The Influence of Macroeconomic Indicators Towards Sovereign Credit Rating and Sovereign Bond Spread

  • The main purpose of this thesis is to investigate and to identify the macroeconomic indicators, as the determinants that could impact the sovereign risk. The sovereign risk here is represented by sovereign credit rating and sovereign bond spread. The world economy nowadays has become more globalized. It is becoming essential for all stakeholders in the global economy to become aware of the economic and the financial situation of a country. Sovereign risk interestingly represents not only the economic and financial situation of a country, but also the ability of a country to meet its financial obligation. This indicator plays an important role in attracting capital inflow and investment in a country. By using panel-data framework, the estimations were built and analyzed to investigate the impact and the influence of the macroeconomic indicators towards the sovereign risk. The sample data of the research consists of 9 macroeconomic indicators as the explanatory variables, each of them includes 50 countries and 10 years of time period. Two separate panel data estimations with fixed effects model were created for each of the dependent variable, sovereign credit rating and sovereign bond spread. The results indicated that central bank rate, government debt level, total government reserves and unemployment rate have significant effects on the sovereign credit rating. Moreover, the results also indicated that current account balance, GDP growth rate, government debt level and unemployment rate have significant influence on sovereign bond spread. As both estimation share 3 significant explanatory variables, this implies that they are closely related.

Export metadata

Additional Services

Share in Twitter Search Google Scholar
Metadaten
Author:Irwan Prasetiyo
Advisor:Marc Peter Radke
Document Type:Bachelor Thesis
Language:English
Year of Completion:2017
Granting Institution:Hochschule Furtwangen
Date of final exam:2017/02/28
Release Date:2017/02/21
Tag:Econometrics; Macroeconomic indicators; Panel data; Sovereign bond spread; Sovereign credit rating; Sovereign risk
Pagenumber:54
Degree Program:IBM - International Business Management
Functional area:Economics
Access Rights:Innerhalb der Hochschule
Licence (German):License LogoEs gilt das UrhG