Determinants of Sovereign Ratings in Emerging Countries with Panel Probit Analysis

Dayioglu Tugba

doi:doi:10.11648/j.ijem.20190301.12

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Determinants of Sovereign Ratings in Emerging Countries with Panel Probit Analysis

Dayioglu Tugba

Published in International Journal of Engineering Management (Volume 3, Issue 1)

Received: 8 June 2019 Accepted: 3 July 2019 Published: 17 July 2019

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Abstract

The aim of this paper is to study determinants of sovereign ratings of emerging countries. The ratings are analyzed with panel ordered probit model. The economic indicators are used and these variables of the countries are independent for the sovereign ratings. In this study we determined the effective factors on ratings and we check the effects of current account deficits, external debts, gross domestic product per capita, real exchange rates, inflations, unemployement and political qualities on sovereign ratings that are exported by three large rating agencies (S&P, Moodys and Fitch). This paper studies sovereign rating models of Moody's, Standard & Poor's (S&P) and Fitch to identify important determinants of sovereign ratings. The credit agencies are taking attention some economic and political indicators of the countries on their credit limits. Sovereign credit ratings plays an imperative role in the decision-making process of where and when to invest and determine the interest that is paid to investors for sovereign debt borrowings. This sovereign credit scoring probability is estimated with panel ordered probit model in our study.

Published in	International Journal of Engineering Management (Volume 3, Issue 1)
DOI	10.11648/j.ijem.20190301.12
Page(s)	6-11
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

Sovereign Rating, Credit Rating Agencies, Panel Probit Models

References

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[2]	Afonso A., Gomes P., Rother P. (2011). Short-and Lon Run Determinants of Sovereign Dept Credit Ratings. International Journal of Finance&Economics, vol. 16(1), pp. 1-15.
[3]	B. H. (2008). Econometrics Analysis of Panel Data. West Sussex: Wiley Bissondoyal Bheenick E., Brooks R., Yip A. Y. N. (2006). Determinants of Sovereign Ratings: A Comparison of Case –Based Reasoning and Ordered Probit Approaches. Global Finance Journal, vol. 35(3), pp. 53-73.
[4]	Butler A. W., Fauver, L. (2006), Instıtutıonal envıronment and sovereıgn credit rating. Fınancıal Management, 35 (3), 53-79.
[5]	Brooks C. (2008). Introductory Econometrics for Finance (2nd ed.). New York: Cambridge University Press.
[6]	Cantor R., Packer F. (1996). Determinants and Impact of Sovereign Credit Ratings, FRBNY Economic Policy Rewiev October, October, 37-54 Constantin Mellios and Eric Paget-Blanc WHICH FACTORS DETERMINE SOVEREIGN CREDIT RATINGS?, p, 1-3.
[7]	Depken C. A., La Fountain C., Butters R. (2006). Corruption and Creditworthiness: Evidence from Sovereign Credit Ratings. University of Texas at Arlington, Department of Economics Working Papers, vol. 0601.
[8]	Eliasson, A. (2002), “Sovereign Credit Ratings”, Working Papers 02-1, Deutsche Bank.
[9]	Ferri G. (2004). More Analysts, Better Ratings: Do Rating Agencies Invest Enaugh in Less Developed Countries? Journal of Policy Modelling, 133-156.
[10]	Guris, S (2015), Stata ile Panel veri Modelleri, Der Yayınları, p. 190-192.
[11]	Jaramillo L. (2010), “Determinants of Invesment Grade status in Emerging Markets” IMF Working Paper 10/117.
[12]	Jaramillo L., C. M. Tejada, 2011, Sovereign Credit Ratings and Spread in Emerging Markets: Does Investment Grade Matter?, IMF Working Paper, p:11-44.
[13]	Hu Y. T., Kiesel R., Perraudin W. (2002). The estimation of Transition Matrices for Sovereign Credit Ratings. Journal of Banking &Finance, vol. 26(7), pp. 1383-406.
[14]	Long J. S., Freese J. (2006). Regression Models for Categorical Dependent Variables Using Stata. Texas: Stata Press.
[15]	Marinda P, I Botha, (2014). ‘A Panel Ordered Response Model for Severeign Credit ratings in Africa, Economic Research Southern Africa september 26, ERSA working paper 464.
[16]	Martin A, Marek K, (2015). ‘Sovereign Credit Rating in Ordered Response Model Framework- Case of Visegred Four Countries ‘. European Financial Systems 2014, Proceedings of the 11th International Scientific Conference, Brno: Masaryk University, 2014, pp. 11-17. ISBN 978-80-210-7153-7.
[17]	Mellios, C., Paget-Blanc, E. (2006), “Which Factors Determine Sovereign Credit Ratings”, The European Journal of Finance, Vol. 12, No. 4, pp. 361-377.
[18]	Mora N. (2006). Sovereign Credit Ratings: Guilty Beyond Reasonable Doubt? Journal of Banking & Finance, vol. 30(7), pp. 2041-62.
[19]	Mulder C., Perrelli R. (2001, November). Foreign Currency Credit ratings for Emerging Market Economies. IMF working paper.
[20]	Rowland, P., Torres, J. (2004), “Determinants of Spread, Credit Ratings and Creditworthinessfor Emerging Market Sovereign Debt: A Panel Data Study”, Borradores de Economia, No. 295, Banco de la República de Colombia.
[21]	Standart and Poor’s. (2014). Understanding ratings. Retrived August 6, 2014, from McGrawHill Financia: http://www.spratings.com http://www.nkc.co.za
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[23]	http://www.imf.org/external/pubs/ft/wp/2010/data/wp10245.zip

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APA Style

Dayioglu Tugba. (2019). Determinants of Sovereign Ratings in Emerging Countries with Panel Probit Analysis. International Journal of Engineering Management, 3(1), 6-11. https://doi.org/10.11648/j.ijem.20190301.12

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ACS Style

Dayioglu Tugba. Determinants of Sovereign Ratings in Emerging Countries with Panel Probit Analysis. Int. J. Eng. Manag. 2019, 3(1), 6-11. doi: 10.11648/j.ijem.20190301.12

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AMA Style

Dayioglu Tugba. Determinants of Sovereign Ratings in Emerging Countries with Panel Probit Analysis. Int J Eng Manag. 2019;3(1):6-11. doi: 10.11648/j.ijem.20190301.12

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@article{10.11648/j.ijem.20190301.12,
  author = {Dayioglu Tugba},
  title = {Determinants of Sovereign Ratings in Emerging Countries with Panel Probit Analysis},
  journal = {International Journal of Engineering Management},
  volume = {3},
  number = {1},
  pages = {6-11},
  doi = {10.11648/j.ijem.20190301.12},
  url = {https://doi.org/10.11648/j.ijem.20190301.12},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijem.20190301.12},
  abstract = {The aim of this paper is to study determinants of sovereign ratings of emerging countries. The ratings are analyzed with panel ordered probit model. The economic indicators are used and these variables of the countries are independent for the sovereign ratings. In this study we determined the effective factors on ratings and we check the effects of current account deficits, external debts, gross domestic product per capita, real exchange rates, inflations, unemployement and political qualities on sovereign ratings that are exported by three large rating agencies (S&P, Moodys and Fitch). This paper studies sovereign rating models of Moody's, Standard & Poor's (S&P) and Fitch to identify important determinants of sovereign ratings. The credit agencies are taking attention some economic and political indicators of the countries on their credit limits. Sovereign credit ratings plays an imperative role in the decision-making process of where and when to invest and determine the interest that is paid to investors for sovereign debt borrowings. This sovereign credit scoring probability is estimated with panel ordered probit model in our study.},
 year = {2019}
}

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TY  - JOUR
T1  - Determinants of Sovereign Ratings in Emerging Countries with Panel Probit Analysis
AU  - Dayioglu Tugba
Y1  - 2019/07/17
PY  - 2019
N1  - https://doi.org/10.11648/j.ijem.20190301.12
DO  - 10.11648/j.ijem.20190301.12
T2  - International Journal of Engineering Management
JF  - International Journal of Engineering Management
JO  - International Journal of Engineering Management
SP  - 6
EP  - 11
PB  - Science Publishing Group
SN  - 2640-1568
UR  - https://doi.org/10.11648/j.ijem.20190301.12
AB  - The aim of this paper is to study determinants of sovereign ratings of emerging countries. The ratings are analyzed with panel ordered probit model. The economic indicators are used and these variables of the countries are independent for the sovereign ratings. In this study we determined the effective factors on ratings and we check the effects of current account deficits, external debts, gross domestic product per capita, real exchange rates, inflations, unemployement and political qualities on sovereign ratings that are exported by three large rating agencies (S&P, Moodys and Fitch). This paper studies sovereign rating models of Moody's, Standard & Poor's (S&P) and Fitch to identify important determinants of sovereign ratings. The credit agencies are taking attention some economic and political indicators of the countries on their credit limits. Sovereign credit ratings plays an imperative role in the decision-making process of where and when to invest and determine the interest that is paid to investors for sovereign debt borrowings. This sovereign credit scoring probability is estimated with panel ordered probit model in our study.
VL  - 3
IS  - 1
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Author Information

Dayioglu Tugba

Department of Management and ?nformation System, Economy Faculty, Nisantasi University, ?stanbul, Turkey

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APA Style

Dayioglu Tugba. (2019). Determinants of Sovereign Ratings in Emerging Countries with Panel Probit Analysis. International Journal of Engineering Management, 3(1), 6-11. https://doi.org/10.11648/j.ijem.20190301.12

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ACS Style

Dayioglu Tugba. Determinants of Sovereign Ratings in Emerging Countries with Panel Probit Analysis. Int. J. Eng. Manag. 2019, 3(1), 6-11. doi: 10.11648/j.ijem.20190301.12

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AMA Style

Dayioglu Tugba. Determinants of Sovereign Ratings in Emerging Countries with Panel Probit Analysis. Int J Eng Manag. 2019;3(1):6-11. doi: 10.11648/j.ijem.20190301.12

Copy | Download

@article{10.11648/j.ijem.20190301.12,
  author = {Dayioglu Tugba},
  title = {Determinants of Sovereign Ratings in Emerging Countries with Panel Probit Analysis},
  journal = {International Journal of Engineering Management},
  volume = {3},
  number = {1},
  pages = {6-11},
  doi = {10.11648/j.ijem.20190301.12},
  url = {https://doi.org/10.11648/j.ijem.20190301.12},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijem.20190301.12},
  abstract = {The aim of this paper is to study determinants of sovereign ratings of emerging countries. The ratings are analyzed with panel ordered probit model. The economic indicators are used and these variables of the countries are independent for the sovereign ratings. In this study we determined the effective factors on ratings and we check the effects of current account deficits, external debts, gross domestic product per capita, real exchange rates, inflations, unemployement and political qualities on sovereign ratings that are exported by three large rating agencies (S&P, Moodys and Fitch). This paper studies sovereign rating models of Moody's, Standard & Poor's (S&P) and Fitch to identify important determinants of sovereign ratings. The credit agencies are taking attention some economic and political indicators of the countries on their credit limits. Sovereign credit ratings plays an imperative role in the decision-making process of where and when to invest and determine the interest that is paid to investors for sovereign debt borrowings. This sovereign credit scoring probability is estimated with panel ordered probit model in our study.},
 year = {2019}
}

Copy | Download

TY  - JOUR
T1  - Determinants of Sovereign Ratings in Emerging Countries with Panel Probit Analysis
AU  - Dayioglu Tugba
Y1  - 2019/07/17
PY  - 2019
N1  - https://doi.org/10.11648/j.ijem.20190301.12
DO  - 10.11648/j.ijem.20190301.12
T2  - International Journal of Engineering Management
JF  - International Journal of Engineering Management
JO  - International Journal of Engineering Management
SP  - 6
EP  - 11
PB  - Science Publishing Group
SN  - 2640-1568
UR  - https://doi.org/10.11648/j.ijem.20190301.12
AB  - The aim of this paper is to study determinants of sovereign ratings of emerging countries. The ratings are analyzed with panel ordered probit model. The economic indicators are used and these variables of the countries are independent for the sovereign ratings. In this study we determined the effective factors on ratings and we check the effects of current account deficits, external debts, gross domestic product per capita, real exchange rates, inflations, unemployement and political qualities on sovereign ratings that are exported by three large rating agencies (S&P, Moodys and Fitch). This paper studies sovereign rating models of Moody's, Standard & Poor's (S&P) and Fitch to identify important determinants of sovereign ratings. The credit agencies are taking attention some economic and political indicators of the countries on their credit limits. Sovereign credit ratings plays an imperative role in the decision-making process of where and when to invest and determine the interest that is paid to investors for sovereign debt borrowings. This sovereign credit scoring probability is estimated with panel ordered probit model in our study.
VL  - 3
IS  - 1
ER  -

Copy | Download