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

✍ Scribed by António Afonso; Pedro Gomes; Philipp Rother

Book ID
102278305
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
145 KB
Volume
16
Category
Article
ISSN
1076-9307

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✦ Synopsis

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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