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 | 2010-12-10T11:38:02Z | |
| dc.date.available | 2010-12-10T11:38:02Z | |
| dc.date.issued | 2006 | |
| 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. | por |
| dc.identifier.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 | por |
| dc.identifier.issn | 0874-4548 | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/2657 | |
| dc.language.iso | eng | por |
| dc.publisher | ISEG – Departamento de Economia | por |
| dc.relation.ispartofseries | DE/ Working papers nº 35-2006/DE/UECE | |
| dc.relation.publisherversion | https://aquila1.iseg.utl.pt/aquila/getFile.do?fileId=26469&method=getFile | por |
| dc.subject | Credit Ratings | por |
| dc.subject | Sovereign Debt | por |
| dc.subject | Rating Agencies | por |
| dc.subject | Panel Data | por |
| dc.subject | Random Effects Ordered Probit | por |
| dc.title | What 'hides' behind sovereign debt ratings?" | por |
| dc.type | working paper | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | por |
| rcaap.type | workingPaper | por |