The dependence of macroeconomic indicators on sovereign rating

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F04274644%3A_____%2F18%3A%230000474" target="_blank" >RIV/04274644:_____/18:#0000474 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.ekf.vsb.cz/export/sites/ekf/rmfr/en/Conference_proceedings/Proceedings/Part_I_finalni.pdf" target="_blank" >https://www.ekf.vsb.cz/export/sites/ekf/rmfr/en/Conference_proceedings/Proceedings/Part_I_finalni.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

The dependence of macroeconomic indicators on sovereign rating

Popis výsledku v původním jazyce

Rating of a state constitutes a qualified evaluation of the state’s reliability as a debtor, which informs investors investing in financial assets on important indicators. The research objective is, by means of a created regression and correlation model, to test the quality of the sovereign rating dependence on the macroeconomic indicators. In the correlation analysis, the accumulated correlation coefficient greater than 95% was calculated but at 100% multicollinearity. The high value of the total correlation coefficient was thus devalued by absolute multicollinearity. Given that in neither case was the general correlation coefficient higher than 80% at multicollinearity below 20%, it can be stated that the credit ratings are not explicable solely through economic characteristics, but in determining them also other effects were applied, for instance political and strategic.

Název v anglickém jazyce

The dependence of macroeconomic indicators on sovereign rating

Popis výsledku anglicky

Rating of a state constitutes a qualified evaluation of the state’s reliability as a debtor, which informs investors investing in financial assets on important indicators. The research objective is, by means of a created regression and correlation model, to test the quality of the sovereign rating dependence on the macroeconomic indicators. In the correlation analysis, the accumulated correlation coefficient greater than 95% was calculated but at 100% multicollinearity. The high value of the total correlation coefficient was thus devalued by absolute multicollinearity. Given that in neither case was the general correlation coefficient higher than 80% at multicollinearity below 20%, it can be stated that the credit ratings are not explicable solely through economic characteristics, but in determining them also other effects were applied, for instance political and strategic.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název statě ve sborníku

Managing and Modelling of Financial Risks

ISBN

9788024842257

ISSN

2464-6970

e-ISSN

2464-6989

Počet stran výsledku

9

Strana od-do

235-243

Název nakladatele

VŠB - Technická univerzita Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

5. 9. 2018

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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