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The Determinants Of Sovereign Credit Ratings: A New Empirical Approach

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  • CARMEN ALTENKIRCH

Abstract

The purpose of this paper is to extend the literature on the determinants of sovereign credit ratings by, firstly, showing empirically that there is a probable bias in the results obtained by previous studies and, secondly, to combine a General‐to‐Specific (GETS) model selection strategy with Dynamic Panel Data estimation techniques to resolve these biases. The results are encouraging: the preferred model is not only statistically adequate, but also economically significant and consistent with the categories of variables deemed to be important by the agencies who construct sovereign credit ratings.

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  • Carmen Altenkirch, 2005. "The Determinants Of Sovereign Credit Ratings: A New Empirical Approach," South African Journal of Economics, Economic Society of South Africa, vol. 73(3), pages 462-473, September.
    • Handle: RePEc:bla:sajeco:v:73:y:2005:i:3:p:462-473
    DOI: 10.1111/j.1813-6982.2005.00031.x
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    1. Nelson R. Ramírez-Rondán & Renato M. Rojas-Rojas & Julio A. Villavicencio, 2022. "Do institutions mitigate the uncertainty effect on sovereign credit ratings?," Documentos de Trabajo / Working Papers 2022-514, Departamento de Economía - Pontificia Universidad Católica del Perú.
    2. Purificación Parrado-Martínez & Antonio Partal-Ureña & Pilar Gómez Fernández-Aguado, 2016. "Banking Soundness Indicators and Sovereign Risk in Time of Crisis: The Case of the European Union," The World Economy, Wiley Blackwell, vol. 39(8), pages 1172-1193, August.
    3. Gabriel Caldas Montes & Diego Silveira Pacheco Oliveira, 2019. "Central bank transparency and sovereign risk ratings: a panel data approach," International Economics and Economic Policy, Springer, vol. 16(2), pages 417-433, April.
    4. Aras, Osman Nuri & Öztürk, Mustafa, 2018. "The Effect of the Macroeconomic Determinants on Sovereign Credit Rating of Turkey," MPRA Paper 86642, University Library of Munich, Germany.
    5. Purificacion Parrado-Martinez & Antonio Parta Ureña & Pilar Gomez Fernandez-Aguado, 2014. "Usefulness of Financial Soundness Indicators for risk assessment: The case of EU member countries," Working Papers 14.01, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
    6. Montes, Gabriel Caldas & Valladares, Matheus & de Moraes, Claudio Oliveira, 2021. "Impacts of the sovereign risk perception on financial stability: Evidence from Brazil," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 358-369.
    7. Oluyomi A. Osobajo & Adeola E. Akintunde, 2019. "Determinants of Sovereign Credit Ratings in Emerging Markets," International Business Research, Canadian Center of Science and Education, vol. 12(5), pages 142-166, May.
    8. Gabriel Caldas Montes & Diego S. P. Oliveira & Helder Ferreira Mendonça, 2016. "Sovereign Credit Ratings in Developing Economies: New Empirical Assessment," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(4), pages 382-397, October.
    9. Diego Silveira Pacheco De Oliveira & Gabriel Caldas Montes, 2016. "Beyond The Macroeconomic Determinants Of Sovereign Credit Ratings In Developing Economies: A Panel Data Analysis Considering Different Dimensions," Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting] 049, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

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