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A Importância Dos Fundamentos Nos Ratings Soberanos Brasileiros, 1994-2002

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  • Rosemarie Bröker Bone
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    Abstract

    The international financial crises of the 1990s rose doubts on the usefulness of sovereign ratings. The present paper has two aims: identify whether sovereign ratings can be predicted using a small set of macroeconomic fundamentals; and test whether sovereign spreads can be predicted by sovereign ratings and/or fundamentals. In the first case, a good adjustment of an ordered logit model can be obtained using the following indicators: Debt/Exports, Public Sector Net Debt, Gov´t Deficit and Current Account. In the second case, when fundamentals (mostly public sector financial conditions) are included, sovereign ratings do not help predict sovereign spreads.

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    File URL: http://www.anpec.org.br/encontro2005/artigos/A05A037.pdf
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    Paper provided by ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] in its series Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33th Brazilian Economics Meeting] with number 037.

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    Date of creation: 2005
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    Handle: RePEc:anp:en2005:037

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    1. Reinhart, Carmen, 2002. "Sovereign Credit Ratings Before and After Financial Crises," MPRA Paper 7410, University Library of Munich, Germany.
    2. Pamela Nickell & William Perraudin & Simone Varotto, 2001. "Stability of ratings transitions," Bank of England working papers 133, Bank of England.
    3. International Monetary Fund, 1998. "The Relative Importance of Political and Economic Variables in Creditworthiness Ratings," IMF Working Papers 98/46, International Monetary Fund.
    4. Barry Eichengreen & Ashoka Mody, 1998. "What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment?," NBER Working Papers 6408, National Bureau of Economic Research, Inc.
    5. Richard Cantor & Frank Packer, 1995. "Sovereign credit ratings," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 1(Jun).
    6. Helmut Reisen & Julia von Maltzan, 1999. "Boom and Bust and Sovereign Ratings," OECD Development Centre Working Papers 148, OECD Publishing.
    7. Roberto Perrelli & Christian B. Mulder, 2001. "Foreign Currency Credit Ratings for Emerging Market Economies," IMF Working Papers 01/191, International Monetary Fund.
    8. Hong G. Min, 1998. "Determinants of emerging market bond spread : do economic fundamentals matter?," Policy Research Working Paper Series 1899, The World Bank.
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