Pregled bibliografske jedinice broj: 1134327
Investigating the determinants of EU-28 sovereign credit ratings using stepwise least squares regression
Investigating the determinants of EU-28 sovereign credit ratings using stepwise least squares regression // Proceedings of FEB Zagreb 12th International Odyssey Conference on Economics and Business / Načinović Braje, Ivana ; Jaković, Božidar ; Ferjanić Hodak, Danijela (ur.).
Zagreb: Ekonomski fakultet Sveučilišta u Zagrebu, 2021. str. 489-500 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)
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Naslov
Investigating the determinants of EU-28 sovereign credit ratings using stepwise least squares regression
Autori
Žmuk, Berislav ; Jošić, Hrvoje
Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni
Izvornik
Proceedings of FEB Zagreb 12th International Odyssey Conference on Economics and Business
/ Načinović Braje, Ivana ; Jaković, Božidar ; Ferjanić Hodak, Danijela - Zagreb : Ekonomski fakultet Sveučilišta u Zagrebu, 2021, 489-500
Skup
12th FEB Zagreb International Odyssey Conference on Economics and Business
Mjesto i datum
Šibenik, Hrvatska; online, 09.06.2021. - 12.06.2021
Vrsta sudjelovanja
Predavanje
Vrsta recenzije
Međunarodna recenzija
Ključne riječi
sovereign credit ratings ; EU-28 ; big data ; stepwise least squares regression
Sažetak
Sovereign credit ratings are a measure of a country’s willingness to repay its obligations in time and can be rated by evaluating the factors that determines it. There is a rich body of literature on economic and financial determinants of sovereign credit ratings starting with the seminal work of Cantor and Packer (1996). Goal of this paper is to investigate the determinants of EU-28 sovereign credit ratings by implementing a stepwise least squares regression, an approach usually used for estimation of big data. Sovereign credit ratings of the EU-28 countries have been classified according to three largest rating agencies in the world (S&P, Moody's and Fitch). Results of the analysis have shown that the main determinants of the EU-28 sovereign credit ratings are the selected variables: Corruption Perceptions Index (CPI), current account balance (CAB), GDP, government deficit or surplus (GDS), gross fixed capital formation (GFCF), inflation (INF), political stability and absence of violence/terrorism (PIS), total international reserves expresses in months of imports (TRES) and unemployment (UNEM). The signs of the statistically significant explanatory variables are in the line with the economic theory, confirming the results of previous research in this field.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
POVEZANOST RADA
Ustanove:
Ekonomski fakultet, Zagreb
