Podrobný výpis o publikaci

Sovereign rating assesses the reliability of the state as a debtor, and thus informs investors who invest in financial assets. The objective of the research is to examine the dependency of the sovereign rating on macroeconomic indicators, using the regression and correlation model. Used was the standard multiple regression analysis, while the correlation analysis was based primarily on the summary correlation coefficient and multicollinearity. Used was the linear version of the analysis with some input data being subjected to logarithmic transformation. From the World Bank database, time series of 17 macro-economic indicators were sorted out, which met the requirement for the completeness, and also formed an informatively representative set. For this set, the value of the summary correlation coefficient greater than 95% at 100% multicollinearity was determined. Not even the gradual elimination helped to achieve acceptable values of those correlation characteristics of the task, which implies that the rating grades cannot be explained solely by the economic indicators, but in their determination other factors were applied, such as political or strategic ones. Despite that, a regression equation generating very good estimates of the sovereign rating has been found.