What 'hides' behind sovereign debt ratings?"
Autor(a) principal: | |
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Data de Publicação: | 2006 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/2657 |
Resumo: | 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. |
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What 'hides' behind sovereign debt ratings?"Credit RatingsSovereign DebtRating AgenciesPanel DataRandom Effects Ordered ProbitIn 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.ISEG – Departamento de EconomiaRepositório da Universidade de LisboaAfonso, AntónioGomes, PedroRother, Philipp2010-12-10T11:38:02Z20062006-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/2657engAfonso, 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/UECE0874-4548info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:33:50Zoai:www.repository.utl.pt:10400.5/2657Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:50:37.633036Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
What 'hides' behind sovereign debt ratings?" |
title |
What 'hides' behind sovereign debt ratings?" |
spellingShingle |
What 'hides' behind sovereign debt ratings?" Afonso, António Credit Ratings Sovereign Debt Rating Agencies Panel Data Random Effects Ordered Probit |
title_short |
What 'hides' behind sovereign debt ratings?" |
title_full |
What 'hides' behind sovereign debt ratings?" |
title_fullStr |
What 'hides' behind sovereign debt ratings?" |
title_full_unstemmed |
What 'hides' behind sovereign debt ratings?" |
title_sort |
What 'hides' behind sovereign debt ratings?" |
author |
Afonso, António |
author_facet |
Afonso, António Gomes, Pedro Rother, Philipp |
author_role |
author |
author2 |
Gomes, Pedro Rother, Philipp |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Afonso, António Gomes, Pedro Rother, Philipp |
dc.subject.por.fl_str_mv |
Credit Ratings Sovereign Debt Rating Agencies Panel Data Random Effects Ordered Probit |
topic |
Credit Ratings Sovereign Debt Rating Agencies Panel Data Random Effects Ordered Probit |
description |
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. |
publishDate |
2006 |
dc.date.none.fl_str_mv |
2006 2006-01-01T00:00:00Z 2010-12-10T11:38:02Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/2657 |
url |
http://hdl.handle.net/10400.5/2657 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
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 0874-4548 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
ISEG – Departamento de Economia |
publisher.none.fl_str_mv |
ISEG – Departamento de Economia |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799130981346574336 |