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Please use this identifier to cite or link to this item: http://hdl.handle.net/10400.5/2134

Title: What "hides" behind sovereign debt ratings?
Authors: Afonso, António
Gomes, Pedro
Rother, Philipp
Keywords: credit ratings
sovereign debt
rating agencies
panel data
random effects ordered probit
Issue Date: Jan-2007
Publisher: European Central Bank
Citation: Afonso, António, Pedro Gomes e Philipp Rother. 2007. "What "hides" behind sovereign debt ratings?". European Central Bank working paper series nº 711-2007
Series/Report no.: European Central Bank working paper series;nº 711-2007
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.
URI: http://hdl.handle.net/10400.5/2134
ISSN: 1725-2806
Publisher version: http://www.ecb.int/pub/pdf/scpwps/ecbwp711.pdf
Appears in Collections:DE - Documentos de trabalho / Working Papers

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