Masih, Mansur and Ahmad, Abd Halim @ Hamilton and Mohd Daud, Siti Nurazira and Marzuki, Ainulashikin (2008) Sovereign credit ratings and macroeconomic variables: An application of bounds testing approach to Malaysia. Journal of Academy of Business and Economics, 8 (1). pp. 109-119. ISSN 1542-8710
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Abstract
This paper aims to investigate the short- and long-run macroeconomic determinants of sovereign credit ratings in developing countries.Malaysia is used as a case study.This study employed quarterly data from 1991 to 2004.We apply a recently developed time series technique called ‘Auto-Regressive Distributed Lag’ (ARDL) [Pesaran, Shin, and Smith,Journal of Applied Econometrics, 2001] which has taken care of a major limitation of the conventional cointegrating tests in that they suffer from the pre-test biases.Based on the above rigorous methodology, our evidence tends to suggest that both in the short-and long- run, Debt ratios such as (Debt to GDP, Debt Service to Reserve) and US Treasury Bill rate (3-months) appear to have had a significant impact on Malaysia’s sovereign credit ratings.The findings of the study tend to indicate that Malaysia’s short- and long-term ability to pay its debt contain information for the prediction of her credit ratings.These findings are plausible and have strong policy implications for developing countries like Malaysia.
Item Type: | Article |
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Uncontrolled Keywords: | Malaysia, sovereign credit rating, macroe conomic variables, ARDL cointegration. |
Subjects: | H Social Sciences > HB Economic Theory |
Divisions: | School of Economics, Finance & Banking |
Depositing User: | Mr. Abd. Halim @ Hamilton Ahmad |
Date Deposited: | 11 Nov 2014 07:11 |
Last Modified: | 26 Apr 2016 04:05 |
URI: | https://repo.uum.edu.my/id/eprint/12578 |
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