Table 8: Political Risk, Economic Risk and Financial Risk

Predicting Country Risk Ratings
A. Country Risk Guide Attributes as a Predictor of
Institutional Investor Country Credit Ratings
Attribute Coefficient T-Stat R-Square
ICRGC 0.2120 7.59 4.99%
ICRGP 0.1244 5.67 2.81%
ICRGF 0.0956 5.69 2.84%
ICRGE 0.0833 4.65 1.88%
Data:
February 1984-September 1995
Semi-annual log changes in attributes
ICRG data lagged by one month
Countries with stock market returns
B. Institutional Investor Country Credit Ratings as
a Predictor of Country Risk Guide Attributes
Attribute Coefficient T-Stat R-Square
ICRGC -0.0115 -1.13 0.12%
ICRGP -0.0087 -0.62 0.04%
ICRGF -0.0585 -4.09 1.44%
ICRGE -0.0198 -0.99 0.00%
Data:
March 1984-October 1995
II Country Credit: semi-annual log change
ICRG: monthly log change
Countries with stock market returns

Last Update: 5/28/96

Name: Campbell R. Harvey