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Do Fiscal Imbalances Deteriorate Sovereign Debt Ratings ?

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  • António Afonso
  • Pedro Gomes

Abstract

We 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 Info

Article provided by Presses de Sciences-Po in its journal Revue économique.

Volume (Year): 62 (2011)
Issue (Month): 6 ()
Pages: 1123-1134

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Handle: RePEc:cai:recosp:reco_626_1123

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Cited by:
  1. 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.
  2. 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.
  3. 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.
  4. Simona VINEREAN, 2013. "From Liquidity Crisis to Sovereign Debt Crisis," Expert Journal of Finance, Sprint Investify, vol. 1(1), pages 19-27, December.

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