Ordered response models for sovereign debt ratings†

António Afonso · Pedro Gomes · Philipp C. Rother

88 citations0/0 files storedApplied Economics Letters

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Credit Risk and Financial Regulations Global Financial Crisis and Policies Financial Distress and Bankruptcy Prediction

Abstract

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.

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2001Econometric Analysis of Cross Section and Panel Data 2004An analysis of the determinants of sovereign ratings 2002The estimation of transition matrices for sovereign credit ratings

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