Do Fiscal Imbalances Deteriorate Sovereign Debt Ratings ?
AbstractWe use sovereign debt rating estimations from Afonso, Gomes and Rother [2009, 2011] for Fitch, Moody?s, and Standard & Poor?s, to assess to what extent the recent fiscal imbalances are being reflected on the sovereign debt notations. With macro and fiscal data up to 2009, and macro and fiscal projections up to 2012, we obtain the expected rating for several oecd countries. The answer to the title question is yes, but in a diverse way for each country. Our average model predictions point to a heterogeneous behaviour of rating agencies across countries.
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Bibliographic InfoArticle provided by Presses de Sciences-Po in its journal Revue économique.
Volume (Year): 62 (2011)
Issue (Month): 6 ()
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Other versions of this item:
- António Afonso & Pedro Gomes, 2010. "Do fiscal imbalances deteriorate sovereign debt ratings?," Working Papers Department of Economics 2010/24, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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- Afonso, António & Furceri, Davide & Gomes, Pedro, 2012.
"Sovereign credit ratings and financial markets linkages: Application to European data,"
Journal of International Money and Finance,
Elsevier, vol. 31(3), pages 606-638.
- Afonso, António & Furceri, Davide & Gomes, Pedro, 2011. "Sovereign credit ratings and financial markets linkages: application to European data," Working Paper Series 1347, European Central Bank.
- António Afonso & Davide Furceri & Pedro Gomes, 2011. "Sovereign credit ratings and financial markets linkages: application to European data," Working Papers Department of Economics 2011/14, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
- António Afonso, 2013. "Anatomy of a fiscal débacle: the case of Portugal," Working Papers Department of Economics 2013/01, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
- António Afonso & Ana Sofia Nunes, 2013. "Economic forecasts and sovereign yields," Working Papers Department of Economics 2013/02, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
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