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Provincial Credit Rating in Canada: An Ordered Probit Analysis

Author

Listed:
  • Cheung, S.

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

  • Cheung, S., 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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    File URL: http://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-6.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. Becker, William E. & Kennedy, Peter E., 1992. "A Graphical Exposition of the Ordered Probit," Econometric Theory, Cambridge University Press, vol. 8(01), pages 127-131, March.
    3. repec:cup:etheor:v:8:y:1992:i:1:p:127-31 is not listed on IDEAS
    4. Bayoumi, Tamim & Goldstein, Morris & Woglom, Geoffrey, 1995. "Do Credit Markets Discipline Sovereign Borrowers? Evidence from US States," CEPR Discussion Papers 1088, C.E.P.R. Discussion Papers.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. 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.
    2. Stefano Schiavo, 2005. "Euro bonds: in search of financial spillovers," Sciences Po publications 2, Sciences Po.
    3. Alejandro Pena, 2000. "La calificación del riesgo soberano Análisis de sus determinantes," Documentos de trabajo 2000005, Banco Central del Uruguay.
    4. 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.
    5. repec:gei:jnlfer:v:2:y:2017:i:1:p:56-83 is not listed on IDEAS
    6. 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), pages 507-549.
    7. Joan Jasiak & D. Feng & C. Gourieroux, 2006. "The Ordered Qualitative Model For Credit Rating Transitions," Working Papers 2006_2, York University, Department of Economics.
    8. Jonathan Millar, 1997. "The Effects of Budget Rules on Fiscal Performance and Macroeconomic Stabilization," Staff Working Papers 97-15, Bank of Canada.
    9. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2000. "Stability of rating transitions," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 203-227, January.
    10. Andrés Leal Marcos & Julio López Laborda, 2009. "Efectos externos del endeudamiento sobre la calificación crediticia de las Comunidades Autónomas," Hacienda Pública Española, IEF, pages 81-106.
    11. 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, pages 1313-1329.
    12. Feng, D. & Gourieroux, C. & Jasiak, J., 2008. "The ordered qualitative model for credit rating transitions," Journal of Empirical Finance, Elsevier, pages 111-130.

    More about this item

    Keywords

    FINANCIAL INSTITUTIONS; CREDIT; ECONOMIC MODELS;

    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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