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Please use this identifier to cite or link to this item: http://hdl.handle.net/10400.5/2657

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: 2006
Publisher: ISEG – Departamento de Economia
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
Series/Report no.: DE Working papers;nº 35-2006/DE/UECE
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/10400.5/2657
ISSN: 0874-4548
Publisher version: https://aquila1.iseg.utl.pt/aquila/getFile.do?fileId=26469&method=getFile
Appears in Collections:UECE - Documentos de Trabalho / UECE - Working Papers
DE - Documentos de trabalho / Working Papers

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