Sovereign Credit Rating in Ordered Response Model Framework – Case of Visegrad Four Countries
Sovereign Credit Rating in Ordered Response Model Framework – Case of Visegrad Four Countries

Author(s): Marek Káčer, Martin Alexy
Subject(s): Government/Political systems, Methodology and research technology, EU-Accession / EU-DEvelopment
Published by: Masarykova univerzita nakladatelství
Keywords: sovereign rating; Visegrad Four countries; panel data; ordered probit;
Summary/Abstract: The aim of this paper is to study the determinants of sovereign credit rating from the four major agencies – Moody’s, S&P, Fitch and R&I. The data set is formed by the Visegrad Four countries in the period 1993-2012. The influence of EU and Eurozone membership is analysed in addition to the macroeconomic and the socio-political explanatory variables. Ordered probit model is used to estimate the parameters and to identify the relevant determinants of sovereign rating.

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