Determinants of Sovereign Credit Ratings for Advanced and Developing Economies: Ordered Response Models

Abstract

In this study, macroeconomic indicators affecting the sovereign credit ratings assigned by S&P are analyzed using ordered probit, random effects ordered probit and random effects ordered probit models with unit averages over time. Annual data of 87 countries, including 34 advanced and 53 developing economies, for the period 2009-2018 are used. Analyses are conducted separately for all countries, developing economies and advanced economies. According to the findings, the average of governance indicators, GDP per capita, growth rate, unemployment rate, inflation rate, current account balance, savings, borrowings and spendings are important macroeconomic indicators. When the percentages of correct predictions of the models are compared, all three models perform best for advanced economies. Among the three models, the best performance with a margin of error of ±4 is obtained with the random effects ordered probit model with unit averages over time.

Keywords

• Credit rating
• Standard and Poor’s
• random effects ordered probit
• sovereign credit ratings

Gelişmiş ve Gelişmekte Olan Ekonomiler İçin Ülke Kredi Notlarının Belirleyicileri: Sıralı Tercih Modelleri

Öz

Çalışmada S&P tarafından verilen ülke kredi notlarını etkileyen makroekonomik göstergeler; sıralı probit, tesadüfi etkiler sıralı probit ve zamana göre birim ortalamaları ile tesadüfi etkiler sıralı probit modeller ile araştırılmaktadır. 34 gelişmiş ve 53 gelişmekte olan ekonomi olmak üzere toplam 87 ülkenin 2009-2018 dönemi yıllık verileri kullanılmaktadır. Analizler tüm ülkeler, gelişmekte olan ekonomiler ve gelişmiş ekonomiler için ayrı ayrı uygulanmaktadır. Elde edilen bulgulara göre yönetim göstergeleri ortalaması, kişi başına GSYİH, büyüme oranı, işsizlik oranı, enflasyon oranı, cari denge, tasarruflar, borçlanma ve harcama önemli makroekonomik göstergelerdir. Kullanılan modellerin doğru tahmin yüzdeleri kıyaslandığında üç model de en iyi performansı gelişmiş ekonomiler için göstermektedir. Üç model içerisinde ±4 hata payına göre en iyi performans ise zamana göre birim ortalamaları ile tesadüfi etkiler sıralı probit model ile elde edilmektedir.

Anahtar Kelimeler

• kredi derecelendirme
• Standard and Poor
• tesadüfi etkiler sıralı probit
• ülke kredi notu.

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