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

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Snježana Brkić
Velma Prijalović
Elma Pjanić


Credit rating, as one of country risk indicators, plays an exceptionally important role in international capital markets – for creditors and investors as much as countries, industries and companies which require loans and investments. It is 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 countries. The research takes into account ratings provided by three the most significant rating agencies – 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 2014. 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 B&H scores the lowest. Trend of the credit rating often does not sufficiently match the macroeconomic situation of the countries observed through main macroeconomic indicators. By using scatter diagrams and Spearman’s rank correlation coefficient, it has been discovered medium strong positive correlation between credit rating on one side and gross domestic product, external debt and exports, on the other side, while correlation with other analysed macroeconomic indicators has been extremely low.

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