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Revisiting the determinants of sovereign debt ratings in Europe through artificial intelligence techniques

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  • Carlos Galnares
  • Alfonso Carlos Martínez-Estudillo
  • Mariano Carbonero-Ruz
  • Pilar Campoy-Muñoz

Abstract

In papers using artificial intelligence (AI) techniques, little attention has been paid to the determinants of sovereign debt ratings. We propose a reduced set of variables regarding the economic performance of a country that are consistent with the idea of debt sustainability. The robustness of this set is supported by the results obtained with different well-known AI techniques using data from EU-15 countries during the 2002–2017 period as the experimental setting. The variables are publicly available, allowing a quick and reliable assessment of the creditworthiness of a sovereign and providing useful information for decision-makers and investors.

Suggested Citation

  • Carlos Galnares & Alfonso Carlos Martínez-Estudillo & Mariano Carbonero-Ruz & Pilar Campoy-Muñoz, 2023. "Revisiting the determinants of sovereign debt ratings in Europe through artificial intelligence techniques," Applied Economics Letters, Taylor & Francis Journals, vol. 30(17), pages 2360-2363, October.
    • Handle: RePEc:taf:apeclt:v:30:y:2023:i:17:p:2360-2363
    DOI: 10.1080/13504851.2022.2097171
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