Please use this identifier to cite or link to this item: http://ddms.usim.edu.my:80/jspui/handle/123456789/1405
Title: Sovereign Credit Rating and Macroeconomic Variables: An Empirical Analysis on Dynamic Linkages in Malaysia
Authors: Abd. Halim@Hamilton Ahmad
Siti Nurazira Mohd Daud
Ainulashikin Marzuki
Issue Date: 18-Mar-2009
Abstract: 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.
URI: http://hdl.handle.net/123456789/1405
Appears in Collections:Sovereign Credit Rating and Macroeconomic Variables: An Empirical Analysis on Dynamic Linkages in Malaysia

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