What “hides” behind sovereign debt ratings?

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 711

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models ; Single Equation Models; Single Variables: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities ; Financial Markets and the Macroeconomy ; International Finance: General ; International Lending and Debt Problems ; International Financial Markets ; National Debt; Debt Management; Sovereign Debt
• Subject: credit ratings ; panel data ; random effects ordered probit ; rating agencies ; sovereign debt ; Öffentliche Anleihe ; Ratingagentur ; Bewertung ; Welt

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Afonso, António ; Gomes, Pedro ; Rother, Philipp
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2007

Further information

• Handle: http://hdl.handle.net/10419/153145
• Last update: 10.03.2025, 11:42 AM CET