DETERMINANTS OF SOVEREIGN CREDIT RATINGS: THE CASE OF INDONESIA AND PEER GROUP COUNTRIES

This paper aims to identify the predominant determinants of sovereign credit ratings in Indonesia and its peer countries from 2004 2019 by considering GDP per capita, official reserve, government debt, Current Account Balance, Credit Default Swap (CDS), Sovereign Rating used three major rating agencies. CDS is considered a newly proposed variable with predicting capacity as measure default. ratings, which are forward-looking measures probability default provided agencies, being criticized for their predictive incorporation historical data information assessment. Therefore, this study also explores possible effect capacity, CDS, pure The correlations among variables were analyzed Panel Vector Autoregressive (PVAR) all treated endogenous interdependent. empirical results demonstrate that tested, Per Capita, Government Debt, variable, have statistically stronger relationships rating. authority manages engagement agencies expected develop more focused strategy when taking aspect into account. Keywords: Financial Market, Agencies, Risk, VAR, DOI： https://doi.org/10.35741/issn.0258-2724.58.1.78