Journal of Economics and Finance

, Volume 43, Issue 1, pp 104–126 | Cite as

Structural factors, global shocks and sovereign debt credit ratings

  • Carlos Uribe-TeranEmail author
  • Santiago Mosquera


We analyse the role of fundamentals that reflect the sovereigns’ solvency (structural factors) and global shocks as determinants of sovereign debt credit ratings. By means of random effects ordered probit estimations, we show that structural features have short- and long-run effects that are robust to alternative specifications. The low variation of the structural variables and the world’s economic cycle captured by global shocks are key to obtain a higher proportion of correctly predicted downgrades and fewer mismatches between the estimated rating scale and the data. This also reduces the wrongly predicted upgrades to Investment Grade Status.


Panel data models Ordered probit Prediction error Global shocks Rating agencies Sovereign debt 

JEL Classification

C23 C25 C53 F44 G24 H63 


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Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2018

Authors and Affiliations

  1. 1.School of Economics, Diego de Robles y Vía Interoceánica, Quito-EcuadorUniversidad San Francisco de QuitoQuitoEcuador
  2. 2.Business School, Diego de Robles y Vía Interoceánica, Quito-EcuadorUniversidad San Francisco de QuitoQuitoEcuador

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