Determinants of sovereign credit risk: the case of Russia

Mikhail Stolbov

19 citations0/0 files storedPost-Communist Economies

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Credit Risk and Financial Regulations Global Financial Crisis and Policies Market Dynamics and Volatility

Abstract

The article analyses external and domestic determinants of Russian sovereign credit risk from January 2001 to May 2015. The analysis is conducted in a time series framework, involving the ARDL approach and VECM model. External risk factors outperform domestic fundamentals. The VIX index and oil prices are the most important factors, followed by the Fitch credit rating changes and TED spread. There is evidence for the piggyback effect by S&P whose credit rating changes are driven by Fitch Ratings and Moody’s decisions. Among macroeconomic fundamentals only exchange rate dynamics and foreign reserves appear significant. The importance of the fundamentals further decreases when Granger (no) causality tests are conducted. The findings reveal a limited role of domestic macroeconomic policy in curbing Russian sovereign credit risk.

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References

2001Bounds testing approaches to the analysis of level relationships 1995Statistical inference in vector autoregressions with possibly integrated processes 2014Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework 2004On the estimation and inference of a cointegrated regression in panel data 2011How Sovereign Is Sovereign Credit Risk?2006Journal of Applied Econometrics 2010Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt 2013Systemic sovereign credit risk: Lessons from the U.S. and Europe

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