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Advisor(s)
Abstract(s)
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.
Description
Keywords
Credit Ratings Sovereign Debt Rating Agencies Panel Data Random Effects Ordered Probit
Pedagogical Context
Citation
Afonso, António, Pedro Gomes e Philipp Rother. 2006. "What 'hides' behind sovereign debt ratings?". Instituto Superior de Economia e Gestão - DE Working papers nº 35-2006/DE/UECE
Publisher
ISEG – Departamento de Economia