Evolution of sovereign rating models in the current crisis

  1. Margarita Martín García 1
  2. Cecilia Téllez Valle 1
  3. José Luis Martín Marín 1
  1. 1 Universidad Pablo de Olavide
    info

    Universidad Pablo de Olavide

    Sevilla, España

    ROR https://ror.org/02z749649

Journal:
GCG: revista de globalización, competitividad y gobernabilidad

ISSN: 1988-7116

Year of publication: 2014

Volume: 8

Issue: 1

Pages: 16-33

Type: Article

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More publications in: GCG: revista de globalización, competitividad y gobernabilidad

Abstract

In this article we deal with the topic of the risk assessment of sovereign debt issuers by the main rating agencies. After selecting the macroeconomic variables that are reported in the literature to be the most relevant, we apply multiple linear regression models in which the dependent variable is the rating assigned to each country by the three main agencies. We analyse 82 countries in the period 2004-2011 and, as a result, a change is observed with respect to previous models. This is due, in part, to a new qualitative variable, regulatory quality, which is acquiring considerable weight in times of crisis.

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