A study of country-risk for non-developed countries in , 1980 - 2000

  1. Mariano González Sánchez 1
  2. Román Mínguez Salido 1
  1. 1 Universidad CEU San Pablo
    info

    Universidad CEU San Pablo

    Madrid, España

    ROR https://ror.org/00tvate34

Revista:
Applied econometrics and international development

ISSN: 1578-4487

Ano de publicación: 2005

Volume: 5

Número: 1

Páxinas: 65-92

Tipo: Artigo

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Outras publicacións en: Applied econometrics and international development

Resumo

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 non-developed countries, grouped into 5 geographical areas, during the 1985-2000 period (World Bank database, 2002). A credit rating is allocated to the countries concerned based on criteria similar to those applied to business solvency, and we then attempt to explain this rating by other macroeconomic factors obtained from the same database. The model employed to determine the probabilities corresponding to each individual at each moment in time and according to the allocated rating, is an ordered probit on panel data. The results obtained indicate that there is a high degree of time correlation in country credit ratings and, furthermore, that the probability of their insolvency is also influenced by random effects of heterogeneity.

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