The euro area bond yield spreads have largely converged since the beginning of the EMU. However, during the crisis most eurozone members reported dramatic rise in government bond yield differentials to German Bunds due to deteriorating public finance and liquidity conditions as well as increase...

This paper identifies the macroeconomic factors behind the sovereign credit ratings of global emerging markets assigned by Standard and Poor's (S&P). The financial integration and globalization of capital markets have facilitated the capital inflows/outflows among countries. Sovereign credit...

In this paper we study the determinants of sovereign debt credit ratings using rating notations from the three main international rating agencies, for the period 1995-2005. We employ panel estimation and random effects ordered probit approaches to assess the explanatory power of several...

In the light of the recent financial crisis, we take a panel cointegration approach that allows for structural breaks to the analysis of the determinants of sovereign bond yield spreads in nine economies of the European Monetary Union. We find evidence for a level break in the cointegrating...

This paper investigates the determinants of sovereign debt defaults using Extreme Bounds Analysis (EBA). The EBA approach is applied for 190 countries over the period 1970 2010 to determine whether economic and political factors are “robust” or “fragile”. This study finds that debt...

This article aims at discovering a coherent method for estimating country risk for non-developed countries, determining the components and most significant factors involved and thus avoiding the “black boxes” represented by external agency ratings. The data used form a panel of 40...

This paper aims to give a detailed explanation of the econometric methodology necessary to estimate dynamic probit models with ordinal dependent variables. A typology of cases are established which appear when considering different choices of individual heterogeneity along with time correlation....

We study the effects of the adoption of collective action clauses (CACs) on government bond yields by exploiting secondary market data on sovereign bonds quoted in international markets from March 2007 to April 2011. CACs are assessed security by security. Using a panel data approach, we find a...

We study the effects of the adoption of collective action clauses (CACs) on government bond yields by exploiting secondary market data on sovereigns quoted in international markets from March 2007 to April 2011. CACs are assessed security by security. Using a panel data approach, we find a...

This paper aims to identify the main determinants of sovereign bond spreads in seven Latin American countries and verify the existence of contagion effect over these markets during the last financial crisis. We apply a panel data framework and find that the inflation, terms of trade ratio and...