Title Revisiting the determinants of sovereign debt ratings in Europe through artificial intelligence techniques
Authors Galnares, Carlos , MARTÍNEZ ESTUDILLO, ALFONSO CARLOS, CARBONERO RUZ, MARIANO, CAMPOY MUÑOZ, MARÍA DEL PILAR
External publication No
Means Appl. Econ. Lett.
Scope Article
Nature Científica
JCR Quartile 3
SJR Quartile 2
JCR Impact 1.6
SJR Impact 0.45
Web https://www.scopus.com/inward/record.uri?eid=2-s2.0-85133500641&doi=10.1080%2f13504851.2022.2097171&partnerID=40&md5=e40036e6a17f27079be8f6e408f69006
Publication date 06/07/2022
ISI 000825249200001
Scopus Id 2-s2.0-85133500641
DOI 10.1080/13504851.2022.2097171
Abstract In papers using artificial intelligence (AI) techniques, little attention has been paid to the determinants of sovereign debt ratings. We propose a reduced set of variables regarding the economic performance of a country that are consistent with the idea of debt sustainability. The robustness of this set is supported by the results obtained with different well-known AI techniques using data from EU-15 countries during the 2002-2017 period as the experimental setting. The variables are publicly available, allowing a quick and reliable assessment of the creditworthiness of a sovereign and providing useful information for decision-makers and investors.
Keywords Sovereign credit ratings; credit rating agencies; EU-15; artificial intelligence
Universidad Loyola members

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