Análisis de las calificaciones de riesgos soberano. El caso uruguayo

Fernando Borraz, Alejandro Fried and Diego Gianelli
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Alejandro Fried: Banco Central del Uruguay
Diego Gianelli: Banco Central del Uruguay

No 2011003, Documentos de trabajo from Banco Central del Uruguay

Abstract: We analyze sovereign credit ratings trough a logit model for 53 countries between 2000 and 2010. Because the literature does not discuss the inclusion of non stationary exploratory variables we incorporate an interaction of the GDP with a trend factor to balance the rating equations. We find that the sovereign credit ratings can be explained by a set of macroeconomics and institutional variables and that Uruguay predicted rating is the Investment Grade. However, the high level of dollarization is related to the other fundamentals and it implies ratings with high cycliclal volatility.

Keywords: sovereign debt; sovereign credit ratings; investment grade; credit ratings agencies; deuda soberana; calificaciones; agencias de calificación; grado inversor (search for similar items in EconPapers)
JEL-codes: E44 F37 G15 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2011-08
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https://www.bcu.gub.uy/Estadisticas-e-Indicadores/ ... 20Trabajo/3.2011.pdf First version, 2011 (application/pdf)

Related works:
Working Paper: Análisis de las calificaciones de riesgo soberano: el caso uruguayo (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:bku:doctra:2011003

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