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The Impact of Sovereign Credit Ratings on the Issuance of Government Bonds in Central and Eastern Europe

Author

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  • Ion STANCU

    (Bucharest Academy of Economic Studies)

  • Ana-Maria MINESCU

    (UniCredit Tiriac Bank)

Abstract

The current research paper aims to assess the impact of sovereign credit ratings on the issuance of government bonds in Central and Eastern Europe. The personal analysis is performed on a sample of government bonds issued by Turkey, Hungary, Czech Republic, Slovak Republic, Poland, Romania and Russia between 2000-2010. The sample includes issues in several currencies (EUR, USD, GBP, JPY, CHF, CZK, PLN, TRY, RUB, RON, HUF). The research paper consists of two different analyses. The first one assesses the degree in which the variation in the initial yield of government bonds issued in one particular currency can be explained by using explanatory variables such as: inflation, sovereign rating corresponding to the issuing country, and the state of crisis (this analysis is performed for each currency separately). The second analysis assesses the degree in which the variation in the maturity of the government bonds issued by a certain country can be explained by using explanatory variables such as: inflation, sovereign rating on the date of issuance, and the state of crisis.

Suggested Citation

  • Ion STANCU & Ana-Maria MINESCU, 2011. "The Impact of Sovereign Credit Ratings on the Issuance of Government Bonds in Central and Eastern Europe," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(6(559)), pages 5-26, June.
    • Handle: RePEc:agr:journl:v:6(559):y:2011:i:6(559):p:5-26
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    Cited by:

    1. Fahad Bashir & Omar Masood & Abdullah Imran Sahi, 2017. "Sovereign Credit Rating Changes and Its Impact on Financial Markets of Europe during Debt Crisis Period in Greece and Ireland," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 7(4), pages 146-159, October.

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