Yerel para birimi kredi marjlarının belirleyicileri: Gelişmekte olan piyasalardan kanıtlar

This thesis investigates the determinants of local currency credit spread (LCCS) in emerging markets, with an emphasis on understanding how sovereign risk associated with local currency debts is influenced by both local and global economic factors. Utilizing a dynamic factor model, the study comprehensively analyzes data spanning from 2007 to 2021 across nine diverse emerging economies: Brazil, Hungary, Indonesia, Mexico, the Philippines, Poland, Russia, South Africa, and Turkey. This period, marked by significant global financial shocks, provides a robust context for examining the predictive power of the model. Furthermore, the thesis explores the macroeconomic fundamentals behind the weak co-movement in the LCCS compared to the foreign currency credit spread (FCCS). While inflation emerged as the main source of this dispersion, short-term debt, current account deficit, and financial markets index, a measure of how developed financial markets are in terms of their depth, access, and efficiency, are also important characteristics for the deterioration of local currency credit spread dynamics. The findings demonstrate that LCCS in emerging markets are shaped not only by traditional measures of default risk but also by a broader array of economic and political uncertainties, thus providing an insight for policymakers, investors, and analysts to make more informed decisions based on a deeper understanding of the diverse economic landscapes.