Short‐ and long‐run determinants of sovereign debt credit ratings | Zendy

Afonso António | Zendy; Gomes Pedro | Zendy; Rother Philipp | Zendy

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Short‐ and long‐run determinants of sovereign debt credit ratings

Author(s) -

Afonso António,

Gomes Pedro,

Rother Philipp

Publication year - 2011

Publication title -

international journal of finance and economics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.505

H-Index - 39

eISSN - 1099-1158

pISSN - 1076-9307

DOI - 10.1002/ijfe.416

Subject(s) - economics , sovereign credit , monetary economics , credit rating , debt , government debt , real gross domestic product , external debt , sovereign default , short run , per capita , government (linguistics) , financial system , sovereignty , fiscal policy , macroeconomics , sovereign debt , credit risk , finance , credit default swap , population , philosophy , law , linguistics , sociology , political science , demography , politics

We study the determinants of sovereign debt ratings from the three main rating agencies, for the period 1995–2005. Using linear and ordered response models, we employ a specification that allows us to distinguish between short‐ and long‐run effects, on a country's rating, of macroeconomic and fiscal variables. Changes in GDP per capita, GDP growth, government debt, and government balance have a short‐run impact on a country's credit rating, while government effectiveness, external debt, foreign reserves, and default history are important long‐run determinants. Copyright © 2010 John Wiley & Sons, Ltd.

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