A Note on Causality between Debt and Sovereign Credit Ratings using Panel Tests

Greenidge, Kevin and Drakes, Lisa and Craigwell, Roland (2011): A Note on Causality between Debt and Sovereign Credit Ratings using Panel Tests. Forthcoming in:

Abstract

This paper uses linear and nonlinear panel causality tests to empirically explore the direction of causality between external debt stocks and credit ratings for a group of developing countries over the period 1998 to 2008. The results indicate that for the vast majority of the countries in the panel, a bi-directional causal relationship between external debt and sovereign ratings is evident.

• Item Type: MPRA Paper
• Language: English
• Keywords: External public debt; sovereign ratings; panel data causality
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C23 - Panel Data Models ; Spatio-temporal Models; H - Public Economics > H6 - National Budget, Deficit, and Debt > H63 - Debt ; Debt Management ; Sovereign Debt

References

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