What 'Hides' Behind Sovereign Debt Ratings?
67 Pages Posted: 19 Jan 2007
Date Written: January 2007
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. We employ panel estimation and random effects ordered probit approaches to assess the explanatory power of several macroeconomic and public governance 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.
Keywords: credit ratings, sovereign debt, rating agencies, panel data, random effects ordered probit
JEL Classification: C23, C25, E44, F30, F34, G15, H63
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Assessing New Perspectives on Country Risk
By Claudio E. V. Borio and Frank Packer
-
Institutional Environment and Sovereign Credit Ratings
By Alexander W. Butler and Larry Fauver
-
Institutional Environment and Sovereign Credit Ratings
By Alexander W. Butler and Larry Fauver
-
Sovereign Credit Ratings, Transparency and International Portfolio Flows
-
To Judge Leviathan: Sovereign Credit Ratings, National Law, and the World Economy
-
Rewards to Improving Governance in Rich and Poor Countries: Evidence from Sovereign Credit Ratings
-
Sovereign Ratings and Economic Liberalisation
By Till Cordes
-
Sovereign Ratings and Oil-Producing Countries: Have Sovereign Ratings Run Ahead of Fundamentals?
By Robert V. Breunig and Tse Chern Chia
-
Developing Foreign Bond Markets: The Arirang Bond Experience in Korea