This study attempts to suggest empirical evidence about the impact of exchange rate uncertainty on the domestic investment for 25 emerging markets and developing economies (EMDEs) for the time line covering the years between 2004 and 2014. Exchange rate uncertainty is modeled by selecting one of the volatility models of GARCH(1, 1), EGARCH(1, 1), or GJR-GARCH(1, 1) for individual countries. The study aims to offer a broad point of view about the impact of exchange rate uncertainty on domestic investment through a feasible generalized least square panel data model by deeming the economic growth, real interest rate, and 2008/2009 global financial crisis (GFC). The empirical results show that the impact of exchange rate uncertainty on domestic investment for EMDEs is found to be positive and significant, which may indicate the existence of risk neutral or insensitive domestic investors to exchange rate uncertainty in these countries. On the other hand, the study also proves that the effect of economic growth is positive and significant on domestic investment, whereas the impact of GFC on domestic investment is negative and significant. However, the impact of real exchange rate on domestic investment is found to be negative but insignificant.
This study aims to reveal whether there exists bias in the assignments of S&P and Moody's specifically against South Africa, Hungary and Turkey by also exploring the determinants of credit ratings of these three countries for the time span of 2002:Q4-2016:Q4. Design/ methodology/approach-The independent t-test and one-way ANOVA test are utilized when the means of S&P and Moody's grades of three countries are compared. Besides, in order to inspect how the macroeconomic determinants of the credit ratings of each country affect their credit ratings and detect the subjectivity component of the country rating models, OLS regresion models are constructed. Finally, pooled regression model including country dummy variables is established to detect whether countries are initially rated with a bias by the Credit Rating Agencies (CRAs) regardless of economic variables. Empirical Results: First, the mean comparison tests show that Turkey has the least credit ratings among the three by both S&P and Moody's, and the difference between the means are statistically significant. Secondly, the OLS regressions' results show that the macroeconomic determinants of sovereign ratings are not definite for all countries as specified in the previous studies. The ratings of each country are influenced by different variables with different significance. Furthermore, the subjective component of the OLS model (the part cannot be explained by the economic variables) in Hungary is smaller when compared to the subjective components of South Africa's and Turkey's models, which indicates that the changes in credit ratings is explained by the economic variables mostly in Hungary. Finally, the pooled regression results denote that Turkey is assigned with the least grades without considering the macroeconomic indicators when compared to South Africa and Hungary. Discussion: Though it is maintained that the credit ratings of the sovereigns are mostly determined by their economic indicators, this study shows that these three emerging market economies are not evaluated transparently and fairly by the CRAs. Even if they are classified under emerging market economies, Turkey is assigned by the lowest grades when compared to others. This can be linked with the possibility of intense relations of South Africa and Hungary with advanced economies.
uygulanmıştır. Çalışmaya dahil edilen ülkeler gelir seviyelerine göre düşük ve alt-orta gelir ile üst-orta ve yüksek gelirli olmak üzere iki gruba ayrılmıştır. Böylelikle gelir seviyesindeki farklılaşmanın değişkenler arasındaki nedensellik ilişkilerini nasıl etkilediği araştırılmıştır. Çalışmanın ampirik bulguları, düşük ve alt-orta gelir ülke grubunda ekonomik büyümeden ticari açıklığa ve ticari açıklıktan finansal sektör gelişimine doğru nedensellik ilişkileri olduğunu göstermektedir. Ayrıca, düşük ve altorta gelir ülke grubu için finansal sektör gelişimi ekonomik büyümenin önemli bir belirleyicisi olarak bulunmuştur. Sonuçlar, üst-orta ve yüksek ülke grubu için de ekonomik büyümeden ticari açıklığa ve ticari açıklıktan finansal sektör gelişimine doğru Granger-nedensellik ilişkisinin olduğuna dair kanıt sunmaktadır.
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