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Ordered Response Models for Sovereign Debt Ratings

ISEG-UTL Economics Working Paper No. 34/2006/DE/UECE

10 Pages Posted: 27 Dec 2006

See all articles by António Afonso

António Afonso

University of Lisbon - ISEG (School of Economics and Management); UECE (Research Unit on Complexity and Economics); ISEG Lisbon School of Economics and Management,Universidade de Lisboa; REM - Research in Economics and Mathematics

Pedro Gomes

University of London - Economics, Mathematics and Statistics; Charles III University of Madrid

Philipp Rother

European Central Bank (ECB)

Multiple version iconThere are 2 versions of this paper

Date Written: December 2006

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.

Keywords: ordered probit, ordered logit, random effects ordered probit, sovereign rating

JEL Classification: C25, E44, F30, G15

Suggested Citation

Afonso, António and Gomes, Pedro M. and Gomes, Pedro M. and Rother, Philipp, Ordered Response Models for Sovereign Debt Ratings (December 2006). ISEG-UTL Economics Working Paper No. 34/2006/DE/UECE, Available at SSRN: https://ssrn.com/abstract=943418 or http://dx.doi.org/10.2139/ssrn.943418

António Afonso (Contact Author)

University of Lisbon - ISEG (School of Economics and Management) ( email )

R. Miguel Lupi, 20
Lisbon, 1248-078
Portugal
+351 21 392 5985 (Phone)
+351 21 396 6407 (Fax)

HOME PAGE: http://www.iseg.ulisboa.pt/aquila/homepage/aafonso/research

UECE (Research Unit on Complexity and Economics) ( email )

Rua Miguel Lupi 20
Lisbon, 1249-078
Portugal
+351-213 925 912 (Phone)
+351-213 971 196 (Fax)

HOME PAGE: http://uece.rc.iseg.ulisboa.pt/

ISEG Lisbon School of Economics and Management,Universidade de Lisboa ( email )

Rua do Quelhas 6
LISBOA, 1200-781
Portugal

REM - Research in Economics and Mathematics ( email )

ISEG, Universidade de Lisboa
Rua Miguel Lupi, 20
Lisboa, 1249-078
Portugal

HOME PAGE: http://rem.rc.iseg.ulisboa.pt/

Pedro M. Gomes

University of London - Economics, Mathematics and Statistics ( email )

United States

HOME PAGE: http://www.eco.uc3m.es/~pgomes/

Charles III University of Madrid ( email )

CL. de Madrid 126
Madrid, Madrid 28903
Spain

Philipp Rother

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
+49 69 1344 0 (Phone)
+49 16 1344 6398 (Fax)

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