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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 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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