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.
This is the latest version of this item.
|
Text
ShortLong2.pdf - Author's Accepted Manuscript Download (730kB) | Preview |
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 Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Research Centres and Institutes: | Applied Macroeconomics, Birkbeck Centre for |
| Depositing User: | Pedro Gomes |
| Date Deposited: | 12 Oct 2017 06:59 |
| Last Modified: | 02 Aug 2023 17:36 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/20043 |
Available Versions of this Item
- Short- and long-run determinants of sovereign debt credit ratings. (deposited 12 Oct 2017 06:59) [Currently Displayed]
Statistics
Additional statistics are available via IRStats2.
Archive Staff Only (login required)
