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Understanding the determinants of government debt ratings: evidence for the two leading agencies
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Autores
Orientador(es)
Resumo(s)
I conduct an analysis of the possible determinants of sovereign credit ratings assigned by the two leading credit rating agencies, Moody's and Standard and Poor's, by using both a linear and a logistic transformation of the rating scales. Of the large number of variables that can be used, the set of explanatory variables selected in this study is significant in explaining the credit ratings. Namely, six variables appear to be the most relevant to determine a country's credit rating: GDP per capita, external debt, level of economic development, default history, real growth rate and inflation rate.
Descrição
Palavras-chave
Credit Ratings Sovereign Debt
Contexto Educativo
Citação
Afonso, António. 2002. "Understanding the determinants of government debt ratings: evidence for the two leading agencies". Instituto Superior de Economia e Gestão - DE Working papers nº 2-2002/DE/CISEP
Editora
ISEG – Departamento de Economia