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.
|Date of creation:||2006|
|Contact details of provider:|| Postal: Department of Economics, ISEG - School of Economics and Management, University of Lisbon, Rua do Quelhas 6, 1200-781 LISBON, PORTUGAL|
Web page: https://aquila1.iseg.ulisboa.pt/aquila/departamentos/EC
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- Vassilis A. Hajivassiliou & Yannis M. Ioannides, 1999.
"Unemployment and Liquidity Constraints,"
Discussion Papers Series, Department of Economics, Tufts University
9925, Department of Economics, Tufts University.
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- Vassilis A. Hajivassiliou & Yannis M. Ioannides, 1993. "Unemployment and Liquidity Constraints," Working Papers _019, Yale University.
- Guillaume R. Frechette, 2001. "Random-effects ordered probit," Stata Technical Bulletin, StataCorp LP, vol. 10(59).
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- Bissoondoyal-Bheenick, Emawtee, 2005. "An analysis of the determinants of sovereign ratings," Global Finance Journal, Elsevier, vol. 15(3), pages 251-280, February.
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