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Leads and lags in sovereign credit ratings

✍ Scribed by Rasha Alsakka; Owain ap Gwilym

Book ID
116615638
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
326 KB
Volume
34
Category
Article
ISSN
0378-4266

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Short- and long-run determinants of sove
Short- and long-run determinants of sovereign debt credit ratings
✍ AntΓ³nio Afonso; Pedro Gomes; Philipp Rother πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 145 KB

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