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An analysis of the determinants of sovereign credit ratings
Dissertation (MSc)--University of Pretoria, 2018.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2019
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| _version_ | 1867613706410524672 |
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| access_status_str | Open Access |
| author2 | Beyers, Frederik Johannes Conradie |
| author_browse | Beyers, Frederik Johannes Conradie |
| author_facet | Beyers, Frederik Johannes Conradie |
| collection | Thesis |
| dc_rights_str_mv | © 2019 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MSc)--University of Pretoria, 2018. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/70542 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:40:24.731Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2019 |
| publishDateRange | 2019 |
| publishDateSort | 2019 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/70542 An analysis of the determinants of sovereign credit ratings Beyers, Frederik Johannes Conradie jackyang89125@yahoo.com Seymore, Reyno De Freitas, Allan Yang, Jack Chao UCTD Macroeconomics Sovereign Debt Analysis Global Finance & Diplomacy Political Economy Risk Management Natural and agricultural sciences theses SDG-08 Natural and agricultural sciences theses SDG-09 Natural and agricultural sciences theses SDG-10 Natural and agricultural sciences theses SDG-16 Natural and agricultural sciences theses SDG-17 Dissertation (MSc)--University of Pretoria, 2018. The study aims to quantitatively assess the extent to which sovereign ratings could be explained by a set of economic variables. A wide variety of factors could potentially bias a credit rating agency’s decision. The analysis begins with replicating the results found in a seminal analysis by Cantor and Packer (1996). This analysis expanded by including more countries, dynamic over time and time lags. Multiple complementary statistical models and a Random Forest model are explored in this study. To ensure robustness of the model, out-sample-testing is applied. The results show that GNI per capita, GDP growth, total debt to GDP, inflation rate, default amount, default indicator, HDI, change in HDI and IMF indicator are statistically significant. It is observed that current account to GDP, GDP growth and inflation rate have a time-lagged effect on sovereign ratings. A further analysis by separating between developing and developed countries using the IMF indicator suggests that there is a discrepancy between developing countries ratings and developed country ratings. The model results also support the existence of subjective decisions or adjustments in sovereign risk assessment. bs2025 Insurance and Actuarial Science MSc Unrestricted SDG-08: Decent work and economic growth SDG-09: Industry, innovation and infrastructure SDG-10: Reduced inequalities SDG-16: Peace, justice and strong institutions SDG-17: Partnerships for the goals 2019-07-08T09:46:49Z 2019-07-08T09:46:49Z 2019/04/09 2018 Dissertation Yang, JC 2018, An analysis of the determinants of sovereign credit ratings, MSc Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/70542> A2019 http://hdl.handle.net/2263/70542 en © 2019 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Macroeconomics Sovereign Debt Analysis Global Finance & Diplomacy Political Economy Risk Management Natural and agricultural sciences theses SDG-08 Natural and agricultural sciences theses SDG-09 Natural and agricultural sciences theses SDG-10 Natural and agricultural sciences theses SDG-16 Natural and agricultural sciences theses SDG-17 An analysis of the determinants of sovereign credit ratings |
| title | An analysis of the determinants of sovereign credit ratings |
| title_full | An analysis of the determinants of sovereign credit ratings |
| title_fullStr | An analysis of the determinants of sovereign credit ratings |
| title_full_unstemmed | An analysis of the determinants of sovereign credit ratings |
| title_short | An analysis of the determinants of sovereign credit ratings |
| title_sort | analysis of the determinants of sovereign credit ratings |
| topic | UCTD Macroeconomics Sovereign Debt Analysis Global Finance & Diplomacy Political Economy Risk Management Natural and agricultural sciences theses SDG-08 Natural and agricultural sciences theses SDG-09 Natural and agricultural sciences theses SDG-10 Natural and agricultural sciences theses SDG-16 Natural and agricultural sciences theses SDG-17 |
| url | http://hdl.handle.net/2263/70542 |