The large sample allows for a sub-period analysis and for a differentiated analysis of
high and low ratings. While the results are roughly stable across agencies, time periods
and ratings levels, some additional interesting results emerge. For instance, for the low
rating levels, external debt and external reserves are more relevant. On the other hand,
for the early sub-period, 1996-2000, the current account balance was more important,
while external reserves were possibly somewhat more important in the later period,
2001-2005 (for Moody’s and S&P). Moreover, after the Asian crisis, it seems there was
a decline in the relevance of the current account variable in the specifications for
Moody’s and S&P.
In the last part of the paper we analyse some specific country cases. We find that, for
instance, Spain’s rating upgrades since 1998 were mainly due to its good
macroeconomic performance, while Portugal’s deterioration of its creditworthiness
during the same period can be mainly attributed to poor government performance.
Additionally new European Union member countries benefited not only from their good
macroeconomic performance, but also from a credibility effect of joining the European
Union.