A Note on Causality between Debt and Sovereign Credit Ratings using Panel Tests
This paper uses linear and nonlinear panel causality tests to empirically explore the direction of causality between external debt stocks and credit ratings for a group of developing countries over the period 1998 to 2008. The results indicate that for the vast majority of the countries in the panel, a bi-directional causal relationship between external debt and sovereign ratings is evident.
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- António Afonso & Pedro Gomes & Philipp Rother, 2006.
"What “Hides” Behind Sovereign Debt Ratings?,"
Working Papers Department of Economics
2006/35, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
- Venet, Baptiste & Hurlin, Christophe, 2001. "Granger Causality Tests in Panel Data Models with Fixed Coefficients," Economics Papers from University Paris Dauphine 123456789/6159, Paris Dauphine University.
- David I. Harvey & Stephen J. Leybourne, 2007. "Testing for time series linearity," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 149-165, 03.
- Christophe Hurlin & Elena Dumitrescu, 2012.
"Testing for Granger Non-causality in Heterogeneous Panels,"
- Dumitrescu, Elena-Ivona & Hurlin, Christophe, 2012. "Testing for Granger non-causality in heterogeneous panels," Economic Modelling, Elsevier, vol. 29(4), pages 1450-1460.
- 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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