data sample for the random effects specification. As in the main text we present for each
rating agency an unrestricted and a restricted model. The overall fit seems very good
even though slightly lower than the one obtained with the linear transformation. Again
broadly the same core variables are also picked up as relevant determinants of the rating
levels: GDP per capita, GDP growth, government debt, government effectiveness
indicators, external debt, external reserves, and default history.
Table A3.1 - Logistic transformation
|
Rating |
AAA |
AA+ |
AA |
AA- |
A+ |
A |
A- |
BBB+ BBB BBB- |
BB+ |
BB |
BB- |
B+ |
B |
B- |
<B- | ||
|
Linear |
17 |
16 |
15 |
14 |
13 |
12 |
11 |
10 |
9 |
8 |
7 |
6 |
5 |
4 |
3 |
2 |
1 |
|
Logistic |
3.5 |
2.34 |
1.76 |
1.35 |
1.02 |
0.74 |
0.48 |
0.24 |
0 |
-0.2 |
-0.5 |
-0.7 |
-1 |
-1.4 |
-1.8 |
-2.3 |
-3.5 |
Figure A3.1 - Linear and logistic transformations
17
16
15
14
13
12
11
10
9
8
7
6
5
4
3
2
1
61
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