Sovereign credit rating determinants: A comparison before and after the European debt crisis

Reusens, Peter; Croux, Christophe

doi:10.1016/j.jbankfin.2017.01.006

Cited by 80 publications

(96 citation statements)

References 28 publications

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“…Ordinal credit ratings can be seen as a coarser version of an underlying continuous latent process, which is related to the ability of the firm to meet its financial obligations. In the literature, this latent variable motivation has been used in various credit rating models (e.g., Blume, Lim, and Mackinlay 1998;Afonso, Gomes, and Rother 2009;Alp 2013;Reusens and Croux 2017).…”

Section: Introductionmentioning

confidence: 99%

mvord: An R Package for Fitting Multivariate Ordinal Regression Models

Hirk¹,

Hornik²,

Vana³

2020

J. Stat. Soft.

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The R package mvord implements composite likelihood estimation in the class of multivariate ordinal regression models with a multivariate probit and a multivariate logit link. A flexible modeling framework for multiple ordinal measurements on the same subject is set up, which takes into consideration the dependence among the multiple observations by employing different error structures. Heterogeneity in the error structure across the subjects can be accounted for by the package, which allows for covariate dependent error structures. In addition, different regression coefficients and threshold parameters for each response are supported. If a reduction of the parameter space is desired, constraints on the threshold as well as on the regression coefficients can be specified by the user. The proposed multivariate framework is illustrated by means of a credit risk application.

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Section: Introductionmentioning

confidence: 99%

mvord: An R Package for Fitting Multivariate Ordinal Regression Models

Hirk¹,

Hornik²,

Vana³

2020

J. Stat. Soft.

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“…Compared to late 1980s and early 1990s when financial markets cooled down and sovereign defaults were few leading to less academic research on foreign borrowing crisis, the number of studies since 2014 on sovereign debt crisis have been regularly forthcoming in particular of European countries. Some of these studies include Ucler & Kirmizioglu (2015), Tamborini (2015), Broto & Perez-Quiros (2015), Popov & Van Horen (2015), Smeets (2016), Moisescu & Giurescu (2016), Stamatopoulos et al (2016), Gómez-Puig & Sosvilla-Rivero (2016), Afonso & Silva (2017), Cencini (2017), Reusens & Croux (2017), and Ehrmann & Fratzscher (2017). A significant number of these studies have used time series models to evaluate credit default swaps (CDS) and other similar instruments to assess the riskiness of a country due to the ever rising burden of sovereign debt.…”

Section: Introductionmentioning

confidence: 99%

Determinants of sovereign defaults

Ghulam

Derber

2018

The Quarterly Review of Economics and Finance

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Highlights Political uncertainty/worsening international monetary conditions promote default  Export (import) growth reduces (increases) the probability of default  Higher debt/GDP ratio, and inflation is linked to higher probability of default  A previous banking crisis is related to higher chances of sovereign defaults  Higher US treasury rates would initiate sovereign defaults and hinders to come out AbstractWe study major sovereign defaults from 1970 to 2010 using an advanced duration analysis method. Descriptive analysis of the data indicates a cyclical nature of these defaults over a longer period. Regression results highlight the importance of the international monetary conditions as the volatilities of US treasury bills rates and USDdenominated LIBOR exert significant impacts on defaults. Political uncertainty increases the probability of default. Export (import) growth reduces (increases) the probability of default. Similarly, a 1% increase in inflation would increase the probability of defaults by 7%. Higher debt/GDP ratio is also linked to higher probability of default. A 1% increase in external debt would lead to a five to 7% increase in the probability of default. Higher GDP per capita reduces the probability of default. A previous banking crisis is linked to higher chances of sovereign defaults. Further analysis of entry into (out of) sovereign defaults indicates that higher US treasury rates would initiate sovereign defaults and would make it difficult for countries to come out of default.The same is true for central government debt/GDP, higher current account deficit and exchange rate volatility. JEL classificationF34, F37, F38, F44, F62

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“…Tourism is essentially a service industry. The recent economic crisis has pointed to numerous weaknesses in the economic model pursued by many economies based on the promotion of the service sector (Stojčić, Bezić and Galović, 2016).…”

Section: Introductionmentioning

confidence: 99%

Does the International Tourism Industry Relax Sovereign Credit Ratings: The Case of Countries Most Reliant on Tourism

Šergo

Gržinić

2018

South East European Journal of Economics and Business

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Sustainable tourism plays a dominant role in the economic well-being of some of the world’s countries, especially small ones. Tourism earnings account for a significant proportion of their GDP, and they have an overwhelming reliance on tourism as a source of service exports. The general trends in tourism earnings and volatilities in country risk ratings often go hand in hand, especially for small touristic countries in that region. The research presented in this paper provides a comparative assessment of the international country risk ratings and highlights the importance of their tourism earnings and tourism export. This study employs the ordered response and Poisson count panel data model for a sample of twenty-two countries most reliant on tourism, including Mediterranean countries. The aim of this study is to investigate whether the tourism determinants of sovereign credit ratings for those countries vary between different rating agencies (Standard & Poor’s, Moody’s and Fitch’s). The key finding is that an increase in tourism earnings as a proportion of GDP and as the main export share in the total country export impairs the sovereign risk rating and turns out to be robust across the different methodologies.

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Sovereign credit rating determinants: A comparison before and after the European debt crisis

Cited by 80 publications

References 28 publications

mvord: An R Package for Fitting Multivariate Ordinal Regression Models

mvord: An R Package for Fitting Multivariate Ordinal Regression Models

Determinants of sovereign defaults

Does the International Tourism Industry Relax Sovereign Credit Ratings: The Case of Countries Most Reliant on Tourism

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