Ordered Response Models for Sovereign Debt Ratings

Antonio Afonso, Pedro Gomes and Philipp Rother

No 2006/34, Working Papers Department of Economics from ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa

Abstract: Using ordered logit and probit plus random effects ordered probit approaches, we study the determinants of sovereign debt ratings. We found that the last procedure is the best for panel data as it takes into account the additional cross-section error.

Keywords: ordered probit; ordered logit; random effects ordered probit; sovereign rating. (search for similar items in EconPapers)
JEL-codes: C25 E44 F30 G15 (search for similar items in EconPapers)
Date: 2006
New Economics Papers: this item is included in nep-dcm and nep-mac
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Citations: View citations in EconPapers (21)

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Related works:
Journal Article: Ordered response models for sovereign debt ratings (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ise:isegwp:wp342006

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More papers in Working Papers Department of Economics from ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa Department of Economics, ISEG - Lisbon School of Economics and Management, Universidade de Lisboa, Rua do Quelhas 6, 1200-781 LISBON, PORTUGAL.
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