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Análisis de las calificaciones de riesgos soberano. El caso uruguayo

Author

Listed:
  • Fernando Borraz

    (Banco Central del Uruguay)

  • Alejandro Fried

    (Banco Central del Uruguay)

  • Diego Gianelli

    (Banco Central del Uruguay)

Abstract

We analyze sovereign credit ratings trough a logit model for 53 countries between 2000 and 2010. Because the literature does not discuss the inclusion of non stationary exploratory variables we incorporate an interaction of the GDP with a trend factor to balance the rating equations. We find that the sovereign credit ratings can be explained by a set of macroeconomics and institutional variables and that Uruguay predicted rating is the Investment Grade. However, the high level of dollarization is related to the other fundamentals and it implies ratings with high cycliclal volatility.

Suggested Citation

  • Fernando Borraz & Alejandro Fried & Diego Gianelli, 2011. "Análisis de las calificaciones de riesgos soberano. El caso uruguayo," Documentos de trabajo 2011003, Banco Central del Uruguay.
    • Handle: RePEc:bku:doctra:2011003
    as

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    File URL: https://www.bcu.gub.uy/Estadisticas-e-Indicadores/Documentos%20de%20Trabajo/3.2011.pdf
    File Function: First version, 2011
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    Cited by:

    1. Edgberto Alexander Riveros, 2012. "¿Responde el Banco de la República a los movimientos en la tasa de cambio real?," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 30(69), pages 150-194, December.

    More about this item

    Keywords

    sovereign debt; sovereign credit ratings; investment grade; credit ratings agencies;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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