IDEAS home Printed from https://ideas.repec.org/a/fip/fednep/y1996ioctp37-53nv.2no.2.html
   My bibliography  Save this article

Determinants and impact of sovereign credit ratings

Author

Listed:
  • Richard Cantor
  • Frank Packer

Abstract

The authors conduct the first systematic analysis of the determinants and impact of the sovereign credit ratings assigned by the two leading U.S. agencies, Moody's Investor Services and Standard and Poor's. Of the large number of criteria used by the two agencies, six factors appear to play an important role in determining a country's credit rating: per capita income, GDP growth, inflation, external debt, level of economic development, and default history. In addition, the authors find that sovereign ratings influence market yields--particularly those on non-investment-grade issues--independently of any correlation with publicly available information.

Suggested Citation

  • Richard Cantor & Frank Packer, 1996. "Determinants and impact of sovereign credit ratings," Economic Policy Review, Federal Reserve Bank of New York, vol. 2(Oct), pages 37-53.
  • Handle: RePEc:fip:fednep:y:1996:i:oct:p:37-53:n:v.2no.2
    as

    Download full text from publisher

    File URL: https://www.newyorkfed.org/medialibrary/media/research/epr/96v02n2/9610cant.pdf
    Download Restriction: no

    File URL: https://www.newyorkfed.org/medialibrary/media/research/epr/96v02n2/9610cant.html
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    Keywords

    Credit; Debts; External;
    All these keywords.

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fednep:y:1996:i:oct:p:37-53:n:v.2no.2. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Gabriella Bucciarelli (email available below). General contact details of provider: https://edirc.repec.org/data/frbnyus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.