|
Reference |
Data |
Explanatory variables |
Agencies |
Methodology |
|
Cantor and Packer
(1996) |
Cross-section,
1995, 45
Countries |
Per capita GDP, GDP growth, Inflation, current account
surplus, government budget surplus, debt-to-exports,
economic development, default history |
S&P
Moody’s |
Linear transformation of the
data. OLS estimation. |
|
Monfort and Mulder
(2000) |
Panel,
1995-1999
(half-yearly),
20 emerging
markets |
Debt-to-GDP, debt-to-exports, debt service-to-exports, debt
reschedule, reserves, current account surplus, real effective
exchange rate, export growth, short-term debt share, terms
of trade, inflation, growth of domestic credit, GDP growth,
government budget surplus, investment-to-GDP ratio, per
capita GDP, US treasury bill rate, Spread over T-bonds,
regional dummies |
S&P
Moody’s |
Linear transformation of the
data. Two specifications: static
(OLS estimation of the pooled
data) and dynamic (error
correction specification
including as regressor the
previous rating and several
variables in first differences) |
|
Eliasson (2002) |
Panel,
1990-1999,
38 emerging
markets |
Per capital GDP, GDP growth, inflation, debt-to-exports
ratio, government budget surplus, short-term debt to foreign S&P
reserves ratio, export growth, interest rate spread |
Linear transformation of the
data. Static specification and
both fixed and random effects
estimation. Dynamic
specification. |
|
Hu, Kiesel and
Perraudin (2002) |
Unbalanced
panel,
1981-1998,
12 to 92
countries |
Debt service-to-exports ratio, debt-to-GNP ratio, reserves to
debt, reserves to imports, GNP growth, inflation, default
history, default in previous year, regional dummies, non-
industrial countries dummy |
S&P |
Ordered probit on pooled data.
Two scales: 1-8 and 1-14 |
|
Afonso (2003) |
Cross-section,
2001, 81
countries |
Per capita income, GDP growth, inflation, current account
surplus, government budget surplus, debt-to-exports ratio,
economic development, default history |
S&P
Moody’s |
Linear, logistic and exponential
transformation of the data. OLS
estimation. |
|
Alexe et al. (2003) |
Cross-section
1998, 68
countries |
Per capita GDP, inflation, trade balance, export growth,
reserves, government budget surplus, debt-to-GDP ratio,
exchange rate, domestic credit-to-GDP ratio, government
effectiveness, corruption index, political stability |
S&P |
Linear transformation and OLS
estimation. |
|
Canuto, Santos
and Porto (2004) |
Panel
1998-2002, 66
countries |
Per capita GDP, GDP growth, inflation, government debt to
receipts, government budget surplus, trade to GDP, debt-to-
exports ratio, economic development, default history |
S&P
Moody’s
Fitch |
Linear transformation. OLS,
fixed effects and first
differences estimation. |
|
Borio and Packer
(2004) |
Panel
1996-2003, 52
countries |
Per capita GDP, GDP growth, inflation, corruption
perception index, political risk index, years since default,
frequency of high inflation periods, government debt-to-
GDP ratio, debt-to-exports ratio, others |
S&P
Moody’s |
Linear transformation of data.
OLS regression of average
credit rating including year
dummies as regressors. |
|
Bissoondoyal-
Bheenick, Brooks
and Yip (2005) |
Cross-section
2001, 60
countries |
GDP, inflation, foreign direct investment to GDP, current
account to GDP, trade to GDP, real interest rate, mobile
phones |
S&P
Moody’s
Fitch |
Estimate a ordered probit with 9
categories |
|
Bissoondoyal-
Bheenick (2005) |
Panel
1995-1999, 95
countries |
Per capita GDP, inflation, govt financial balance to GDP,
government debt-to-GDP ratio, real effective exchange rate,
export to GDP, reserves, unemployment rate, unit labour
cost, current account to GDP, debt-to-GDP ratio |
S&P
Moody’s |
Estimate an ordered probit
using two scales 1-21 and 1-9
for each year individually. |
|
Butler and Fauver
(2006) |
Cross-section
2004, 93
countries |
Per capita income, debt-to-GDP ratio, inflation,
underdevelopment index, legal environment index, legal
origin dummies |
Institutional
Investor |
OLS estimation. |