Stefanos Dimitrakopoulos and Michalis Kolossiatis, "State Dependence and 
Stickiness of Sovereign Credit Ratings: Evidence from a Panel of 
Countries", Journal of Applied Econometrics, Vol. 31, No. 6, 2016,
pp. 1065-1082.

Data for the European Crisis:

We use Moody's long term foreign currency sovereign credit ratings, as
of 31st of December of each year for a panel of 62 (developed and
developing) countries.Our rating database covers the period 2000 to
2011. The rating history on foreign currency government bonds was
obtained from Moody's upon request.

Explanatory Variables list:

GDP growth (annual %)     obtained from the World Bank (World Development
                          Indicators)

Inflation, consumer prices (annual %)   obtained from the World Bank (World
                                        Development Indicators)

Political Stability and Absence of Violence/Terrorism index   obtained from the
                                  World Bank (Worldwide Governance Indicators)

Regulatory Quality index   obtained from the World Bank (Worldwide Governance
                           Indicators)

Unemployment rate (Percent of total labor force)   obtained from the
                           International Monetary Fund (World Economic Outlook)

General government net lending/borrowing (Percent of GDP)   obtained from the
                           International Monetary Fund (World Economic Outlook)

General government gross debt (Percent of GDP)   obtained from the
                           International Monetary Fund (World Economic Outlook)

Current account balance	(Percent of GDP)   obtained from the International
                           Monetary Fund (World Economic Outlook)
   

The missing data on political variables (Political Stability,
Regulatory Quality) for the year 2001 were interpolated.


The countries included in our sample are: Argentina, Australia,
Austria, Belgium, Brazil, Bulgaria, Canada, China, Colombia, Costa
Rica, Cyprus, Czech Republic, Denmark, Dominican Republic, El
Salvador, Fiji Islands, Finland, France, Germany, Greece, Honduras, 
Iceland, Indonesia, Ireland, Israel, Italy, Japan, Jordan, Korea,
Latvia, Lithuania, Luxembourg, Malaysia, Malta, Mauritius, Mexico,
Moldova, Morocco, Norway, Pakistan, Panama, Paraguay, Peru,
Philippines, Poland, Portugal, Romania, Russia, Saudi Arabia,
Singapore, Slovenia, South Africa, Spain, Sweden, Switzerland,
Thailand, Tunisia, Venezuela, United Kingdom, Netherlands, Hungary,
New zealand.  

The above ordering of the countries is preserved in the file 
data-European_crisis.txt, which contains the full data set for the
European debt crisis. So, the first 12 observations refer to
Argentina, the next 12 observations refer to Australia, and so forth.
This file is an ASCII text file (tab delimited) in DOS format and is
zipped in the file dk-data.zip.


Data for the EAst Asian Crisis Crisis:

We use Moody's long term foreign currency sovereign credit ratings, as
of 31st of December of each year for a panel of 25 countries. Our
rating database covers the period 1991-2004. The rating history on
foreign currency government bonds was obtained from Moody's upon
request. 

Explanatory Variables list:

GDP growth (annual %)   obtained from the World Bank (World Development
                        Indicators)

Inflation, consumer prices (annual %)   obtained from the World Bank
                                        (World Development Indicators)

Unemployment rate (Percent of total labor force)   obtained from the
                        International Monetary Fund (World Economic Outlook)

General government revenue (Percent of GDP)   obtained from the International
                        Monetary Fund (World Economic Outlook)
			
General government total expenditure (Percent of GDP)   obtained from the
                        International Monetary Fund (World Economic Outlook)

Current account balance	(Percent of GDP)   obtained from the International
                        Monetary Fund (World Economic Outlook)


The countries included in our sample are: Australia, Austria, Belgium,
Canada, China, Denmark, Finland, France, Germany, Greece, Hong Kong,
Iceland, Italy, Japan, Malaysia, Mexico, New zealand, Norway,
Portugal, Singapore, Spain, Sweden, Switzerland, United Kingdom, 
United States.

The above ordering of the countries is preserved in the file 
data-Asian_crisis.txt, which contains the full data set for the East
Asian crisis. So, the first 14 observations refer to Australia, the
next 14 observations refer to Austria and so forth. This file is an
ASCII text file (tab delimited) in DOS format and is zipped in the
file dk-data.zip.