Browsing by Author "Rother, Philipp"
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- Fiscal consolidations in the Central and Eastern European countriesPublication . Afonso, António; Nickel, Christiane; Rother, PhilippWe study fiscal consolidations in the Central and Eastern European countries and what determines the probability of their success. We define consolidation events as substantive improvements in fiscal balances adjusting for the impact of cyclical effects. We use Logit models for the period 1991-2003 to assess the determinants of the success of a fiscal adjustment. The results seem to suggest that for these countries expenditure based consolidations have tended to be more successful. By contrast, revenue based consolidations have a tendency to be less successful.
- Fiscal consolidations in the Central and Eastern European countriesPublication . Afonso, António; Nickel, Christiane; Rother, PhilippWe study fiscal consolidations in the Central and Eastern European countries and what determines the probability of their success. We define consolidation events as substantive improvements in fiscal balances adjusting for the impact of cyclical effects. We use Logit models for the period 1991-2003 to assess the determinants of the success of a fiscal adjustment. The results seem to suggest that for these countries expenditure based consolidations have tended to be more successful. By contrast, revenue based consolidations have a tendency to be less successful.
- Ordered response models for sovereign debt ratingsPublication . Afonso, António; Gomes, Pedro; Rother, PhilippUsing 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.
- Ordered response models for sovereign debt ratingsPublication . Afonso, António; Gomes, Pedro; Rother, PhilippUsing 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.
- Short‐and long‐run determinants of sovereign debt credit ratingsPublication . Afonso, António; Gomes, Pedro; Rother, PhilippWe study the determinants of sovereign debt ratings from the three main rating agencies, for the period 1995–2005. Using linear and ordered response models, we employ a specification that allows us to distinguish between short- and long-run effects, on a country’s rating, of macroeconomic and fiscal variables. Changes in GDP per capita, GDP growth, government debt, and government balance have a short-run impact on a country’s credit rating, while government effectiveness, external debt, foreign reserves, and default history are important long-run determinants.
- What "hides" behind sovereign debt ratings?Publication . Afonso, António; Gomes, Pedro; Rother, PhilippIn 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.
- What 'hides' behind sovereign debt ratings?"Publication . Afonso, António; Gomes, Pedro; Rother, PhilippIn 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.