Evolution of sovereign rating models in the current crisis

Abstract

In this article we deal with the topic of the risk assessment of sovereign debt issuers by the main rating agencies. After selecting the macroeconomic variables that are reported in the literature to be the most relevant, we apply multiple linear regression models in which the dependent variable is the rating assigned to each country by the three main agencies. We analyse 82 countries in the period 2004-2011 and, as a result, a change is observed with respect to previous models. This is due, in part, to a new qualitative variable, regulatory quality, which is acquiring considerable weight in times of crisis.