A Note on Causality between Debt and Sovereign Credit Ratings using Panel Tests

Kevin Greenidge, Lisa Drakes and Roland Craigwell

MPRA Paper from University Library of Munich, Germany

Abstract: This paper uses linear and nonlinear panel causality tests to empirically explore the direction of causality between external debt stocks and credit ratings for a group of developing countries over the period 1998 to 2008. The results indicate that for the vast majority of the countries in the panel, a bi-directional causal relationship between external debt and sovereign ratings is evident.

Keywords: External public debt; sovereign ratings; panel data causality (search for similar items in EconPapers)
JEL-codes: C23 H63 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:40931

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