Title: Sovereign credit rating determinants: the impact of the European debt crisis
Authors: Reusens, Peter
Croux, Christophe
Issue Date: May-2016
Publisher: KU Leuven - Faculty of Economics and Business
Series Title: FEB Research Report KBI_1615
Abstract: This paper compares the importance of different sovereign credit rating determinants over time, using a sample of 90 countries for the years 2002-2015. Applying the composite marginal likelihood approach, we estimate a multi-year ordered probit model for each of the three major credit rating agencies. After the start of the European debt crisis in 2009, the importance of the financial balance,
the economic development and the external debt increased substantially and the effect of Eurozone membership switched from positive to negative. In addition, GDP growth gained a lot of importance for highly indebted sovereigns and government debt became much more important for countries with a low GDP growth rate. These findings provide empirical evidence that the credit rating agencies
changed their sovereign credit rating assessment after the start of the European debt crisis.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Research Center for Operations Research and Business Statistics (ORSTAT), Leuven

Files in This Item:
File Description Status SizeFormat
KBI_1615.pdfSovereign credit rating determinants: the impact of the European debt crisis Published 494KbAdobe PDFView/Open


All items in Lirias are protected by copyright, with all rights reserved.