What "hides" behind sovereign debt ratings?

Bibliographic Details
Main Author: Afonso, António
Publication Date: 2007
Other Authors: Gomes, Pedro, Rother, Philipp
Format: Article
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10400.5/2134
Summary: 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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spelling 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.European Central BankRepositório da Universidade de LisboaAfonso, AntónioGomes, PedroRother, Philipp2010-06-14T11:19:21Z2007-012007-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/2134engAfonso, António, Pedro Gomes e Philipp Rother. 2007. "What "hides" behind sovereign debt ratings?". European Central Bank working paper series nº 711-20071725-2806info:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2025-03-17T16:24:34Zoai:repositorio.ulisboa.pt:10400.5/2134Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-29T04:13:27.871402Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
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 2007
dc.date.none.fl_str_mv 2007-01
2007-01-01T00:00:00Z
2010-06-14T11:19:21Z
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/10400.5/2134
url http://hdl.handle.net/10400.5/2134
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Afonso, António, Pedro Gomes e Philipp Rother. 2007. "What "hides" behind sovereign debt ratings?". European Central Bank working paper series nº 711-2007
1725-2806
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 European Central Bank
publisher.none.fl_str_mv European Central Bank
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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