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Determinants of Spread and Credit Ratings and Creditworthiness for Emerging Market Sovereign Debt: A Follow-Up Study Using Pooled Data Analysis

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  • Peter Rowland

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Abstract

The study presented here is a follow-up study to Rowland and Torres (2004),who used a panel data framework together with data from 16 emerging market issuers to identify the determinants of the spread and the creditworthiness. Since many new issuers of emerging market sovereign debt have emerged recently, we can by using data from one single point in time, end of july 2003, expand our country set to 29 for the analysis of the spread and around 50 for the analysis of the credit ratings and the creditworthiness. We will used an OLS regression framework for the empirical analysis. The study identifies some seven variables that play a role in determining ratings, creditworthiness and spreads. These include the GDP per capita, the economic growth rate, the inflation rate, external-debt ratios, debt-service ratios, the level of international reserves, and the openness of the economy. Emerging market policy makers and investors should pay extra attention to these variables when defining economic policies and evaluating bond issues.

Suggested Citation

  • Peter Rowland, 2004. "Determinants of Spread and Credit Ratings and Creditworthiness for Emerging Market Sovereign Debt: A Follow-Up Study Using Pooled Data Analysis," Borradores de Economia 296, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:borrec:296
    DOI: 10.32468/be.296
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    File URL: https://doi.org/10.32468/be.296
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    3. Peter Rowland & José Luis Torres, 2004. "Determinants of Spread and Creditworthiness for Emerging Market Sovereign Debt:A Panel Data Study," Borradores de Economia 295, Banco de la Republica de Colombia.
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    Cited by:

    1. Oluyomi A. Osobajo & Adeola E. Akintunde, 2019. "Determinants of Sovereign Credit Ratings in Emerging Markets," International Business Research, Canadian Center of Science and Education, vol. 12(5), pages 142-166, May.
    2. Abdulkerim Karaaslan & Kürşat Özgür Özden, 2017. "Forecasting Turkey’s Credit Ratings with Multivariate Grey Model and Grey Relational Analysis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(3), pages 583-610, September.
    3. Sabkha, Saker & de Peretti, Christian & Hmaied, Dorra, 2019. "Nonlinearities in the oil effects on the sovereign credit risk: A self-exciting threshold autoregression approach," Research in International Business and Finance, Elsevier, vol. 50(C), pages 106-133.
    4. Yalta, A. Talha & Yalta, A. Yasemin, 2018. "Are credit rating agencies regionally biased?," Economic Systems, Elsevier, vol. 42(4), pages 682-694.

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