A Look at Sovereign Credit Ratings and Their Determinants Throughout the Financial Crisis

Date created
The determinants of sovereign credit rating are becoming increasingly more important as many rating agencies have been more active in adjusting their ratings. Our paper analyzed the determinants based on Standard & Poor’s sovereign credit ratings, for the period 1995-2009. Using a linear regression framework, we examined several variables under the political, economic, external, fiscal and monetary categories. The relationship between each determinant was analyzed by isolating each credit rating, and by further employing transformation on specific variables. The results indicate a good performance of the estimated model with a high level of fit. GDP per capita, inflation, default history and advanced economic regions have a significant impact on a country’s credit rating.
FRM Project-Simon Fraser University
Copyright statement
Copyright is held by the author(s).
You are free to copy, distribute and transmit this work under the following conditions: You must give attribution to the work (but not in any way that suggests that the author endorses you or your use of the work); You may not use this work for commercial purposes.
Scholarly level
Peer reviewed?
Attachment Size
FRM 2011 Milton Bernal and James Chang.pdf 683.92 KB