Debt-threshold effect in sovereign credit ratings: New evidence from nonlinear panel smooth transition models
详细信息 查看全文
- 作者：Oussama Ben Hmiden ; Nidhaleddine Ben Cheikh ; nidhaleddine.bencheikh@essca.fr" class="auth_mail" title="E-mail the corresponding author
- 关键词：C23 ; F34 ; G24 ; H63
- 刊名：Finance Research Letters
- 出版年：2016
- 出版时间：November 2016
- 年：2016
- 卷：19
- 期：Complete
- 页码：273-278
- 全文大小：306 K
文摘
- •
We test for the presence of threshold effect in sovereign credit ratings
- •
We implement a nonlinear panel smooth transition model
- •
The appropriate threshold value is estimated endogenously from the data
- •
We point out a strong regime-dependence in rating decisions
- •
The determinants of sovereign risk vary across different vulnerability levels.