Macroeconomic Variables, Government Effectiveness and Sovereign Credit Rating: A Case of Egypt

Badr, Osama M.; El-khadrawi, Ahmed F.

doi:10.11114/aef.v3i4.1632

Cited by 2 publications

(1 citation statement)

References 10 publications

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“…The interaction between macroeconomic variables and sovereign risk was analysed by Badr and El-khadrawi (2016). Sovereign credit ratings give information about the country's ability to meet its financial obligations.…”

Section: The Role Of Macroeconomic Variables In Sovereign Riskmentioning

confidence: 99%

The Role of Macroeconomic Variables in Sovereign Risk

Zairis¹,

Zairis²

2020

IEB

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The sovereign debt market has gathered a lot of attention post the global financial recession therefore it is very important to study how the countries of the eurozone countries can be shielded from all internal and external risks. This can be achieved by examining the macroeconomic determinants of the sovereign risk. Based on the results of the panel regression, it becomes evident which financial indicators are contributing to the sovereign risk. In terms of the stochastic properties, when homogeneity is assumed among the cross-sectional units, all the variables appeared to be level stationary except for the total government bond yield. However, when heterogeneity is assumed among the countries, variables such total government bond yield, GDS as a percentage of GDP, total credit to private sector, employment as a ratio to total GDP, and bank credit are level none stationary. Consequently, these findings will help identify the variables that can be used to approximate the movement of the government bond yield.

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Section: The Role Of Macroeconomic Variables In Sovereign Riskmentioning

confidence: 99%

The Role of Macroeconomic Variables in Sovereign Risk

Zairis¹,

Zairis²

2020

IEB

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Sovereign Credit Risk in Saudi Arabia, Morocco and Egypt

Abid,

Abid

2024

JRFM

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The purpose of this paper is to assess and predict sovereign credit risk for Egypt, Morroco and Saudi Arabia using credit default swap (CDS) spreads obtained from the DataStream database for the period from 2009 to 2022. Our approach consists of generating the implied default probability and the corresponding credit rating in order to estimate the term structure of the implied default probability using the Nelson–Siegel model. In order to validate the prediction from the probability term structure, we calculate the transition matrices based on the implied rating using the homogeneous Markov model. The main results show that, overall, the probabilities of defaulting in the long term are higher than those in the short term, which implies that the future outlook is more pessimistic given the events that occurred during the study period. Egypt seems to be the country with the most fragile economy, especially after 2009, likely because of the political events that marked the country at that time. The economies of Morocco and Saudi Arabia are more resilient in terms of both default probability and credit rating. These findings can help policymakers develop targeted strategies to mitigate economic risks and enhance stability, and they provide investors with valuable insights for managing long-term investment risks in these countries.

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Macroeconomic Variables, Government Effectiveness and Sovereign Credit Rating: A Case of Egypt

Cited by 2 publications

References 10 publications

The Role of Macroeconomic Variables in Sovereign Risk

The Role of Macroeconomic Variables in Sovereign Risk

Sovereign Credit Risk in Saudi Arabia, Morocco and Egypt

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