Publication
What "hides" behind sovereign debt ratings?
| dc.contributor.author | Afonso, António | |
| dc.contributor.author | Gomes, Pedro | |
| dc.contributor.author | Rother, Philipp | |
| dc.date.accessioned | 2010-06-14T11:19:21Z | |
| dc.date.available | 2010-06-14T11:19:21Z | |
| dc.date.issued | 2007-01 | |
| dc.description.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. | pt |
| dc.identifier.citation | Afonso, António, Pedro Gomes e Philipp Rother. 2007. "What "hides" behind sovereign debt ratings?". European Central Bank working paper series nº 711-2007 | pt |
| dc.identifier.issn | 1725-2806 | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/2134 | |
| dc.language.iso | eng | pt |
| dc.publisher | European Central Bank | pt |
| dc.relation.ispartofseries | European Central Bank working paper series;nº 711-2007 | |
| dc.relation.publisherversion | http://www.ecb.int/pub/pdf/scpwps/ecbwp711.pdf | pt |
| dc.subject | credit ratings | pt |
| dc.subject | sovereign debt | pt |
| dc.subject | rating agencies | pt |
| dc.subject | panel data | pt |
| dc.subject | random effects ordered probit | pt |
| dc.title | What "hides" behind sovereign debt ratings? | pt |
| dc.type | working paper | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt |
| rcaap.type | workingPaper | pt |