Macroeconomics Determinants of Sovereign Credit Ratings: Panel Data Analysis
Ümit YILDIZ, Bülent GÜNSOY

Abstract
In this study, it is investigated that relation between sovereign credit ratings determined by Credit Rating Agencies and macroeconomic variables. Within this framework, 105 countries graded by S&P, one of three well known Credit Rating Agencies, were analyzed by using Econometric Analysis of Panel Data. Ordered Probit and Ordered Log it were used as an econometric estimation technique and the countries were categorized as low and middle income countries and high income countries in the study. According to the estimation results, it was reached a conclusion that, Per Capita Income, Growth Rate, Inflation Rate, Government Debt, Budget Balance, Current Account Balance, are significant macroeconomic variables in terms of determining sovereign credit ratings for low income and middle income countries while they, Per Capita Income, Inflation Rate, Unemployment Rate, Government Debt, are significant macroeconomic variables in terms of determining sovereign credit rating for high income countries. On the other hand, it was reached a systematic relation between credit rating and neither Unemployment Rate for low income and middle income countries nor Growth Rate, Budget Balance, Current Account Balance for high income countries. In the analysis of 105 countries for all the common results of both estimation methods indicate that Per Capita Income, Inflation Rate, Budget Balance and Government Debt are key determinants of Sovereign Credit Ratings.

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