The relationship between sovereign credit rating and trends of macroeconomic indicators

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F04274644%3A_____%2F19%3A%230000509" target="_blank" >RIV/04274644:_____/19:#0000509 - isvavai.cz</a>

Result on the web

<a href="https://is.vsfs.cz/auth/repo/7739/Clanek_publikovany.pdf" target="_blank" >https://is.vsfs.cz/auth/repo/7739/Clanek_publikovany.pdf</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.21511/imfi.16(3).2019.26" target="_blank" >10.21511/imfi.16(3).2019.26</a>

Result language

angličtina

Original language name

The relationship between sovereign credit rating and trends of macroeconomic indicators

Original language description

The sovereign credit rating provides information about the creditworthiness of a given country and thereby serves investors as a tool for deciding which financial assets merit the investment of their funds. Given that the determination of a sovereign credit rating is a highly complex and challenging activity. Specialized agencies are involved in determining the rating. And yet it remains worthwhile to analyze their work and seek out easily accessible tools for generating estimates of such ratings. The objective of this article is to explore whether sovereign credit rating can be reliably estimated using trends of selected macroeconomic indicators, despite the fact that sovereign credit rating is most likely influenced by factors other than economic factors. This can be used for strategic considerations at national and multinational level. The relationships between sovereign credit rating and the trends of macroeconomic indicators were examined using statistical methods, linear multiple regression analysis, cumulative correlation coefficient, and non-traditional multicollinearity. The data source used is comprised of selected World Bank indicators meeting the conditions of completeness and representativeness. The data set showed a cumulative correlation coefficient value greater than 95%, however at a 100% multicollinearity. This is followed by the gradual elimination of indicators, but even this did not achieve acceptable values. From this, it can be concluded that rating levels are not explainable solely by the trends of economic indicators, but that other influences, e.g. political, were applied in their creation. Nonetheless, the fact that the statistical model yielded acceptable results for 5 and fewer indicators allowed a regression equation to be found that gives good estimates of a country’s rating. This allows, for example, relatively easy forecasting of ratings by forecasting the development of selected macroeconomic indicators.

Czech name

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Czech description

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Type

J_SC - Article in a specialist periodical, which is included in the SCOPUS database

CEP classification

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OECD FORD branch

50200 - Economics and Business

Project

—

Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2019

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Investment Management and Financial Innovations

ISSN

1810-4967

e-ISSN

1812-9358

Volume of the periodical

16

Issue of the periodical within the volume

3

Country of publishing house

UA - UKRAINE

Number of pages

15

Pages from-to

292-306

UT code for WoS article

—

EID of the result in the Scopus database

2-s2.0-85073554634