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Valoración crediticia de la deuda de las comunidades autónomas española: una aplicación del análisis discriminante

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Author Info

  • Alfonso Pajuelo Gallego

    (Universidad Nacional de Educación a Distancia (UNED))

  • Joaquín Aurioles Martín

    (Universidad de Málaga)

  • Rogelio Velasco Pérez

    (Universidad de Granada)

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    Abstract

    Using Discriminant Analysis, we carry out an assessment of Moody's and Standard & Poor's ratings of Spanish Regional Governments' debt. We set out four models. The first only includes budgetary variables. The outcome points out Andalusia and Valencia regions have had the tightest budgetary policies. Both regions get the highest rating score. The second model adds income per capita of every region relative to national average and the third one adds the degree of productive diversification of the regions. 111 both cases, the wealthiest and most diversified regions get the top rating positions. The forth model adds the degree of financia1 autonomy measured by the amount of their own revenue relative to total revenue. In this case, the Basque Country, Navarra and, to a lesser extent, Catalonia, rating score are greatly benefited by the introduction of this variable. We must stress that the first model is the only one whose rating score doesn't match that of the rating agencies, Le., the only one just including budgetary variables under the exclusive control of the regional governments. The rest of the models match agencies' ratings. Last, we assign a "theoretical" rating to the regional governments which lack one. The technique used allows to carry out rating predictions. Utilizando la técnica de Análisis Discriminante, se lleva a cabo una valoración de los ratings que las agencias Moody's Standard & Poor's conceden a la Deuda emitida por diversas Comunidades Autónomas españolas. Se definen y contrastan cuatro modelos. En el primero, se introducen exclusivamente variables presupuestarias. El resultado obtenido apunta a las CC.AA. de Andalucía y Valencia como las que más prudentemente han llevado a cabo la política fiscal, consiguiendo la puntuación mas alta, El segundo modelo agrega a las variables del primero el grado de diversificaciónproductiva medido por la aportación de cada sector a la formación del PIB regional. En estos dos casos las CC.AA. con tejido productivo más diversificado y mayor nivel de riqueza relativa alcanzan los primeros puestos en cuanto a puntuación global del rating. Por último, el cuatro modelo añade el grado de autonomía financiera medido por la proporción de ingresos propios en relación a los ingresos totales. País Vasco, Navarra y, en menor medida, Cataluña, aparecen claramente beneficiadas por la introducción de esta variable. Tenemos que destacar que el único modelo que no se ajusta a los ratings asignados por las agencias es el primero, esto es, el que contiene sólo variables presupuestarias que pueden controlar directamente los gobiernos regionales. Los otros tres modelos asigna un rating igual al de las agencias. Por último, se asigna un rating teórico a otras CC.AA. No calificadas. La técnica utilizada permite realizar previsiones de calificación.

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    File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-1996-18.pdf
    File Function: Fisrt version / Primera version, 1996
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    Bibliographic Info

    Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 1996-18.

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    Length: 37 pages
    Date of creation: Dec 1996
    Date of revision:
    Publication status: Published by Ivie
    Handle: RePEc:ivi:wpasec:1996-18

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    Keywords: Deuda pública; rating; comunidades autónomas Public debt; rating; regional economies;

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