A Note on Causality between Debt and Sovereign Credit Ratings using Panel Tests
AbstractThis 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 40931.
Date of creation: 2011
Date of revision:
External public debt; sovereign ratings; panel data causality;
Find related papers by JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
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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- Bissoondoyal-Bheenick, Emawtee, 2005. "An analysis of the determinants of sovereign ratings," Global Finance Journal, Elsevier, vol. 15(3), pages 251-280, February.
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