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@article{7739, author = {Kotěšovcová, Jana and Mihola, Jiří and Budinský, Petr}, article_location = {Sumy (Ukraine)}, article_number = {3}, doi = {http://dx.doi.org/10.21511/imfi.16(3).2019.26}, keywords = {rating level; credit rating; rating methodology; macroeconomic indicators; sovereign rating}, language = {eng}, issn = {1810-4967}, journal = {Investment Management and Financial Innovations}, title = {The relationship between sovereign credit rating and trends of macroeconomic indicators}, url = {https://is.vsfs.cz/auth/repo/7739/Clanek_publikovany.pdf}, volume = {16}, year = {2019} }
TY - JOUR ID - 7739 AU - Kotěšovcová, Jana - Mihola, Jiří - Budinský, Petr PY - 2019 TI - The relationship between sovereign credit rating and trends of macroeconomic indicators JF - Investment Management and Financial Innovations VL - 16 IS - 3 SP - 292 - 306 EP - 292 - 306 PB - LLC “Consulting Publishing Company “Business Perspectives” SN - 18104967 KW - rating level KW - credit rating KW - rating methodology KW - macroeconomic indicators KW - sovereign rating UR - https://is.vsfs.cz/auth/repo/7739/Clanek_publikovany.pdf L2 - https://is.vsfs.cz/auth/repo/7739/Clanek_publikovany.pdf N2 - The sovereign credit rating provides information about the creditworthiness of a given country and thereby serves investors as a tool for deciding which financial assets merit the investment of their funds. Given that the determination of a sovereign credit rating is a highly complex and challenging activity. Specialized agencies are involved in determining the rating. And yet it remains worthwhile to analyze their work and seek out easily accessible tools for generating estimates of such ratings. The objective of this article is to explore whether sovereign credit rating can be reliably estimated using trends of selected macroeconomic indicators, despite the fact that sovereign credit rating is most likely influenced by factors other than economic factors. This can be used for strategic considerations at national and multinational level. The relationships between sovereign credit rating and the trends of macroeconomic indicators were examined using statistical methods, linear multiple regression analysis, cumulative correlation coefficient, and non-traditional multicollinearity. The data source used is comprised of selected World Bank indicators meeting the conditions of completeness and representativeness. The data set showed a cumulative correlation coefficient value greater than 95%, however at a 100% multicollinearity. This is followed by the gradual elimination of indicators, but even this did not achieve acceptable values. From this, it can be concluded that rating levels are not explainable solely by the trends of economic indicators, but that other influences, e.g. political, were applied in their creation. Nonetheless, the fact that the statistical model yielded acceptable results for 5 and fewer indicators allowed a regression equation to be found that gives good estimates of a country’s rating. This allows, for example, relatively easy forecasting of ratings by forecasting the development of selected macroeconomic indicators. ER -
KOTĚŠOVCOVÁ, Jana, Jiří MIHOLA a Petr BUDINSKÝ. The relationship between sovereign credit rating and trends of macroeconomic indicators. \textit{Investment Management and Financial Innovations}. Sumy (Ukraine): LLC “Consulting Publishing Company “Business Perspectives”, roč.~16, č.~3, s.~292 - 306. ISSN~1810-4967. doi:10.21511/imfi.16(3).2019.26. 2019.
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