GELİŞMİŞ VE GELİŞMEKTE OLAN EKONOMİLERİN ÜLKE RİSKİNİN BELİRLEYENLERİ

In this study, the determinants of country risks of developed and developing economies are analyzed by revealing that country beta varies over time. For this purpose, firstly, the beta values of developed and developing economies between 2004 and 2023 were calculated with the help of the Heteroskedastic Market Model. Model calculations prove that beta values vary over time and countries. Secondly, the relationship of country beta with trade openness, financial openness, industrial production index, real effective exchange rate and inflation rate is investigated using the panel Fixed Effects OLS estimator. Estimation results show that the effect of the selected variables on country beta is significant. While the beta of the stock markets of developed economies is sensitive to changes in financial openness and industrial production index, the beta of the stock markets of developing countries is sensitive to changes in trade openness, real effective exchange rate and inflation rate.

Keywords: Country Risk, Macroeconomic Variables, Heteroskedastic Market Model

JEL Codes: G15, O57