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A Panel Ordered Response Model for Sovereign Credit Ratings in Africa

Author

Listed:
  • Marinda Pretorius
  • Ilsé Botha

    (University of Johannesburg)

Abstract

Sovereign credit ratings measure a country’s ability to meet its financial obligations. It is imperative to consider the specific determinants of ratings as they influence the decisions of investors and other role players. The main focus of this research is to investigate whether the determinants identified in literature are significant for African sovereigns as well. The determinants of sovereign credit ratings will be identified by making use of panel and ordered response models. Data of 27 African countries are included over a period of five years. Some differences occur between findings from literature which mainly focuses on developed and developing countries, and the findings of this study, focusing on Africa.

Suggested Citation

  • Marinda Pretorius & Ilsé Botha, 2016. "A Panel Ordered Response Model for Sovereign Credit Ratings in Africa," The African Finance Journal, Africagrowth Institute, vol. 18(1), pages 20-33.
    • Handle: RePEc:afj:journl:v:18:y:2016:i:1:p:20-33
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    Cited by:

    1. Oliver Takawira & John W. Muteba Mwamba, 2022. "Sovereign Credit Ratings Analysis Using the Logistic Regression Model," Risks, MDPI, vol. 10(4), pages 1-24, March.
    2. Athari, Seyed Alireza & Kondoz, Mehmet & Kirikkaleli, Dervis, 2021. "Dependency between sovereign credit ratings and economic risk: Insight from Balkan countries," Journal of Economics and Business, Elsevier, vol. 116(C).
    3. Arogundade, Sodiq & Biyase, Mduduzi & Eita, Joel Hinaunye, 2022. "Do Sovereign Credit Ratings Matter for Foreign Direct Investment: Evidence from Sub-Sahara African Countries," MPRA Paper 115404, University Library of Munich, Germany.
    4. Šergo Zdravko & Gržinić Jasmina, 2018. "Does the International Tourism Industry Relax Sovereign Credit Ratings: The Case of Countries Most Reliant on Tourism," South East European Journal of Economics and Business, Sciendo, vol. 13(2), pages 100-111, December.
    5. Antonio Afonso & Joao Tovar Jalles, 2019. "Sovereign Ratings and Finance Ministers' Characteristics," Economics Bulletin, AccessEcon, vol. 39(4), pages 2999-3010.
    6. Oliver Takawira & John W. Muteba Mwamba, 2020. "Determinants of Sovereign Credit Ratings: An Application of the Naïve Bayes Classifier," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 8(4), pages 279-299.

    More about this item

    Keywords

    Sovereign credit ratings; panel data; ordered response model; rating agencies;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers

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