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Ordered response models for sovereign debt ratings

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  • Antonio Afonso
  • Pedro Gomes
  • Philipp Rother

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.

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Bibliographic Info

Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 16 (2009)
Issue (Month): 8 ()
Pages: 769-773

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Handle: RePEc:taf:apeclt:v:16:y:2009:i:8:p:769-773

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  1. Sophia Rabe-Hesketh & Andrew Pickles & Colin Taylor, 2000. "Generalized linear latent and mixed models," Stata Technical Bulletin, StataCorp LP, vol. 9(53).
  2. Vassilis A. Hajivassiliou & Yannis M. Ioannides, 1999. "Unemployment and Liquidity Constraints," Discussion Papers Series, Department of Economics, Tufts University 9925, Department of Economics, Tufts University.
  3. Hu, Yen-Ting & Kiesel, Rudiger & Perraudin, William, 2002. "The estimation of transition matrices for sovereign credit ratings," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1383-1406, July.
  4. Bissoondoyal-Bheenick, Emawtee, 2005. "An analysis of the determinants of sovereign ratings," Global Finance Journal, Elsevier, vol. 15(3), pages 251-280, February.
  5. Guillaume R. Frechette, 2001. "Random-effects ordered probit," Stata Technical Bulletin, StataCorp LP, vol. 10(59).
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Cited by:
  1. Peter Claeys & Borek Vašícek, 2012. "“Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News”," AQR Working Papers 201209, University of Barcelona, Regional Quantitative Analysis Group, revised Nov 2012.
  2. António Afonso & Davide Furceri & Pedro Gomes, 2011. "Sovereign credit ratings and financial markets linkages: application to European data," Working Papers 2011/14, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon..
  3. Gärtner, Manfred & Griesbach, Bjoern & Jung, Florian, 2011. "PIGS or Lambs? The European Sovereign Debt Crisis and the Role of Rating Agencies," Economics Working Paper Series 1106, University of St. Gallen, School of Economics and Political Science.
  4. Alsakka, Rasha & ap Gwilym, Owain, 2010. "A random effects ordered probit model for rating migrations," Finance Research Letters, Elsevier, vol. 7(3), pages 140-147, September.
  5. António Afonso & Christophe Rault, 2010. "Short and Long-run Behaviour of Long-term Sovereign Bond Yields," Working Papers 2010/19, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon..
  6. Andrés Leal Marcos & Julio López Laborda, 2009. "Efectos externos del endeudamiento sobre la calificación crediticia de las Comunidades Autónomas," Hacienda Pública Española, IEF, vol. 189(2), pages 81-106, June.

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