 Which factors determine sovereign credit ratings?Constantin Mellios and Eric Paget-Blanc The European Journal of Finance, 2006, vol. 12, issue 4, 361-377 Abstract: The purpose of this study is to examine the determinants of the sovereign credit ratings provided by the three major rating agencies: Fitch Ratings, Moody's and Standard and Poor. A principal component analysis is employed in order to identify the common factors affecting these ratings. The impact of the variables correlated with these factors on ratings is then assessed through an ordered logistic model. Results show that sovereign ratings are mostly influenced by per capita income, government income, real exchange rate changes, inflation rate and default history. The study also highlights the importance of corruption, as measured by Transparency International's Corruption Perceptions Index, which appears as a proxy for both economic development and the quality of the governance of a country. Keywords: Credit ratings; sovereign debts; sovereign default; principal component analysis; logistic model (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:12:y:2006:i:4:p:361-377 Ordering information: This journal article can be ordered from DOI: 10.1080/13518470500377406 Access Statistics for this article The European Journal of Finance is currently edited by Chris Adcock More articles in The European Journal of Finance from Taylor & Francis Journals |
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