Ordered response models for sovereign debt ratings
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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Volume (Year): 16 (2009)
Issue (Month): 8 ()
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References listed on IDEAS
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- 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.
- Bissoondoyal-Bheenick, Emawtee, 2005. "An analysis of the determinants of sovereign ratings," Global Finance Journal, Elsevier, vol. 15(3), pages 251-280, February.
- Guillaume R. Frechette, 2001. "Random-effects ordered probit," Stata Technical Bulletin, StataCorp LP, vol. 10(59).
- Vassilis A. Hajivassiliou & Yannis M. Ioannides, 1999.
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- V A Hajivassiliou & Y Ioannides, 1995. "Unemployment and Liquidity Constraints," CEP Discussion Papers dp0243, Centre for Economic Performance, LSE.
- Vassilis A. Hajivassiliou & Yannis M. Ioannides, 1995. "Unemployment and Liquidity Constraints," Cowles Foundation Discussion Papers 1090, Cowles Foundation for Research in Economics, Yale University.
- Sophia Rabe-Hesketh & Andrew Pickles & Colin Taylor, 2000. "Generalized linear latent and mixed models," Stata Technical Bulletin, StataCorp LP, vol. 9(53).
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