A Importância Dos Fundamentos Nos Ratings Soberanos Brasileiros, 1994-2002
The international financial crises of the 1990s rose doubts on the usefulness of sovereign ratings. The present paper has two aims: identify whether sovereign ratings can be predicted using a small set of macroeconomic fundamentals; and test whether sovereign spreads can be predicted by sovereign ratings and/or fundamentals. In the first case, a good adjustment of an ordered logit model can be obtained using the following indicators: Debt/Exports, Public Sector Net Debt, Gov´t Deficit and Current Account. In the second case, when fundamentals (mostly public sector financial conditions) are included, sovereign ratings do not help predict sovereign spreads.
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- International Monetary Fund, 1998. "The Relative Importance of Political and Economic Variables in Creditworthiness Ratings," IMF Working Papers 98/46, International Monetary Fund.
- Barry Eichengreen & Ashoka Mody, 1998. "What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment?," NBER Working Papers 6408, National Bureau of Economic Research, Inc.
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Bank of England working papers
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- Roberto Perrelli & Christian B. Mulder, 2001. "Foreign Currency Credit Ratings for Emerging Market Economies," IMF Working Papers 01/191, International Monetary Fund.
- Reinhart, Carmen, 2002. "Sovereign Credit Ratings Before and After Financial Crises," MPRA Paper 7410, University Library of Munich, Germany.
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