Understanding the determinants of sovereign debt ratings: Evidence for the two leading agencies

By António Afonso. 2003

302 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/46c77cc9c7fdec8d8a81ac582b9705217257a8fe

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In Economics and Econometrics

Citations in the corpus

What 'Hides' Behind Sovereign Debt Ratings? (2007, unknown): “ECB Working Paper, No. 711 Provided in Cooperation with: European Central Bank (ECB) Suggested Citation: Afonso, António; Gomes, Pedro; Rother, Philipp (2007) : What “hides” behind sovereign debt ratings?, ECB Working Paper, No. 711, European Central Bank (ECB), Frankfurt a. M.”
Fiscal Policy Events and Interest Rate Swap Spreads: Evidence from the EU (2007, background): “27 For instance, Afonso (2003) reports that sovereign rating is highly correlated with GDP per capita.”
Sovereign Credit Ratings, Capital Flows and Financial Sector Development in Emerging Markets (2006, background): “Previous studies have found sovereign credit ratings across countries to encapsulate various fundamental aspects of a country’s debt history and macroeconomic strength such as the amount of debt outstanding, GDP per capita, economic growth, inflation and debt repayment ability (see inter alia Cantor”
Sovereign Credit Ratings and Financial Markets Linkages: Application to European Data (2012, unknown): “19 References Afonso, A. (2003). “Understanding the determinants of sovereign debt ratings: evidence for the two leading agencies”. Journal of Economics and Finance, 27 (1), 56-74. Afonso, A., Strauch, R. (2007). “Fiscal Policy Events and Interest Rate Swap Spreads: some Evidence from the EU”, Journ”
Which factors determine sovereign credit ratings? (2006, methodology): “However, Alfonso (2003) using the same methodology as Cantor and Packer, and data available in June 2001, concluded that while GDP per capita is the sole relevant variable in explaining the determinants of ratings of developed countries, external debt plays a key role for developing countries.”
Short‐ and long‐run determinants of sovereign debt credit ratings (2011, methodology): “2 See, for instance, Hajivassiliou and Ioannides (2007). while is a short-term effect (e. g. if a country manages to reduce unemployment this year what is the impact on the rating).”
Crisis and Competition in Expert Organizational Decision Making: Credit-Rating Agencies and Their Response to Turbulence in Emerging Economies (2004, methodology): “…determine sovereign ratings (e.g., S&P 1999). c This is the variable used to estimate agency ratings in previous academic research (Cantor and Packer 1996, Larraín et al. 1997, McNamara and Vaaler 2000, Afonso 2003). d 1 Strong political and or civil rights (Free); 7 Opposite assessment (Not Free).”