Macroeconomic and financial determinants of the sovereign credit ratings: Panel data analysis on emerging countries

The aim of this study is to determine the macroeconomic and financial determinants that affect the sovereign credit ratings given by rating agencies to developing countries. For this purpose, the factor affecting the sovereign credit ratings given by Standard and Poor's, Moody's and Fitch rating agencies, which play an important role in the international market, were investigated by panel data analysis method. In this study, data sets of 18 different independent variables covering the years 2005-2017 of 21 emerging countries were examined. In panel data analysis, the relationship between sovereign credit ratings and variables was established according to the random effects model. As a result of the panel data analysis, seven macroeconomic and financial determinants affecting the sovereign credit rating were identified in emerging countries.It is concluded that GDP per capita, annual credit interest rate, exchange rate, inflation rate, credit volume, public debt / GDP and political risk factors are important determinants in emerging countries. Moreover, while the strongest relationship between the sovereign credit ratings and the annual credit interest rate was realized, the lowest relationship with the sovereign credit ratings was found with the inflation rate.