Sovereign Credit Rating and Macroeconomic Variables: An Empirical Analysis on Dynamic Linkages in Malaysia
This paper aims to investigate the long- and short-run relationship of sovereign credit ratings in Malaysia. This study employed quarterly data from 1991 to 2004. A robust and recent time series techniques known as the Unrestricted Error Correction Model – Bound Test was used which is applicable irr...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Conference Paper |
| Language: | English |
| Published: |
2009
|
| Online Access: | http://dspace.unimap.edu.my/xmlui/handle/123456789/1405 http://hdl.handle.net/123456789/1405 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Summary: | This paper aims to investigate the long- and short-run relationship of sovereign credit ratings in Malaysia. This study employed quarterly data from 1991 to 2004. A robust and recent time series techniques known as the Unrestricted Error Correction Model – Bound Test was used which is applicable irrespective of whether the regressors are I(0) and I(1). The results show that in the long- run, Debt to GDP, Debt Service to Reserves and US Treasury Bill rate (3-months) appear to have significant impact to Malaysia sovereign credit ratings. The findings of the study show that Malaysia’s long-term ability to pay its debt contains information for prediction of the credit rating. |
|---|