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|Title:||Sovereign Credit Rating and Macroeconomic Variables: An Empirical Analysis on Dynamic Linkages in Malaysia|
|Authors:||Abd. Halim@Hamilton Ahmad|
Siti Nurazira Mohd Daud
|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.|
|Appears in Collections:||Sovereign Credit Rating and Macroeconomic Variables: An Empirical Analysis on Dynamic Linkages in Malaysia|
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