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A Multiple Regression Model for Country Risk Assessment for European Countries

Author

Listed:
  • Danciu Aniela-Raluca

    (Academy of Economic Studies, Bucharest)

  • Goschin Zizi

    (Academy of Economic Studies, Bucharest)

Abstract

This paper proposes a multiple regression model for country risk assessment using the main economic-financial and political variables starting from the existing major risk rating systems. It is based on data provided by international organizations such as the International Monetary Fund, the World Bank, the Eurostat, etc. as well as by previous research papers of a large interest among the experts in this field. The model offers a complementary instrument for quickly, promptly assessing the country ratings based on the most relevant characteristics employed by prestigious agencies such as Standard and Poor’s, Moody’s, the Institutional Investor, etc. The model results are consistent with the ratings provided by these agencies, confirming its usefulness for country risk research.

Suggested Citation

  • Danciu Aniela-Raluca & Goschin Zizi, 2011. "A Multiple Regression Model for Country Risk Assessment for European Countries," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 529-534, May.
    • Handle: RePEc:ovi:oviste:v:11:y:2011:i:1:p:529-534
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    More about this item

    Keywords

    country risk ratings; economic risk; financial risk; political risk; non-recursive regression model;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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