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La calificación del riesgo soberano Análisis de sus determinantes

Author

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  • Alejandro Pena

    (Banco Central del Uruguay)

Abstract

El objetivo del trabajo es identificar cuáles son las variables económicas y políticas que están en la base de los ratings de crédito soberano de dos agencias calificadoras, Standard & Poors y Moody’s. Para ello se parte de la definición de calificación y se hace una revisión de los criterios de calificación que han publicado oportunamente ambas agencias. La cuantificación de los criterios se realiza en el marco de un modelo Logit Ordenado, dado que se está trabajando con una variable cualitativa y el pasaje de una calificación a la subsiguiente no es equivalente necesariamente a sumar uno al número establecido en la calificación de partida. Los modelos identificados establecen un importante peso relativo en la calificación para el índice que mide el riesgo político del país, seguido en orden de importancia por el índice que mide la liquidez de la economía y por el producto per cápita. Con relación a Uruguay se concluye que se encuentra bien calificado, aunque debe monitorearse de cerca la situación, en función de su relativa proximidad al umbral inferior que define el grado de investment grade.

Suggested Citation

  • Alejandro Pena, 2000. "La calificación del riesgo soberano Análisis de sus determinantes," Documentos de trabajo 2000005, Banco Central del Uruguay.
    • Handle: RePEc:bku:doctra:2000005
    as

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    File URL: https://www.bcu.gub.uy/Estadisticas-e-Indicadores/Documentos%20de%20Trabajo/5.2000.pdf
    File Function: First version, 2000
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    References listed on IDEAS

    as
    1. International Monetary Fund, 1998. "The Relative Importance of Political and Economic Variables in Creditworthiness Ratings," IMF Working Papers 1998/046, International Monetary Fund.
    2. Jonathan Eaton & Mark Gersovitz & Joseph E. Stiglitz, 1991. "The Pure Theory of Country Risk," NBER Chapters, in: International Volatility and Economic Growth: The First Ten Years of The International Seminar on Macroeconomics, pages 391-435, National Bureau of Economic Research, Inc.
    3. Richard Cantor & Frank Packer, 1996. "Determinants and impact of sovereign credit ratings," Economic Policy Review, Federal Reserve Bank of New York, vol. 2(Oct), pages 37-53.
    4. Stella Cheung, 1996. "Provincial Credit Rating in Canada: An Ordered Probit Analysis," Staff Working Papers 96-6, Bank of Canada.
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    Cited by:

    1. José Mourelle, 2010. "Fiscal and exchange rate policies during the Argentine and Uruguayan crisis of 2001-2002," Documentos de trabajo 2010012, Banco Central del Uruguay.

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