Do fiscal imbalances deteriorate sovereign debt ratings?
AbstractWe use sovereign debt rating estimations from Afonso, Gomes and Rother (2009, 2010) 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. We use macro and fiscal data up to 2009, and macro and fiscal projections, to 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 InfoPaper provided by ISEG - School of Economics and Management, Department of Economics, University of Lisbon in its series Working Papers Department of Economics with number 2010/24.
Date of creation: Nov 2010
Date of revision:
Contact details of provider:
Postal: Department of Economics, ISEG - School of Economics and Management, University of Lisbon, Rua do Quelhas 6, 1200-781 LISBON, PORTUGAL
Web page: https://aquila1.iseg.ulisboa.pt/aquila/departamentos/EC
credit ratings; sovereign debt; rating agencies.;
Other versions of this item:
- António Afonso & Pedro Gomes, 2011. "Do Fiscal Imbalances Deteriorate Sovereign Debt Ratings ?," Revue économique, Presses de Sciences-Po, vol. 62(6), pages 1123-1134.
- 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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- 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.
- 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.
- 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.
- 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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