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Derecelendirme kuruluşlarının verdiği kredi notları uluslararası yatırım kararları üzerinde olumlu ve/veya olumsuz etkiler yapmaktadır. Bu durum söz konusu kuruluşların derecelendirme işlemlerinde objektif davranmadıkları; hatta ekonomik krizleri tetiklediği tartışmasını beraberinde getirmektedir. Çalışmada Kırılgan 8’li grubu ülkelerin makroekonomik değişkenleri ile Moody’s Investors Service Inc. ’in bu ülke gurubuna verdiği kredi notları arasındaki nedensellik ilişkisi araştırılmıştır. Öncelikle yatay kesit bağımlılığı ve testleriyle, serilerin durağanlığı ise CIPS birim kök testiyle araştırılmıştır. Eğim katsayılarının homojenliği Swamy S testiyle incelenmiş ve uygulanan Westerlund ve Edgerton (2007) eşbütünleşme testi sonucunda seriler arasında eşbütünleşme ilişkisinin olmadığı bulgusuna ulaşılmıştır. Son olarak seriler Dumitrescu-Hurlin panel nedensellik testine tabi tutularak kredi notundan doğrudan yabancı yatırımlar, enflasyon oranı ve ekonomik büyüme oranına doğru tek yönlü nedensellik ilişkisinin varlığı tespit edilmiştir. Ancak tersi durumun varlığı ile kredi notlarıyla işsizlik oranları arasında nedensellik ilişkisine rastlanılamamıştır.
Credit ratings provided by rating agencies have positive and/or negative impacts on international investment decisions. This means that the organizations in question are not objective in rating processes; it even brings about the debate that triggered economic crises. The study investigated the macroeconomic variables of the Fragile Eight group countries and the causality relationship between Moody's Investors Service Inc.'s credit ratings. First, the cross-sectional dependence was tested with and tests, and the stability of the series was investigated with CIPS unit root test. The homogeneity of slope coefficients was examined by the Swamy S test and it was found that there was no cointegration relationship between the series as a result of the cointegration test of Westerlund and Edgerton (2007). Finally, the series were subjected to Dumitrescu-Hurlin panel causality test and the existence of a one-way causality relationship to foreign direct investment, inflation rate and economic growth rate was found. The presence of the opposite situation could not be determined. In addition, no causal relationship was found between the credit ratings and unemployment rates.
Credit ratings provided by rating agencies have positive and/or negative impacts on international investment decisions. This means that the organizations in question are not objective in rating processes; it even brings about the debate that triggered economic crises. The study investigated the macroeconomic variables of the Fragile Eight group countries and the causality relationship between Moody’s Investors Service Inc.'s credit ratings. Firstly, the cross-sectional dependence was tested with ve tests, and the stability of the series was investigated with CIPS unit root test. The homogeneity of slope coefficients was examined by the Swamy S test and it was found that there was no cointegration relationship between the series as a result of the cointegration test of Westerlund and Edgerton (2007). Finally, the series were subjected to Dumitrescu-Hurlin panel causality test and the existence of a one-way causality relation to foreign direct investment, inflation rate and economic growth rate was found. The presence of the opposite situation could not be determined. In addition, no causal relationship was found between the credit ratings and unemployment rates.
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