Determinants of sovereign credit risk: the case of Russia

Mikhail Stolbov

Post-Communist Economies, 2017, vol. 29, issue 1, 51-70

Abstract: The article analyses external and domestic determinants of Russian sovereign credit risk from January 2001 to May 2015. The analysis is conducted in a time series framework, involving the ARDL approach and VECM model. External risk factors outperform domestic fundamentals. The VIX index and oil prices are the most important factors, followed by the Fitch credit rating changes and TED spread. There is evidence for the piggyback effect by S&P whose credit rating changes are driven by Fitch Ratings and Moody’s decisions. Among macroeconomic fundamentals only exchange rate dynamics and foreign reserves appear significant. The importance of the fundamentals further decreases when Granger (no) causality tests are conducted. The findings reveal a limited role of domestic macroeconomic policy in curbing Russian sovereign credit risk.

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://hdl.handle.net/10.1080/14631377.2016.1237045 (text/html)
Access to full text is restricted to subscribers.

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:taf:pocoec:v:29:y:2017:i:1:p:51-70

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/CPCE20

DOI: 10.1080/14631377.2016.1237045

Access Statistics for this article

Post-Communist Economies is currently edited by Roger Clarke

More articles in Post-Communist Economies from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().