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...
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my.usim-14052015-07-06T04:37:04Z Sovereign Credit Rating and Macroeconomic Variables: An Empirical Analysis on Dynamic Linkages in Malaysia Abd. Halim@Hamilton Ahmad Siti Nurazira Mohd Daud Ainulashikin Marzuki 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. 2009-03-18T10:34:26Z 2009-03-18T10:34:26Z 2009-03-18T10:34:26Z Conference Paper http://hdl.handle.net/123456789/1405 en |
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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. |
format |
Conference Paper |
author |
Abd. Halim@Hamilton Ahmad Siti Nurazira Mohd Daud Ainulashikin Marzuki |
spellingShingle |
Abd. Halim@Hamilton Ahmad Siti Nurazira Mohd Daud Ainulashikin Marzuki Sovereign Credit Rating and Macroeconomic Variables: An Empirical Analysis on Dynamic Linkages in Malaysia |
author_facet |
Abd. Halim@Hamilton Ahmad Siti Nurazira Mohd Daud Ainulashikin Marzuki |
author_sort |
Abd. Halim@Hamilton Ahmad |
title |
Sovereign Credit Rating and Macroeconomic Variables: An Empirical Analysis on Dynamic Linkages in Malaysia |
title_short |
Sovereign Credit Rating and Macroeconomic Variables: An Empirical Analysis on Dynamic Linkages in Malaysia |
title_full |
Sovereign Credit Rating and Macroeconomic Variables: An Empirical Analysis on Dynamic Linkages in Malaysia |
title_fullStr |
Sovereign Credit Rating and Macroeconomic Variables: An Empirical Analysis on Dynamic Linkages in Malaysia |
title_full_unstemmed |
Sovereign Credit Rating and Macroeconomic Variables: An Empirical Analysis on Dynamic Linkages in Malaysia |
title_sort |
sovereign credit rating and macroeconomic variables: an empirical analysis on dynamic linkages in malaysia |
publishDate |
2009 |
url |
http://dspace.unimap.edu.my/xmlui/handle/123456789/1405 http://hdl.handle.net/123456789/1405 |
_version_ |
1645151163160461312 |
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13.18916 |