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http://ssrn.com/abstract=1028774
 
 

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Determinants and Impact of Sovereign Credit Ratings


Richard Cantor


Moody's Investors Service

Frank Packer


Bank for International Settlements (BIS)

October 1996

Economic Policy Review, Vol. 2, No. 2, October 1996

Abstract:     
The authors conduct the first systematic analysis of the determinants and impact of the sovereign credit ratings assigned by the two leading U.S. agencies, Moody's Investor Services and Standard and Poor's. Of the large number of criteria used by the two agencies, six factors appear to play an important role in determining a country's credit rating: per capita income, GDP growth, inflation, external debt, level of economic development, and default history. In addition, the authors find that sovereign ratings influence market yields - particularly those on non-investment-grade issues - independently of any correlation with publicly available information.

Number of Pages in PDF File: 18

Keywords: Sovereign credit ratings, Moody's Investor Services, S&P

JEL Classification: F34, G15

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Date posted: November 11, 2007  

Suggested Citation

Cantor, Richard and Packer , Frank, Determinants and Impact of Sovereign Credit Ratings (October 1996). Economic Policy Review, Vol. 2, No. 2, October 1996. Available at SSRN: http://ssrn.com/abstract=1028774 or http://dx.doi.org/10.2139/ssrn.1028774

Contact Information

Richard Martin Cantor (Contact Author)
Moody's Investors Service ( email )
99 Church Street
New York, NY 10007
United States
Frank Packer
Bank for International Settlements (BIS) ( email )
CH-4002 Basel, Basel-Stadt
Switzerland
4161 280 8449 (Phone)
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