Non-performing loans and sovereign credit ratings
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DOI: 10.1016/j.irfa.2019.06.002
Abstract: This paper examines the joint behaviour of sovereign ratings and their macroeconomic/financial determinants (namely uncertainty, GDP growth, government debt-to-GDP ratio, investment-to-GDP ratio and the fiscal balance-to-GDP ratio) in a multivariate Panel Vector Autoregressive (PVAR) framework.… read more here.
Keywords: performing loans; loans sovereign; gdp ratio; non performing ... See more keywords