An analysis of the determinants of sovereign ratings
By Emawtee Bissoondoyal-Bheenick. 2005
193 citations recorded by the source corpus.
In recent years, the demand for sovereign ratings has increased mainly due to the inevitable globalisation of markets. This study analyses the quantitative determinants of sovereign ratings provided by the two main agencies, namely, Standard and Poors and Moody. The analysis also provides a forecast of the ratings to be assigned to the countries based on the model used as well as providing ratings to be assigned to a set of weaker economies which are not actually rated by the rating agencies. The main finding of the paper is that current economic and financial indicators alone do not determine ratings. In addition, the relevance of economic variables is not the same across the different rating categories. Economic variables do not carry the same importance for the sample of high rated countries with a long financial stability history as compared to the low rated sample of countries that are still undergoing structural changes.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/bf4d424549ba9209297767bc197e5f04c76477f8
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In Economics and Econometrics
- Pedro Gomes
- Davide Furceri
- António Afonso
- Ricardo M. Sousa
- Candida Ferreira
- Carlos Thomas
- Nikolai Stähler
- Gerry McNamara
In Finance
Citations in the corpus
- What 'Hides' Behind Sovereign Debt Ratings? (2007, unknown): “(2002), BissoondoyalBheenick (2005) and Bissoondoyal-Bheenick et al. (2005). Although this should be considered the preferred estimation procedure it is not entirely satisfying.”
- Sovereign Credit Ratings and Financial Markets Linkages: Application to European Data (2012, methodology): “20 Bissoondoyal-Bheenick, E. (2005). “An analysis of the determinants of sovereign ratings”.”