest rates and GDP growth, World Development, 40(9), 1762-1783.
CELASUN, O., DEBRUN, X. & OSTRY, J. D. (2007). Primary Surplus Behavior and Risks to Fiscal Sustainability in Emerging Market Countries: A "Fan-Chart" Approach. IMF Staff Papers, 53(3).
CHANDRASEKHAR, C. P. (2005) Financial liberalization, fragility and the socialization of risk: Can capital controls work?, Social Scientist, 3-39.
CHANG, R. & VELASCO, A. (2001) A model of financial crises in emerging markets, The Quarterly Journal of Economics, 116(2), 489-517.
CHINN, M. D., & ITO, H. (2007). Current account balances, financial development and institutions: Assaying the world "saving glut". Journal of International Money and Finance, 26(4), 546-569.
CLEMENTS, B. J., BHATTACHARYA, R., & NGUYEN, T. Q. (2003). External debt, public investment, and growth in low-income countries.
CORDINA, G. (2004) Economic vulnerability and economic growth: some results from a neo-classical growth modelling approach, Journal of Economic Development, 29(2), 21-39.
CORSETTI, G., PESENTI, P. & ROUBINI, N. (2001) Fundamental determinants of the Asian crisis: the role of financial fragility and external imbalances, In Regional and Global Capital Flows: Macroeconomics Causes and Consequences, NBER-EASE Volume 10 (pp. 11-46), University of Chicago Press.
DE HAAN, J., & STURM, J. E. (1994). Political and institutional determinants of fiscal policy in the European Community. Public Choice, 80(1-2), 157-172.
DYBCZAK, K. & MELECKY, M. (2014) EU fiscal stance vulnerability: Are the old members the gold members?, Economic Modelling, 38, 87-101.
EICHENGREEN, B. J. & HAUSMANN, R. (1999) Exchange rates and financial fragility (No. 7418), National Bureau of Economic Research, Inc.
ENGLE, R.F. & GRANGER, C.W.J. (1987) Co-integration and error correction: Representation, estimation and testing, Econometrica: Journal of the Econometric Society, 55(2), 251-276.
ESSERS, D. (2013) Developing country vulnerability in light of the global financial crisis: Shock therapy?, Review of Development Finance, 3(2), 61- 83.
FELDKIRCHER, M. (2014) The determinants of vulnerability to the global financial crisis 2008 to 2009: Credit growth and other sources of risk, Journal of International Money and Finance, 43, 19-49.
FERIDUN, M. (2004) Brazilian real crisis revisited: A linear probability model to identify leading indicators, International Journal of Applied Econometrics and Quantitative Studies, 1(1), 81-96.
FOUAD, M., MALISZEWSKI, W. S., HOMMES, M., MORSY, H., PETRI, M., & SODERLING, L. (2007). Public debt and fiscal vulnerability in the Middle East. GNANSOUNOU, E. & DONG, J. (2010) Vulnerability of the economy to the potential disturbances of energy supply: A logic-based model with application to the case of China, Energy Policy, 38(6), 2846-2857.
GOLDFAJN, I. (2003, October). Are there reasons to doubt fiscal sustainability in Brazil?. In Participants in the meeting (p. 84).
GOLDSTEIN, M. (2003) Debt Sustainability, Brazil, and the IMF, Institute for International Economics Working Paper, (03-1).
GÓMEZ-PUIG, M., & SOSVILLA-RIVERO, S. (2013). Granger-causality in peripheral EMU public debt markets: A dynamic approach. Journal of Banking & Finance, 37(11), 4627-4649.
HALLERBERG, M., STRAUCH, R., & VON HAGEN, J. (2007). The design of fiscal rules and forms of governance in European Union countries. European Journal of Political Economy, 23(2), 338-359.
KAMINSKY, G., LIZONDO, S. & REINHART, C. M. (1998) Leading Indicators of Currency Crises. IMF Staff Papers, 5(1), 1-48.
KAMINSKY, G. & SCHMUKLER, S. L. (2002) Emerging market instability: do sovereign ratings affect country risk and stock returns?, The World Bank Economic Review, 16(2), 171-195.
KARAGOL, E. (2012). The causality analysis of external debt service and GNP: The case of Turkey. Central Bank Review, 2(1), 39-64.
KENWARD, L. R. (1999) Assessing vulnerability to financial crisis: evidence from Indonesia, Bulletin of Indonesian Economic Studies, 35(3), 71-95.
KLOMP, J. (2010) Causes of banking crises revisited, The North American Journal of Economics and Finance, 21(1), 72-87.
LOAYZA, N. V. & RANCIERE, R. (2006) Financial development, financial fragility, and growth, Journal of Money, Credit & Banking (Ohio State University Press), 38(4).
MELLIOS, C., & PAGET-BLANC, E. (2006). Which factors determine sovereign credit ratings?. The European Journal of Finance, 12(4), 361-377.
MORGAN STANLEY RESEARCH REPORT (2013) "FX Pulse". (http://www.morganstanleyfa.com/public/projectfiles/dce4d168- 15f9-4245-9605-e37e2caf114c.pdf).
OZDEMİR, Y., & KALKANLI, G. (2013) Developing Countries and the Global Economic Crisis: Sources of Vulnerability and Recovery.
OZKAN, F. G. (2005). Currency and financial crises in Turkey 2000-2001: bad fundamentals or bad luck?. The World Economy, 28(4), 541-572.
PENG, D. & BAJONA, C. (2008) China's vulnerability to currency crisis: A KLR signals approach, China Economic Review, 19(2), 138-151.
PHILLIPS, P. C., & HANSEN, B. E. (1990) Statistical inference in instrumental variables regression with I (1) processes, The Review of Economic Studies, 57(1), 99-125.
REDŽEPAGİĆ, S., & LLORCA, M. (2007). Does politics matter in the conduct of fiscal policy? Political determinants of the fiscal sustainability: Evidence from seven individual Central and Eastern European countries (CEEC). Panoeconomicus, 54(4), 489-500.
ROCHA, K. & MOREIRA, A. (2010) The role of domestic fundamentals on the economic vulnerability of emerging markets, Emerging Markets Review, 11(2), 173-182.
TAGKALAKIS, A. O. (2014) Financial stability indicators and public debt developments, The Quarterly Review of Economics and Finance, 54, 158-179.
VON HAGEN, J. & HO, T. K. (2007) Money market pressure and the determinants of banking crises, Journal of Money, Credit and Banking, 39(5), 1037-1066.

APA	ÜNVER M, DOĞRU B (2015). THE DETERMINANTS OF ECONOMIC FRAGILITY: CASE OF THE FRAGILE FIVE COUNTRIES. , 1 - 24.
Chicago	ÜNVER MUSTAFA,DOĞRU Bülent THE DETERMINANTS OF ECONOMIC FRAGILITY: CASE OF THE FRAGILE FIVE COUNTRIES. (2015): 1 - 24.
MLA	ÜNVER MUSTAFA,DOĞRU Bülent THE DETERMINANTS OF ECONOMIC FRAGILITY: CASE OF THE FRAGILE FIVE COUNTRIES. , 2015, ss.1 - 24.
AMA	ÜNVER M,DOĞRU B THE DETERMINANTS OF ECONOMIC FRAGILITY: CASE OF THE FRAGILE FIVE COUNTRIES. . 2015; 1 - 24.
Vancouver	ÜNVER M,DOĞRU B THE DETERMINANTS OF ECONOMIC FRAGILITY: CASE OF THE FRAGILE FIVE COUNTRIES. . 2015; 1 - 24.
IEEE	ÜNVER M,DOĞRU B "THE DETERMINANTS OF ECONOMIC FRAGILITY: CASE OF THE FRAGILE FIVE COUNTRIES." , ss.1 - 24, 2015.
ISNAD	ÜNVER, MUSTAFA - DOĞRU, Bülent. "THE DETERMINANTS OF ECONOMIC FRAGILITY: CASE OF THE FRAGILE FIVE COUNTRIES". (2015), 1-24.

APA	ÜNVER M, DOĞRU B (2015). THE DETERMINANTS OF ECONOMIC FRAGILITY: CASE OF THE FRAGILE FIVE COUNTRIES. Akdeniz İİBF Dergisi, 15(31), 1 - 24.
Chicago	ÜNVER MUSTAFA,DOĞRU Bülent THE DETERMINANTS OF ECONOMIC FRAGILITY: CASE OF THE FRAGILE FIVE COUNTRIES. Akdeniz İİBF Dergisi 15, no.31 (2015): 1 - 24.
MLA	ÜNVER MUSTAFA,DOĞRU Bülent THE DETERMINANTS OF ECONOMIC FRAGILITY: CASE OF THE FRAGILE FIVE COUNTRIES. Akdeniz İİBF Dergisi, vol.15, no.31, 2015, ss.1 - 24.
AMA	ÜNVER M,DOĞRU B THE DETERMINANTS OF ECONOMIC FRAGILITY: CASE OF THE FRAGILE FIVE COUNTRIES. Akdeniz İİBF Dergisi. 2015; 15(31): 1 - 24.
Vancouver	ÜNVER M,DOĞRU B THE DETERMINANTS OF ECONOMIC FRAGILITY: CASE OF THE FRAGILE FIVE COUNTRIES. Akdeniz İİBF Dergisi. 2015; 15(31): 1 - 24.
IEEE	ÜNVER M,DOĞRU B "THE DETERMINANTS OF ECONOMIC FRAGILITY: CASE OF THE FRAGILE FIVE COUNTRIES." Akdeniz İİBF Dergisi, 15, ss.1 - 24, 2015.
ISNAD	ÜNVER, MUSTAFA - DOĞRU, Bülent. "THE DETERMINANTS OF ECONOMIC FRAGILITY: CASE OF THE FRAGILE FIVE COUNTRIES". Akdeniz İİBF Dergisi 15/31 (2015), 1-24.