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 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 11:43 |
| Last Modified: | 02 Aug 2023 17:36 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/20044 |
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