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Do Fiscal Imbalances Deteriorate Sovereign Debt Ratings ?

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Listed:
  • António Afonso
  • Pedro Gomes

Abstract

We use sovereign debt rating estimations from Afonso, Gomes and Rother [2009, 2011] 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. With macro and fiscal data up to 2009, and macro and fiscal projections up to 2012, we 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.

Suggested Citation

  • António Afonso & Pedro Gomes, 2011. "Do Fiscal Imbalances Deteriorate Sovereign Debt Ratings ?," Revue économique, Presses de Sciences-Po, vol. 62(6), pages 1123-1134.
    • Handle: RePEc:cai:recosp:reco_626_1123
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    Cited by:

    1. 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.
    2. Emilian C. Miricescu & Lucian Ţâţu & Delia Cornea, 2016. "The Determinants of the Sovereign Debt Rating: Evidence for the European Union Countries," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(1), pages 175-188.
    3. Simona VINEREAN, 2013. "From Liquidity Crisis to Sovereign Debt Crisis," Expert Journal of Finance, Sprint Investify, vol. 1(1), pages 19-27, December.
    4. António Afonso, 2013. "Anatomy of a fiscal débacle: the case of Portugal," Working Papers Department of Economics 2013/01, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    5. Duygun, Meryem & Ozturk, Huseyin & Shaban, Mohamed, 2016. "The role of sovereign credit ratings in fiscal discipline," Emerging Markets Review, Elsevier, vol. 27(C), pages 197-216.
    6. Afonso, António & Nunes, Ana Sofia, 2015. "Economic forecasts and sovereign yields," Economic Modelling, Elsevier, vol. 44(C), pages 319-326.
    7. repec:gei:jnlfer:v:2:y:2017:i:1:p:56-83 is not listed on IDEAS
    8. Huseyin Ozturk*, 2014. "The origin of bias in sovereign credit ratings: reconciling agency views with institutional quality," Journal of Developing Areas, Tennessee State University, College of Business, vol. 48(4), pages 161-188, October-D.

    More about this item

    JEL classification:

    • 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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