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Provincial Credit Rating in Canada: An Ordered Probit Analysis

Author

Listed:
  • Stella Cheung

Abstract

The author estimates the relationship between the provincial credit ratimgs, as assessed by Standard & Poor' and a number of economic variables, using the ordered probit methodology.

Suggested Citation

  • Stella Cheung, 1996. "Provincial Credit Rating in Canada: An Ordered Probit Analysis," Staff Working Papers 96-6, Bank of Canada.
    • Handle: RePEc:bca:bocawp:96-6
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    References listed on IDEAS

    as
    1. Richard Cantor & Frank Packer, 1994. "The credit rating industry," Quarterly Review, Federal Reserve Bank of New York, vol. 19(Sum), pages 1-26.
    2. J. A. Nelder & Y. Lee, 1991. "Generalized linear models for the analysis of taguchi‐type experiments," Applied Stochastic Models and Data Analysis, John Wiley & Sons, vol. 7(1), pages 107-120, March.
    3. Bayoumi, Tamim & Goldstein, Morris & Woglom, Geoffrey, 1995. "Do Credit Markets Discipline Sovereign Borrowers? Evidence from the U.S. States," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(4), pages 1046-1059, November.
    4. Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, A. Craig, 1992. "An ordered probit analysis of transaction stock prices," Journal of Financial Economics, Elsevier, vol. 31(3), pages 319-379, June.
    5. repec:cup:etheor:v:8:y:1992:i:1:p:127-31 is not listed on IDEAS
    6. Becker, William E. & Kennedy, Peter E., 1992. "A Graphical Exposition of the Ordered Probit," Econometric Theory, Cambridge University Press, vol. 8(1), pages 127-131, March.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Alejandro Pena, 2000. "La calificación del riesgo soberano Análisis de sus determinantes," Documentos de trabajo 2000005, Banco Central del Uruguay.
    2. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2000. "Stability of rating transitions," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 203-227, January.
    3. Jo-Hui Chen & Chih-Sean Chen, 2011. "The effects of international off-site surveillance on bank rating changes," Quality & Quantity: International Journal of Methodology, Springer, vol. 45(6), pages 1313-1329, October.
    4. Stefano Schiavo, 2005. "Euro bonds: in search of financial spillovers," Sciences Po publications 2, Sciences Po.
    5. Nicolas Jannone Bellot, MaLuisa Marti Selva, Leandro Garcia Menendez, 2017. "Herding Behaviour among Credit Rating Agencies," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 2(1), pages 56-83, March.
    6. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, January.
    7. repec:hal:spmain:info:hdl:2441/7162 is not listed on IDEAS
    8. Eleimon Gonis & Peter Taylor, 2009. "Changing credit rating standards in the UK: empirical evidence from 1999 to 2004," Applied Financial Economics, Taylor & Francis Journals, vol. 19(3), pages 213-225.
    9. repec:hal:wpspec:info:hdl:2441/7162 is not listed on IDEAS
    10. Feng, D. & Gourieroux, C. & Jasiak, J., 2008. "The ordered qualitative model for credit rating transitions," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 111-130, January.
    11. repec:spo:wpecon:info:hdl:2441/7162 is not listed on IDEAS
    12. William H. Greene & David A. Hensher, 2008. "Modeling Ordered Choices: A Primer and Recent Developments," Working Papers 08-26, New York University, Leonard N. Stern School of Business, Department of Economics.
    13. Hans-Rimbert Hemmer & Andreas Lorenz, 2003. "What determines the success or failure of german bilateral financial aid?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 139(3), pages 507-549, September.
    14. Andrés Leal Marcos & Julio López Laborda, 2009. "Efectos externos del endeudamiento sobre la calificación crediticia de las Comunidades Autónomas," Hacienda Pública Española / Review of Public Economics, IEF, vol. 189(2), pages 81-106, June.
    15. William Greene, 2014. "Models for ordered choices," Chapters, in: Stephane Hess & Andrew Daly (ed.), Handbook of Choice Modelling, chapter 15, pages 333-362, Edward Elgar Publishing.
    16. Grinis, Inna, 2015. "Credit risk spillovers, systemic importance and vulnerability in financial networks," LSE Research Online Documents on Economics 60954, London School of Economics and Political Science, LSE Library.
    17. Jonathan Millar, 1997. "The Effects of Budget Rules on Fiscal Performance and Macroeconomic Stabilization," Staff Working Papers 97-15, Bank of Canada.
    18. González, M. & Minguez, R., 2005. "The Method Of Simulated Maximum Likelihood For The Estimaton Of Dynamic Ordered Probit: An Application To Country-Risk For Non-Developed Countries," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(3), pages 99-133.
    19. Hang Luo & Linfeng Chen, 2019. "Bond yield and credit rating: evidence of Chinese local government financing vehicles," Review of Quantitative Finance and Accounting, Springer, vol. 52(3), pages 737-758, April.

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    More about this item

    Keywords

    FINANCIAL INSTITUTIONS; CREDIT; ECONOMIC MODELS;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models

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