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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. 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.
  2. António Afonso, 2013. "Anatomy of a fiscal débacle: the case of Portugal," Working Papers 2013/01, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon..
  3. António Afonso & Ana Sofia Nunes, 2013. "Economic forecasts and sovereign yields," Working Papers 2013/02, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon..

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