Revisiting the determinants of sovereign debt ratings in Europe through artificial intelligence techniques

Carlos Galnares, Alfonso Carlos Martínez-Estudillo, Mariano Carbonero-Ruz and Pilar Campoy-Muñoz

Applied Economics Letters, 2023, vol. 30, issue 17, 2360-2363

Abstract: In papers using artificial intelligence (AI) techniques, little attention has been paid to the determinants of sovereign debt ratings. We propose a reduced set of variables regarding the economic performance of a country that are consistent with the idea of debt sustainability. The robustness of this set is supported by the results obtained with different well-known AI techniques using data from EU-15 countries during the 2002–2017 period as the experimental setting. The variables are publicly available, allowing a quick and reliable assessment of the creditworthiness of a sovereign and providing useful information for decision-makers and investors.

Date: 2023
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DOI: 10.1080/13504851.2022.2097171

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