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    Short- and long-run determinants of sovereign debt credit ratings

    Afonso, A. and Gomes, Pedro and Rother, P. (2010) Short- and long-run determinants of sovereign debt credit ratings. International Journal of Finance and Economics 16 (1), pp. 1-15. ISSN 1076-9307.

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    Abstract

    We study the determinants of sovereign debt ratings from the three main international rating agencies, for the period 1995-2005. Using linear and ordered response models we employ a specification that allows us to distinguish between short and long-run effects, on a country’s rating, of macroeconomic and fiscal variables. The results point to a good performance of the models in explaining a country’s rating, both across agencies and time. Changes in GDP per capita, GDP growth, government debt, and government balance have a short-run impact on a country’s credit rating, while government effectiveness, external debt, foreign reserves and default history are important long-run determinants.

    Metadata

    Item Type: Article
    Additional Information: This is the peer reviewed version of the article, which has been published in final form at the link above. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.
    Keyword(s) / Subject(s): credit ratings, sovereign debt, rating agencies, panel data, random effects, ordered probit
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Research Centre: Applied Macroeconomics, Birkbeck Centre for
    Depositing User: Pedro Gomes
    Date Deposited: 12 Oct 2017 06:59
    Last Modified: 27 Jul 2019 16:09
    URI: http://eprints.bbk.ac.uk/id/eprint/20043

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