Ordered response models for sovereign debt ratings

Applied Economics Letters

Volumn 16, Issue 8, 2009, Pages 769-773

  Afonso, António ^a,b   Gomes, Pedro ^c   Rother, Philipp ^b  

^a UNIVERSITY OF LISBON   (Portugal)

^b EUROPEAN CENTRAL BANK   (Germany)

^c LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

DEBT; LOGIT ANALYSIS; MODELING; PANEL DATA; SOVEREIGNTY;

EID: 67650096279     PISSN: 13504851     EISSN: 14664291     Source Type: Journal    
DOI: 10.1080/13504850701221931     Document Type: Article

References (7)

1. Bissoondoyal-Bheenick, E. (2005) An analysis of the determinants of sovereign ratings. Global Finance Journal, 15, pp. 251-280.
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3. Frechette, G. (2001) sg158.1: Update to random-effects ordered probit. Stata Technical Bulletin, 61, p. 12.
4. Hajivassiliou, V. and Ioannides, Y. (2007) Unemployment and liquidity constraints. Journal of Applied Econometrics, 22, pp. 479-510.
5. Hu, Y. -T., Kiesel, R. and Perraudin, W. (2002) The estimation of transition matrices for sovereign credit ratings. Journal of Banking & Finance, 26, pp. 1383-1406.
6. Rabe-Hesketh, S., Pickles, A. and Taylor, C. (2000) sg120: Generalized linear latent and mixed models. Stata Technical Bulletin, 53, pp. 47-57.
7. Wooldridge, J. (2002) Econometric Analysis of Cross Section and Panel Data, MIT Press