Reducing Overreliance on Sovereign Credit Ratings: Which Model Serves Better?
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Mr. Rabah Arezki & Bertrand Candelon & Mr. Amadou N Sy, 2011.
"Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis,"
IMF Working Papers
2011/068, International Monetary Fund.
- Rabah Arezki & Bertrand Candelon & Amadou Sy, 2011. "Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis," CESifo Working Paper Series 3411, CESifo.
- Antonio Afonso & Pedro Gomes & Philipp Rother, 2009.
"Ordered response models for sovereign debt ratings,"
Applied Economics Letters, Taylor & Francis Journals, vol. 16(8), pages 769-773.
- António Afonso & Pedro Gomes & Philipp Rother, 2006. "Ordered Response Models for Sovereign Debt Ratings," Working Papers Department of Economics 2006/34, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- Bissoondoyal-Bheenick, Emawtee & Brooks, Robert & Yip, Angela Y.N., 2006.
"Determinants of sovereign ratings: A comparison of case-based reasoning and ordered probit approaches,"
Global Finance Journal, Elsevier, vol. 17(1), pages 136-154, September.
- Emawtee Bissoondoyal-Bheenick & Robert Brooks & Angela Y.N.Yip, 2005. "Determinants of Sovereign Ratings: A Comparison of Case-Based Reasoning and Ordered Probit Approaches," Monash Econometrics and Business Statistics Working Papers 9/05, Monash University, Department of Econometrics and Business Statistics.
- Jean-Claude Cosset & Jean Roy, 1991. "The Determinants of Country Risk Ratings," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 22(1), pages 135-142, March.
- Joshua Aizenman & Mahir Binici & Michael Hutchison, 2013.
"Credit ratings and the pricing of sovereign debt during the euro crisis,"
Oxford Review of Economic Policy, Oxford University Press, vol. 29(3), pages 582-609, AUTUMN.
- Joshua Aizenman & Mahir Binici & Michael Mercier Hutchison, 2013. "Credit Ratings and the Pricing of Sovereign Debt during the Euro Crisis," EY International Congress on Economics I (EYC2013), October 24-25, 2013, Ankara, Turkey 5, Ekonomik Yaklasim Association.
- Joshua Aizenman & Mahir Binici & Michael M. Hutchison, 2013. "Credit Ratings and the Pricing of Sovereign Debt during the Euro Crisis," NBER Working Papers 19125, National Bureau of Economic Research, Inc.
- Shiyi Chen & W. K. Hardle & R. A. Moro, 2011. "Modeling default risk with support vector machines," Quantitative Finance, Taylor & Francis Journals, vol. 11(1), pages 135-154.
- Aertsen, Wim & Kint, Vincent & van Orshoven, Jos & Özkan, Kürşad & Muys, Bart, 2010. "Comparison and ranking of different modelling techniques for prediction of site index in Mediterranean mountain forests," Ecological Modelling, Elsevier, vol. 221(8), pages 1119-1130.
- Lee, Suk Hun, 1993. "Are the credit ratings assigned by bankers based on the willingness of LDC borrowers to repay?," Journal of Development Economics, Elsevier, vol. 40(2), pages 349-359, April.
- Brewer, Thomas L & Rivoli, Pietra, 1990. "Politics and Perceived Country Creditworthiness in International Banking," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 22(3), pages 357-369, August.
- Antonio Afonso, 2003. "Understanding the determinants of sovereign debt ratings: Evidence for the two leading agencies," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(1), pages 56-74, March.
- Ismailescu, Iuliana & Kazemi, Hossein, 2010. "The reaction of emerging market credit default swap spreads to sovereign credit rating changes," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2861-2873, December.
- Erdem, Orhan & Varli, Yusuf, 2014. "Understanding the sovereign credit ratings of emerging markets," Emerging Markets Review, Elsevier, vol. 20(C), pages 42-57.
- 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.
- Richard Cantor & Frank Packer, 1996. "Determinants and impacts of sovereign credit ratings," Research Paper 9608, Federal Reserve Bank of New York.
- Frank, Charles Jr. & Cline, William R., 1971. "Measurement of debt servicing capacity: An application of discriminant analysis," Journal of International Economics, Elsevier, vol. 1(3), pages 327-344, August.
- Wang, Qing, 2007. "Artificial neural networks as cost engineering methods in a collaborative manufacturing environment," International Journal of Production Economics, Elsevier, vol. 109(1-2), pages 53-64, September.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Aykut Ekinci & Halil İbrahim Erdal, 2017. "Forecasting Bank Failure: Base Learners, Ensembles and Hybrid Ensembles," Computational Economics, Springer;Society for Computational Economics, vol. 49(4), pages 677-686, April.
- Bart H. L. Overes & Michel van der Wel, 2021. "Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques," Papers 2101.12684, arXiv.org, revised Jul 2021.
- Duygun, Meryem & Ozturk, Huseyin & Shaban, Mohamed, 2016. "The role of sovereign credit ratings in fiscal discipline," Emerging Markets Review, Elsevier, vol. 27(C), pages 197-216.
- Chen, Jian & Katchova, Ani L. & Zhou, Chenxi, 2021.
"Agricultural loan delinquency prediction using machine learning methods,"
International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 24(5), May.
- Chen, Jian & Katchova, Ani, 2019. "Agricultural Loan Delinquency Prediction Using Machine Learning Methods," 2019 Annual Meeting, July 21-23, Atlanta, Georgia 290745, Agricultural and Applied Economics Association.
- Guneren Genc, Elif & Deniz Basar, Ozlem, 2019. "Comparison of Country Ratings of Credit Rating Agencies with MOORA Method," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 10(2), pages 391-404, April.
Most related itemsThese are the items that most often cite the same works as this one and are cited by the same works as this one.
- Ozturk, Huseyin & Namli, Ersin & Erdal, Halil Ibrahim, 2016. "Modelling sovereign credit ratings: The accuracy of models in a heterogeneous sample," Economic Modelling, Elsevier, vol. 54(C), pages 469-478.
- De Moor, Lieven & Luitel, Prabesh & Sercu, Piet & Vanpée, Rosanne, 2018. "Subjectivity in sovereign credit ratings," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 366-392.
- Bernal, Oscar & Girard, Alexandre & Gnabo, Jean-Yves, 2016. "The importance of conflicts of interest in attributing sovereign credit ratings," International Review of Law and Economics, Elsevier, vol. 47(C), pages 48-66.
- El-Shagi, Makram & von Schweinitz, Gregor, 2017. "Why they keep missing: An empirical investigation of rational inattention of rating agencies," IWH Discussion Papers 1/2017, Halle Institute for Economic Research (IWH).
- Teixeira, João C.A. & Silva, Francisco J.F. & Ferreira, Manuel B.S. & Vieira, José A.C., 2018. "Sovereign credit rating determinants under financial crises," Global Finance Journal, Elsevier, vol. 36(C), pages 1-13.
- 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).
- Makram El‐Shagi & Gregor von Schweinitz, 2022. "Why they keep missing: An empirical investigation of sovereign bond ratings and their timing," Scottish Journal of Political Economy, Scottish Economic Society, vol. 69(2), pages 186-224, May.
- Zoran Ivanovic & Sinisa Bogdan & Suzana Baresa, 2015. "Modeling and Estimating Shadow Sovereign Ratings," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 9(3), September.
- Binici, Mahir & Hutchison, Michael & Miao, Evan Weicheng, 2020. "Market price effects of agency sovereign debt announcements: Importance of prior credit states," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 769-787.
- Dilek Teker & Aynur Pala & Oya Kent, 2013. "Determination of Sovereign Rating: Factor Based Ordered Probit Models for Panel Data Analysis Modelling Framework," International Journal of Economics and Financial Issues, Econjournals, vol. 3(1), pages 122-132.
- Unver, Mustafa & Dogru, Bulent, 2015. "The Determinants of Economic Fragility: Case of the Fragile Five Countries," MPRA Paper 68734, University Library of Munich, Germany, revised 2015.
- Yalta, A. Talha & Yalta, A. Yasemin, 2018. "Are credit rating agencies regionally biased?," Economic Systems, Elsevier, vol. 42(4), pages 682-694.
- Aras, Osman Nuri & Öztürk, Mustafa, 2018. "The Effect of the Macroeconomic Determinants on Sovereign Credit Rating of Turkey," MPRA Paper 86642, University Library of Munich, Germany.
- 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.
- A. Talha Yalta & Yasemin Yalta, 2018. "Are the Credit Rating Agencies Biased Against MENA Countries?," Working Papers 1274, Economic Research Forum, revised 19 Dec 2018.
- Gabriel Caldas Montes & Diego Silveira Pacheco Oliveira, 2019. "Central bank transparency and sovereign risk ratings: a panel data approach," International Economics and Economic Policy, Springer, vol. 16(2), pages 417-433, April.
- Robert V. Breunig & Tse Chern Chia, 2015. "Sovereign Ratings and Oil-Exporting Countries: The Effect of High Oil Prices on Ratings," International Review of Finance, International Review of Finance Ltd., vol. 15(1), pages 113-138, March.
- Bales, Kyle & Malikane, Christopher, 2020. "The effect of credit ratings on emerging market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
- Rosati, Nicoletta & Bellia, Mario & Matos, Pedro Verga & Oliveira, Vasco, 2020.
"Ratings matter: Announcements in times of crisis and the dynamics of stock markets,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
- Rosati, Nicoletta & Bellia, Mario & Matos, Pedro Verga & Oliviera, Vasco, 2019. "Ratings matter: announcements in times of crisis and the dynamics of stock markets," Working Papers 2019-08, Joint Research Centre, European Commission.
- Afonso, António & Furceri, Davide & Gomes, Pedro, 2012.
"Sovereign credit ratings and financial markets linkages: Application to European data,"
Journal of International Money and Finance, Elsevier, vol. 31(3), pages 606-638.
- António Afonso & Davide Furceri & Pedro Gomes, 2011. "Sovereign credit ratings and financial markets linkages: application to European data," Working Papers Department of Economics 2011/14, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- Afonso, António & Gomes, Pedro & Furceri, Davide, 2011. "Sovereign credit ratings and financial markets linkages: application to European data," Working Paper Series 1347, European Central Bank.
More about this item
KeywordsClassification and regression trees (CART); Multilayer perceptron (MP); Support vector machines (SVM); Bayes net; and naïve Bayes; Sovereign credit ratings;
All these keywords.
StatisticsAccess and download statistics
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:kap:compec:v:48:y:2016:i:1:d:10.1007_s10614-015-9534-3. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: http://www.springer.com .
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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.