Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153145
Authors: 
Afonso, António
Gomes, Pedro
Rother, Philipp
Year of Publication: 
2007
Series/Report no.: 
ECB Working Paper 711
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.
Subjects: 
credit ratings
panel data
random effects ordered probit
rating agencies
sovereign debt
JEL: 
C23
C25
E44
F30
F34
G15
H63
Document Type: 
Working Paper

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