An Empirical Study of the Determinants of Sovereign Ratings : Evidence in ASEAN-5 Countries
The research was carried out to analyze the determinants of the sovereign credit ratings provided by the two prominent rating agencies: Standard and Poor’s and Fitch Rating. Credit rating agencies have in recent literature been found to base their sovereign ratings on the same range of macroeconomic...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2013
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| Online Access: | https://eprints.nottingham.ac.uk/26305/ |
| _version_ | 1848793151102255104 |
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| author | Kurmanbayev, Saken |
| author_facet | Kurmanbayev, Saken |
| author_sort | Kurmanbayev, Saken |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | The research was carried out to analyze the determinants of the sovereign credit ratings provided by the two prominent rating agencies: Standard and Poor’s and Fitch Rating. Credit rating agencies have in recent literature been found to base their sovereign ratings on the same range of macroeconomic fundamentals. The purpose of this study is to find out whether these credit rating determinants are valid predictors when explaining actual defaults and not only affects the perceived creditworthiness of sovereigns. By studying a sample of five sovereign issuers in OLS approach, Logistic framework and Panel data this thesis finds that GDP per capita, GDP growth, current account to GDP and external debt works as determinants for actual sovereign defaults in addition to their role in determining credit ratings. The impact of the individual variables on the risk of default is also found to be in line with what is expected from earlier research and economic intuition. |
| first_indexed | 2025-11-14T18:55:44Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-26305 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:55:44Z |
| publishDate | 2013 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-263052017-10-19T13:25:41Z https://eprints.nottingham.ac.uk/26305/ An Empirical Study of the Determinants of Sovereign Ratings : Evidence in ASEAN-5 Countries Kurmanbayev, Saken The research was carried out to analyze the determinants of the sovereign credit ratings provided by the two prominent rating agencies: Standard and Poor’s and Fitch Rating. Credit rating agencies have in recent literature been found to base their sovereign ratings on the same range of macroeconomic fundamentals. The purpose of this study is to find out whether these credit rating determinants are valid predictors when explaining actual defaults and not only affects the perceived creditworthiness of sovereigns. By studying a sample of five sovereign issuers in OLS approach, Logistic framework and Panel data this thesis finds that GDP per capita, GDP growth, current account to GDP and external debt works as determinants for actual sovereign defaults in addition to their role in determining credit ratings. The impact of the individual variables on the risk of default is also found to be in line with what is expected from earlier research and economic intuition. 2013 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/26305/1/SakenKurmanbayev.pdf Kurmanbayev, Saken (2013) An Empirical Study of the Determinants of Sovereign Ratings : Evidence in ASEAN-5 Countries. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Kurmanbayev, Saken An Empirical Study of the Determinants of Sovereign Ratings : Evidence in ASEAN-5 Countries |
| title | An Empirical Study of the Determinants of Sovereign Ratings : Evidence in ASEAN-5 Countries |
| title_full | An Empirical Study of the Determinants of Sovereign Ratings : Evidence in ASEAN-5 Countries |
| title_fullStr | An Empirical Study of the Determinants of Sovereign Ratings : Evidence in ASEAN-5 Countries |
| title_full_unstemmed | An Empirical Study of the Determinants of Sovereign Ratings : Evidence in ASEAN-5 Countries |
| title_short | An Empirical Study of the Determinants of Sovereign Ratings : Evidence in ASEAN-5 Countries |
| title_sort | empirical study of the determinants of sovereign ratings : evidence in asean-5 countries |
| url | https://eprints.nottingham.ac.uk/26305/ |