Informal Sector, ICT Dynamics, and the Sovereign Cost of Debt: A Machine Learning Approach
We examine the main effects of ICT penetration and the shadow economy on sovereign credit ratings and the cost of debt, along with possible second-order effects between the two variables, on a dataset of 65 countries from 2001 to 2016. The paper presents a range of machine-learning approaches, inclu...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-04-01
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| Series: | Computation |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2079-3197/11/5/90 |
| _version_ | 1827741720168628224 |
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| author | Apostolos Kotzinos Vasilios Canellidis Dimitrios Psychoyios |
| author_facet | Apostolos Kotzinos Vasilios Canellidis Dimitrios Psychoyios |
| author_sort | Apostolos Kotzinos |
| collection | DOAJ |
| description | We examine the main effects of ICT penetration and the shadow economy on sovereign credit ratings and the cost of debt, along with possible second-order effects between the two variables, on a dataset of 65 countries from 2001 to 2016. The paper presents a range of machine-learning approaches, including bagging, random forests, gradient-boosting machines, and recurrent neural networks. Furthermore, following recent trends in the emerging field of interpretable ML, based on model-agnostic methods such as feature importance and accumulated local effects, we attempt to explain which factors drive the predictions of the so-called ML black box models. We show that policies facilitating the penetration and use of ICT and aiming to curb the shadow economy may exert an asymmetric impact on sovereign ratings and the cost of debt depending on their present magnitudes, not only independently but also in interaction. |
| first_indexed | 2024-03-11T03:50:06Z |
| format | Article |
| id | doaj.art-c62d8a92f9904134a5db70d53982ce1c |
| institution | Directory Open Access Journal |
| issn | 2079-3197 |
| language | English |
| last_indexed | 2024-03-11T03:50:06Z |
| publishDate | 2023-04-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Computation |
| spelling | doaj.art-c62d8a92f9904134a5db70d53982ce1c2023-11-18T00:58:03ZengMDPI AGComputation2079-31972023-04-011159010.3390/computation11050090Informal Sector, ICT Dynamics, and the Sovereign Cost of Debt: A Machine Learning ApproachApostolos Kotzinos0Vasilios Canellidis1Dimitrios Psychoyios2Department of Industrial Management, University of Piraeus, 107 Deligiorgi Str., 18534 Piraeus, GreeceDepartment of Industrial Management, University of Piraeus, 107 Deligiorgi Str., 18534 Piraeus, GreeceDepartment of Industrial Management, University of Piraeus, 107 Deligiorgi Str., 18534 Piraeus, GreeceWe examine the main effects of ICT penetration and the shadow economy on sovereign credit ratings and the cost of debt, along with possible second-order effects between the two variables, on a dataset of 65 countries from 2001 to 2016. The paper presents a range of machine-learning approaches, including bagging, random forests, gradient-boosting machines, and recurrent neural networks. Furthermore, following recent trends in the emerging field of interpretable ML, based on model-agnostic methods such as feature importance and accumulated local effects, we attempt to explain which factors drive the predictions of the so-called ML black box models. We show that policies facilitating the penetration and use of ICT and aiming to curb the shadow economy may exert an asymmetric impact on sovereign ratings and the cost of debt depending on their present magnitudes, not only independently but also in interaction.https://www.mdpi.com/2079-3197/11/5/90credit ratingssovereign debtshadow economyNRI indexCARTrandom forest |
| spellingShingle | Apostolos Kotzinos Vasilios Canellidis Dimitrios Psychoyios Informal Sector, ICT Dynamics, and the Sovereign Cost of Debt: A Machine Learning Approach Computation credit ratings sovereign debt shadow economy NRI index CART random forest |
| title | Informal Sector, ICT Dynamics, and the Sovereign Cost of Debt: A Machine Learning Approach |
| title_full | Informal Sector, ICT Dynamics, and the Sovereign Cost of Debt: A Machine Learning Approach |
| title_fullStr | Informal Sector, ICT Dynamics, and the Sovereign Cost of Debt: A Machine Learning Approach |
| title_full_unstemmed | Informal Sector, ICT Dynamics, and the Sovereign Cost of Debt: A Machine Learning Approach |
| title_short | Informal Sector, ICT Dynamics, and the Sovereign Cost of Debt: A Machine Learning Approach |
| title_sort | informal sector ict dynamics and the sovereign cost of debt a machine learning approach |
| topic | credit ratings sovereign debt shadow economy NRI index CART random forest |
| url | https://www.mdpi.com/2079-3197/11/5/90 |
| work_keys_str_mv | AT apostoloskotzinos informalsectorictdynamicsandthesovereigncostofdebtamachinelearningapproach AT vasilioscanellidis informalsectorictdynamicsandthesovereigncostofdebtamachinelearningapproach AT dimitriospsychoyios informalsectorictdynamicsandthesovereigncostofdebtamachinelearningapproach |