Structural factors, global shocks and sovereign debt cbkp_redit ratings

Abstract:

We analyse the role of fundamentals that reflect the sovereigns’ solvency (structural factors) and global shocks as determinants of sovereign debt cbkp_redit ratings. By means of random effects ordered probit estimations, we show that structural features have short- and long-run effects that are robust to alternative specifications. The low variation of the structural variables and the world’s economic cycle captured by global shocks are key to obtain a higher proportion of correctly pbkp_redicted downgrades and fewer mismatches between the estimated rating scale and the data. This also reduces the wrongly pbkp_redicted upgrades to Investment Grade Status.

Año de publicación:

2019

Keywords:

• Pbkp_rediction error
• Panel data models
• Rating agencies
• Global shocks
• Sovereign debt
• Ordered probit

Fuente:

scopus