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Short‐and long‐run determinants of sovereign debt credit ratings

Bibliographic Details
Main Author: Afonso, António
Publication Date: 2011
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/10400.5/25660
Summary: We study the determinants of sovereign debt ratings from the three main rating agencies, for the period 1995–2005. Using linear and ordered response models, we employ a specification that allows us to distinguish between short- and long-run effects, on a country’s rating, of macroeconomic and fiscal variables. Changes in GDP per capita, GDP growth, government debt, and government balance have a short-run impact on a country’s credit rating, while government effectiveness, external debt, foreign reserves, and default history are important long-run determinants.
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spelling Short‐and long‐run determinants of sovereign debt credit ratingsCredit RatingsSovereign DebtRating AgenciesRandom Effects Ordered ProbitWe study the determinants of sovereign debt ratings from the three main rating agencies, for the period 1995–2005. Using linear and ordered response models, we employ a specification that allows us to distinguish between short- and long-run effects, on a country’s rating, of macroeconomic and fiscal variables. Changes in GDP per capita, GDP growth, government debt, and government balance have a short-run impact on a country’s credit rating, while government effectiveness, external debt, foreign reserves, and default history are important long-run determinants.John Wiley & Sons Ltd.Repositório da Universidade de LisboaAfonso, AntónioGomes, PedroRother, Philipp2022-10-04T15:05:16Z20112011-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/25660engAfonso, António; Pedro Gomes and Philipp Rother. (2011). "Short‐and long‐run determinants of sovereign debt credit ratings". International Journal of Finance & Economics, Vol. 16, No. 1: pp. 1-15.10.1002/ijfe.416info: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:RCAAP2025-03-17T16:23:43Zoai:repositorio.ulisboa.pt:10400.5/25660Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-29T04:12:32.143403Repositórios 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 Short‐and long‐run determinants of sovereign debt credit ratings
title Short‐and long‐run determinants of sovereign debt credit ratings
spellingShingle Short‐and long‐run determinants of sovereign debt credit ratings
Afonso, António
Credit Ratings
Sovereign Debt
Rating Agencies
Random Effects Ordered Probit
title_short Short‐and long‐run determinants of sovereign debt credit ratings
title_full Short‐and long‐run determinants of sovereign debt credit ratings
title_fullStr Short‐and long‐run determinants of sovereign debt credit ratings
title_full_unstemmed Short‐and long‐run determinants of sovereign debt credit ratings
title_sort Short‐and long‐run determinants of sovereign debt credit 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
Random Effects Ordered Probit
topic Credit Ratings
Sovereign Debt
Rating Agencies
Random Effects Ordered Probit
description We study the determinants of sovereign debt ratings from the three main rating agencies, for the period 1995–2005. Using linear and ordered response models, we employ a specification that allows us to distinguish between short- and long-run effects, on a country’s rating, of macroeconomic and fiscal variables. Changes in GDP per capita, GDP growth, government debt, and government balance have a short-run impact on a country’s credit rating, while government effectiveness, external debt, foreign reserves, and default history are important long-run determinants.
publishDate 2011
dc.date.none.fl_str_mv 2011
2011-01-01T00:00:00Z
2022-10-04T15:05:16Z
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/10400.5/25660
url http://hdl.handle.net/10400.5/25660
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Afonso, António; Pedro Gomes and Philipp Rother. (2011). "Short‐and long‐run determinants of sovereign debt credit ratings". International Journal of Finance & Economics, Vol. 16, No. 1: pp. 1-15.
10.1002/ijfe.416
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 John Wiley & Sons Ltd.
publisher.none.fl_str_mv John Wiley & Sons Ltd.
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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