Correlation Between Credit Rating and Macroeconomic Indicators Case Study of South-East European Countries

• Published in: Economic analysis (Belgrade, Serbia : 2009) Vol. 49; no. 3-4; pp. 1 - 19
• Main Authors: Brkić, Snježana, Pijalović, Velma, Pjanić, Elma
• Format: Journal Article
• Language: English
• Published: Institut ekonomskih nauka 01.12.2016; Institute of Economic Sciences
• Subjects: country risk; credit rating; Financial Markets; macroeconomic indicators; Spearman’s rank correlation coefficient; Spearman’s rank correlation coefficient; SouthEast European countries; credit rating; macroeconomic indicators; country risk
• ISSN: 1821-2573; 2560-3949

Credit rating, as one of country risk indicators, plays an exceptionally important role in international capital markets – for credito rs and investors as much as countries, industries a nd companies which require loans and investments. It i s connected with a wide range of different factors, both of economic and non-economic nature. The goal of this paper is to provide insight in trends of credit ratings of South-East European countries and to compare their ratings, bringing them into relation with macroeconomic situation of given coun tries. The research takes into account ratings provided by three the most significant rating agenc ies – Standard Poor's, Moody's and Fitch, as well as eight macroeconomic indicators, for Albania , Bosnia and Herzegovina, Montenegro, Croatia, Macedonia and Serbia in period between 2007 and 201 4. Results of this research have shown that credit ratings of these countries ranged within the non-investment speculative grade. Croatia has the highest credit rating, followed by Macedonia, then Serbia and Montenegro, while BH scores the lowest. Trend of the credit rating often does not s ufficiently match the macroeconomic situation of th e countries observed through main macroeconomic indic ators. By using scatter diagrams and Spearman’s rank correlation coefficient, it has bee n discovered medium strong positive correlation between credit rating on one side and gross domesti c product, external debt and exports, on the other side, while correlation with other analysed macroec onomic indicators has been extremely low.