Institutional and economic determinants of sovereign debt ratings: a South African case

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dc.contributor.authorSekele, Sello Gabriel
dc.date.accessioned2019-05-22T13:25:54Z
dc.date.available2019-05-22T13:25:54Z
dc.date.issued2018
dc.descriptionA research report submitted in partial fulfilment of the Degree of Master of Commerce (Economics/Economic Science) in the School of Economic and Business Sciences, University of the Witwatersranden_ZA
dc.description.abstractThe objective of this study is to find out which economic and institutional determinants are important for South African sovereign debt ratings agencies – S&P, Fitch and Mood’s. In order to do this, the full sample period from 1995Q1 to 2017 Q1 is divided into three epochs: (a) 1995Q1 to 1999Q4, (b) 2000Q1 to 2007Q4 and (c) 2008Q1 to 2017Q1. The underlying phenomenon for this segmentation is the first democratic elections in South Africa (S.A) in 1994, the Dot com bubble of 2000 to 2001 and the financial crisis of 2008. The General-tospecific identification strategy is employed in order to filter redundant variables and retain those with explanatory power. Then, economic and institutional indices are created using the Principal Component Analysis (PCA) method. Empirical results are then obtained by regressing ordered probit models using the maximum likelihood method of estimation. The main findings of this study are twofold. Firstly, the variable External debts/ exports is important in all three epochs. Secondly, institutional variables such as political rights and the corruption perception index are found to be significant for assigning ratings. Therefore, policy implications are that: (a) policy makers should look to implement corporate and labour laws that allow exporting firms to thrive during economic upturns and hedge against downswings so as to improve tax buoyancy and (b) institutions which are “watch dogs” should be solidified to promote transparency because lenders take into account a country’s political stance before supplying capital. The reason is that, a political turmoil can negatively affect a country’s ability to service debt while corruption affects both the ability and willingness to repay sovereign debt. Therefore, S.A policy makers should consider these policy implications so as to achieve its developmental and financial objectives.en_ZA
dc.description.librarianTL2019en_ZA
dc.format.extentOnline resource (66 leaves)
dc.identifier.citationSekele, Sello Gabriel (2018) Institutional and economic determinants of sovereign debt ratings : a South African case,University of the Witwatersrand, Johannesburg, <http://hdl.handle.net/10539/27159>
dc.identifier.urihttps://hdl.handle.net/10539/27159
dc.language.isoenen_ZA
dc.subject.lcshCredit ratings
dc.subject.lcshCredit, public
dc.titleInstitutional and economic determinants of sovereign debt ratings: a South African caseen_ZA
dc.typeThesisen_ZA
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