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Provincial Credit Rating in Canada: An Ordered Probit Analysis

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  • Cheung, S.
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    Abstract

    The author estimates the relationship between the provincial credit ratimgs, as assessed by Standard & Poor' and a number of economic variables, using the ordered probit methodology.

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    File URL: http://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-6.pdf
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    Bibliographic Info

    Paper provided by Bank of Canada in its series Working Papers with number 96-6.

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    Length: 38 pages
    Date of creation: 1996
    Date of revision:
    Handle: RePEc:bca:bocawp:96-6

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    Postal: 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada
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    Fax: 613 782-8874
    Web page: http://www.bank-banque-canada.ca/

    Related research

    Keywords: FINANCIAL INSTITUTIONS; CREDIT; ECONOMIC MODELS;

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Bayoumi, Tamim & Goldstein, Morris & Woglom, Geoffrey, 1995. "Do Credit Markets Discipline Sovereign Borrowers? Evidence from US States," CEPR Discussion Papers 1088, C.E.P.R. Discussion Papers.
    2. repec:cup:etheor:v:8:y:1992:i:1:p:127-31 is not listed on IDEAS
    3. Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, A. Craig, 1992. "An ordered probit analysis of transaction stock prices," Journal of Financial Economics, Elsevier, vol. 31(3), pages 319-379, June.
    4. Becker, William E. & Kennedy, Peter E., 1992. "A Graphical Exposition of the Ordered Probit," Econometric Theory, Cambridge University Press, vol. 8(01), pages 127-131, March.
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    Citations

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    Cited by:
    1. Jonathan Millar, 1997. "The Effects of Budget Rules on Fiscal Performance and Macroeconomic Stabilization," Working Papers 97-15, Bank of Canada.
    2. Joan Jasiak & D. Feng & C. Gourieroux, 2006. "The Ordered Qualitative Model For Credit Rating Transitions," Working Papers 2006_2, York University, Department of Economics.
    3. González, M. & Minguez, R., 2005. "The Method Of Simulated Maximum Likelihood For The Estimaton Of Dynamic Ordered Probit: An Application To Country-Risk For Non-Developed Countries," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(3), pages 99-133.
    4. Stefano Schiavo, 2005. "Euro bonds: in search of financial spillovers," Department of Economics Working Papers 0502, Department of Economics, University of Trento, Italia.
    5. 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.
    6. Pamela Nickell & William Perraudin & Simone Varotto, 2001. "Stability of ratings transitions," Bank of England working papers 133, Bank of England.
    7. Hans-Rimbert Hemmer & Andreas Lorenz, 2003. "What determines the success or failure of german bilateral financial aid?," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 139(3), pages 507-549, September.
    8. Jo-Hui Chen & Chih-Sean Chen, 2011. "The effects of international off-site surveillance on bank rating changes," Quality & Quantity: International Journal of Methodology, Springer, vol. 45(6), pages 1313-1329, October.

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