On the Self-Fulfilling Prophecy of Changes in Sovereign Ratings
AbstractWe empirically investigate the dynamic interactions between sovereign ratings and the macroeconomic environment. We use a Panel VAR on annual data for European countries from 1986-2010. Our results provide evidence for a significant two-way interaction between the macroeconomic environment and changes in sovereigns' ratings. Thus, rating changes are able to exacerbate a country's boom-bust cycle.
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Date of creation: 09 Feb 2012
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sovereign ratings; Panel VAR; self-fulfilling prophecy.;
Other versions of this item:
- Schumacher, Ingmar, 2014. "On the self-fulfilling prophecy of changes in sovereign ratings," Economic Modelling, Elsevier, vol. 38(C), pages 351-356.
- Ingmar Schumacher, 2014. "On the Self-Fulfilling Prophecy of Changes in Sovereign Ratings," Working Papers 2014-051, Department of Research, Ipag Business School.
- E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
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