Sovereign credit rating determinants under financial crises

João C.A. Teixeira, Francisco J.F. Silva, Manuel B.S. Ferreira and José Vieira

Global Finance Journal, 2018, vol. 36, issue C, 1-13

Abstract: This paper empirically examines the determinants of sovereign credit ratings using panel data on a sample of 86 countries for 1993–2013. It further investigates whether the countries' average credit rating differs by region and for crisis and noncrisis periods, and how the bursting of the dot-com bubble, the Asian crisis, and the 2008 international financial crisis affected the average rating of each region. The estimation results reveal that macroeconomic, external, government, and qualitative factors importantly affect sovereign credit ratings, and that average ratings differ across all geographical regions except for North America and the Eurozone. While the recent crisis reduced the average rating across all regions, the dot-com bubble burst had no effect, the Asian crisis affected only the average rating of Asian countries, and the downgrade resulting from the 2008 crisis was larger in the Eurozone.

Keywords: Sovereign credit ratings; Sovereign debt; Financial crises; Ordered probit model (search for similar items in EconPapers)
JEL-codes: G01 G24 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1044028317301990
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:36:y:2018:i:c:p:1-13

DOI: 10.1016/j.gfj.2018.01.003

Access Statistics for this article

Global Finance Journal is currently edited by Manuchehr Shahrokhi

More articles in Global Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().