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    What "hides" behind sovereign debt ratings?

    Gomes, Pedro and Afonso, A. and Rother, P. (2008) What "hides" behind sovereign debt ratings? In: Soares, J. and Pina, J. and Catalão-Lopes, M. (eds.) New Developments in Financial Modelling. Cambridge Scholars Publishing, pp. 314-343. ISBN 9781847186744.

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    Abstract

    In this paper we study the determinants of sovereign debt credit ratings using rating notations from the three main international rating agencies, for the period 1995-2005. Using linear methods and ordered response models we employ a new specification that allows us to distinguish between short and long-run effects, on a country’s rating, of several macroeconomic and public governance explanatory variables. Our results point to a good performance of the estimated models, across agencies and across the time dimension, as well as a good overall prediction power. Relevant explanatory variables for a country's credit rating are: GDP per capita, GDP growth, government debt, government effectiveness indicators, external debt, external reserves and default history.

    Metadata

    Item Type: Book Section
    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 11:43
    Last Modified: 01 Aug 2019 04:18
    URI: http://eprints.bbk.ac.uk/id/eprint/20044

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