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Short‐and long‐run determinants of sovereign debt credit ratings

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dc.contributor.authorAfonso, António
dc.contributor.authorGomes, Pedro
dc.contributor.authorRother, Philipp
dc.date.accessioned2022-10-04T15:05:16Z
dc.date.available2022-10-04T15:05:16Z
dc.date.issued2011
dc.description.abstractWe 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.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationAfonso, António; Pedro Gomes and Philipp Rother. (2011). "Short‐and long‐run determinants of sovereign debt credit ratings". International Journal of Finance & Economics, Vol. 16, No. 1: pp. 1-15.pt_PT
dc.identifier.doi10.1002/ijfe.416pt_PT
dc.identifier.urihttp://hdl.handle.net/10400.5/25660
dc.language.isoengpt_PT
dc.publisherJohn Wiley & Sons Ltd.pt_PT
dc.subjectCredit Ratingspt_PT
dc.subjectSovereign Debtpt_PT
dc.subjectRating Agenciespt_PT
dc.subjectRandom Effects Ordered Probitpt_PT
dc.titleShort‐and long‐run determinants of sovereign debt credit ratingspt_PT
dc.typejournal article
dspace.entity.typePublication
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT

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