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Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt

✍ Scribed by Hilscher, J.; Nosbusch, Y.

Book ID
121406835
Publisher
Oxford University Press
Year
2010
Tongue
English
Weight
338 KB
Volume
14
Category
Article
ISSN
1572-3097

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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