The name is absent



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.

JEL: C23; C25; E44; F30; F34; G15; H63

Keywords: credit ratings; sovereign debt; rating agencies; panel data; random effects
ordered probit



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