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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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    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.


    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

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