The name is absent

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.