Afonso, AntónioGomes, PedroRother, Philipp2010-12-102010-12-102006Afonso, 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/UECE0874-4548http://hdl.handle.net/10400.5/2657In 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.engCredit RatingsSovereign DebtRating AgenciesPanel DataRandom Effects Ordered Probitworking paper