An explained extreme gradient boosting approach for identifying the time-varying determinants of sovereign risk

•We use a combination of Extreme Gradient Boosting and SHAP Additive Explanations to uncover the determinants of sovereign risk.•We identify year-by-year determinants of sovereign credit risk.•Key variables driving sovereign risk have remained relatively stable over time and exhibit similarities in both liquidity and solvency components.•Various macroeconomic fundamentals play a crucial role.•After the GFC, the relative importance of macroeconomic variables has diminished, giving way to institutional variables.