Non-Linear Determinants of Developing Countries’ Sovereign Ratings: Evidence from a Panel Threshold Regression (PTR) Model

This paper investigates the non-linear effects produced by main determinants of sovereign ratings issued Moody’s agency. Using a sample 29 countries observed over 2000–2019 period, we identify factors leading country to be classified, respectively, in speculative, moderately and highly speculative grades. The fixed effect logit estimates reveal that independent variables on are largely different from one class assets another. second contribution this study is it highlights macroeconomic probability downgrading investment grade grade. Panel threshold regression (PTR) results control corruption, external debt, government effectiveness, domestic credits producing such effects.