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Ordered Response Models for Sovereign Debt Ratings


Antonio Afonso


Technical University of Lisbon - ISEG (School of Economics and Management); UECE (Research Unit on Complexity and Economics); European Central Bank (ECB)

Pedro M. Gomes Sr.


Universidad Carlos III

Philipp Rother


European Central Bank (ECB)

Applied Economics Letters, Vol. 16, No. 8, pp. 769-773, 2009

Abstract:     
Using ordered logit and probit plus random effects ordered probit approaches, we study the determinants of sovereign debt ratings. We found that the last procedure is the best for panel data as it takes into account the additional cross-section error.

Keywords: ordered probit, ordered logit, random effects ordered probit, sovereign rating

JEL Classification: C25, E44, F30, G15

Accepted Paper Series


Date posted: May 14, 2009  

Suggested Citation

Afonso, Antonio, Gomes, Pedro M. and Rother, Philipp, Ordered Response Models for Sovereign Debt Ratings. Applied Economics Letters, Vol. 16, No. 8, pp. 769-773, 2009. Available at SSRN: http://ssrn.com/abstract=958671

Contact Information

Antonio Afonso (Contact Author)
Technical University of Lisbon - ISEG (School of Economics and Management) ( email )
R. Miguel Lupi, 20
Lisbon, 1248-078
Portugal
+351 21 392 2807 (Phone)
+351 21 396 6407 (Fax)
HOME PAGE: http://www.iseg.utl.pt/~aafonso/AAWeb.html
UECE (Research Unit on Complexity and Economics)
Rua Miguel Lupi 20
Lisbon, 1249-078
Portugal
+351-213 925 912 (Phone)
+351-213 971 196 (Fax)
HOME PAGE: http://www.iseg.utl.pt/~uece/
European Central Bank (ECB) ( email )
Kaiserstrasse 29
Frankfurt am Main, D-60311
Germany
HOME PAGE: http://www.ecb.int/home/html/index.en.html
Pedro M. Gomes Sr.
Universidad Carlos III ( email )
Madrid, WC2A 2AE
Spain
HOME PAGE: http://www.eco.uc3m.es/~pgomes/
Philipp Rother
European Central Bank (ECB) ( email )
Kaiserstrasse 29
Frankfurt am Main, D-60311
Germany
+49 69 1344 0 (Phone)
+49 16 1344 6398 (Fax)
Feedback to SSRN (Beta)


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