References
- 1. Afonso, A., 2003. Understanding the determinants of sovereign debt ratings: evident for the two leading agencies. Journal of Economics and Finance 27 (1), 56-74.
- 2. Afonso, A., P. Gomes, and Rother, P. (2007). What hides behind sovereign debt ratings?, ECB WorkingPaper Series, 711, January.
- 3. Afonso, A., Gomes, P., 2011. Do fiscal imbalances deteriorate sovereign debt ratings? Revue Économique 62 (6).
- 4. Afonso, A., Furceri, D. and Gomes, P. (2012). Sovereign credit ratings and financial markets linkages: Application to European data. Journal of International Money and Finance, 21, pp. 606-638.
- 5. Alesina, A., De Broeck, M., Prati, A. andTabellini, G., 1992. Default risk on government debt in OECD countries. Economic Policy 15, pp. 428-463.
- 6. Alsakka, R. and O. Gwilym (2010). Leads and lags in sovereign credit ratings, Journal of Banking and Finance. 34: 2614-2626.
- 7. Damodaran, A. (2014). Website available at: [http://pages.stern.nyu.edu/~adamodar/]
- 8. Bayoumi, T., Goldstein, M., and Woglom, G., 1995. Do credit markets discipline sovereign borrowers? Evidence from US states. Journal of Money Credit and Banking 27, pp. 1046-1059.
- 9. Bissoondoyal-Bheenick., E. (2005). An Analysis of the Determinants of Sovereign Ratings. Global Finance Journal 15, pp. 251-280.
- 10. Bozic, V. and Magazzino, C. (2013). Credit Rating Agencies: The Importance of Fundamentals in the Assessment of Sovereign Ratings. Economic Analysis and Policy, Vol. 43, No. 2, pp. 157-176.
- 11. Bulow, J. and K. Rogoff (1988). Sovereign Debt Restructurings: Panacea or Pangloss?, NBER WorkingPapers, 2637.
- 12. Butler, A. W. and Fauver, L. (2006). Institutional Environment and Sovereign Credit Ratings. Financial Management, Vol. 35, No. 3, pp. 53-79.
- 13. Cantor, R., and Packer, F. (1996). Determinants and impact of sovereign credit rating. Federal Reserve Bank of New York Economic Policy Review, (October), 1-15.
- 14. Cavallo, E. A., and Valenzuela, P. (2010). The determinants of corporate risk in emerging markets: An option-adjusted spread analysis. International Journal of Finance and Economics, 15, 59-74.
- 15. Eaton, J., and Fernandez, R. (1995). Sovereign debt. NBER working paper 5131.
- 16. Eaton, J., Gersovitz, M., and Stiglitz, J. (1986). The pure theory of country risk. European Economic Review, 30, 481-513.
- 17. Edwards, S. (1986). The Pricing of Bonds and Bank Loans in International Markets, An Empirical Analysis of Developing Countries’ Foreign Borrowing, European Economic Review 30, 565-589.
- 18. Eichengreen, B. and Mody, A. (1998). What Explains Changing Spreads on Emerging-Market Debt:Fundamentals or Market Sentiment?, NBER Working Paper, 6408.
- 19. Eichengreen, B., andMody, A. (2000). What explains changing spreads on emerging-market debt: Fundamentals or market sentiment. In S. Edwards (Ed.), Capital flows and the emerging economies: Theory, evidence and controversies. University of Chicago Press.
- 20. Erdem, O. and Varli, Y. (2014). Understanding the sovereign credit ratings of emerging markets. Emerging Markets Review 20, pp. 42-57.
- 21. Ferri, G., Liu, L. and Stiglitz, J.E. (1999). The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis. Economic Notes, Vol. 28, No. 3, pp. 335-355.
- 22. González-Rozada, M. and Yeyati, E. L. (2008), Global Factors and Emerging Market Spreads. The Economic Journal, 118, pp.1917-1936.
- 23. Guttler, A. and Wahrenburg, M. (2007). The adjustment of credit ratings in advance of defaults, Journal of Banking and Finance,31, pp. 751-767.
- 24. Hartelius, K., Kashiwase, K. and Kodres, L.E. (2008). Emerging Market Spread Compression: Is it Real or is it Liquidity?. IMF Working Paper 08/10.
- 25. Hill, P., Brooks, R., Faff, R., 2010. Variations in sovereign credit quality assessments across rating agencies. Journal of Banking and Finance 34 (6), 1327-1343.
- 26. Jaramillo, L., Tejada, M. (2011). Sovereign credit ratings and spreads in emerging markets: does investment grade matter? IMF Working Papers, pp. 1-17.
- 27. Kaminsky, G. and S. Schmukler. (2002). Emerging market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns? The World Bank Economic Review, Vol. 16, No. 2, pp. 171-195.
- 28. Klein, C. and Stellner, C. (2014). Does sovereign risk matter? New evidence from eurozone corporate bond ratings and zero-volatility spreads. Review of Financial Economics, 23, pp. 64-74.
- 29. Maltritz, D. (2012). Determinants of sovereign yield spreads in the Eurozone: A Bayesian approach. Journal of International Money and Finance, 31, 657-672.
- 30. Maltritz, D., &Molchanov, A. (2014). Country credit risk determinants with model uncertainty. International Review of Economics and Finance, 29, 224-234.
- 31. Min, H. (1998). Determinants of emerging market bond spread: Do economic fundamentals matter? World Bank policy research working paper 1899.
- 32. Oliveira, L., Curto, J.D., and Nunes, J.D. (2012). The determinants of sovereign credit spread changes in the Euro-zone. Journal of International Financial Markets, Institutions and Money, 22, pp. 278-304.
- 33. Panizza, U., Strurzenegger, F., &Zettelmeyer, J. (2009). The economic and law of sovereign debt and default. Journal of Economic Literature, 3(3), 651-698.
- 34. Polito, V. and Wickens, M. (2014). Modelling the U.S. sovereign credit rating. Journal of Banking and Finance, 46, pp. 202-218.
- 35. Ramlall, I. (2015). Global Central Bank Ratings: A New Methodology for Global Excellence. Palgrave Macmillan.
- 36. Rowland, P. and J.L. Torres (2004). Determinants of spread and creditworthiness for emerging market sovereign debt: A panel data study, Banco de la Republica de Colombia, 296.
- 37. Sy, A. (2002). Emerging Market Bond Spreads and Sovereign Credit Ratings: Reconciling Market Views with Economic Fundamentals. Emerging Markets Review, 3, pp, 380-408.