Rating Government Bonds: Can We Raise Our Grade?
Yields on sovereign and municipal bonds are largely determined by perceptions of default risk. The traditional providers of default risk assessments are the credit rating agencies, which have of late suffered damaged reputations. The author, a former Senior Director at Moody’s Analytics, argues that rating agency assessments of government bonds suffer from a failure to use modern social science research methods. He contends that economists and other academics are better suited to the task of estimating the likelihood of government bond defaults. Economists can provide an alternative source of analysis by collecting and analyzing time series of fiscal data and building simulations of future revenues and expenditures. To encourage more academics to enter this field, the author is contributing historical data and an open-source simulation platform.
Volume (Year): 9 (2012)
Issue (Month): 3 (September)
|Contact details of provider:|| Postal: |
Phone: (703) 993-1151
Web page: http://econjwatch.org/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Reinhart, Carmen, 2009.
"The Second Great Contraction,"
21485, University Library of Munich, Germany.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "This Time Is Different: Eight Centuries of Financial Folly," Economics Books, Princeton University Press, edition 1, volume 1, number 8973.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2009.
"Varieties of Crises and Their Dates
[This Time Is Different: Eight Centuries of Financial Folly]," Introductory Chapters, Princeton University Press.
- Jens Hilscher & Yves Nosbusch, 2007.
"Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt,"
Money Macro and Finance (MMF) Research Group Conference 2006
114, Money Macro and Finance Research Group, revised 24 Apr 2007.
- Jens Hilscher & Yves Nosbusch, 2010. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Review of Finance, European Finance Association, vol. 14(2), pages 235-262.
- Donald B. Keim & Robert F. Stambaugh, .
"Predicting Returns in the Stock and Bond Markets,"
Rodney L. White Center for Financial Research Working Papers
15-85, Wharton School Rodney L. White Center for Financial Research.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Lawrence E. Harris & Michael S. Piwowar, 2006. "Secondary Trading Costs in the Municipal Bond Market," Journal of Finance, American Finance Association, vol. 61(3), pages 1361-1397, 06.
- Eli M Remolona & Michela Scatigna & Eliza Wu, 2007. "Interpreting sovereign spreads," BIS Quarterly Review, Bank for International Settlements, March.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2007.
"How Sovereign is Sovereign Credit Risk?,"
NBER Working Papers
13658, National Bureau of Economic Research, Inc.
- Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Working Papers 111, Princeton University, Department of Economics, Center for Economic Policy Studies..
- Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 59-82, Winter.
When requesting a correction, please mention this item's handle: RePEc:ejw:journl:v:9:y:2012:i:3:p:350-365. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jason Briggeman)The email address of this maintainer does not seem to be valid anymore. Please ask Jason Briggeman to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.