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Has the Crisis Affected the Behavior of the Rating Agencies? Panel Evidence from the Eurozone

Listed author(s):
  • Periklis Boumparis

    ()

    (Department of Economics, University of Macedonia, Greece)

  • Costas Milas

    ()

    (Department of Economics, University of Liverpool, UK; The Rimini Centre for Economic Analysis, Italy)

  • Theodore Panagiotidis

    ()

    (Department of Economics, University of Macedonia, Greece; The Rimini Centre for Economic Analysis, Italy)

We examine the determinants of credit ratings for the Eurozone countries over the period 2002-2013 within a panel framework that allows for cross-sectional dependence. We find that government debt and the cumulative current account exert a stronger impact on ratings post-2008 compared to the period before.

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File URL: http://www.rcfea.org/RePEc/pdf/wp15-30.pdf
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Paper provided by The Rimini Centre for Economic Analysis in its series Working Paper Series with number 15-30.

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Date of creation: Sep 2015
Handle: RePEc:rim:rimwps:15-30
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  1. M. Hashem Pesaran, 2006. "Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure," Econometrica, Econometric Society, vol. 74(4), pages 967-1012, 07.
  2. Miles Livingston & Jie (Diana) Wei & Lei Zhou, 2010. "Moody's and S&P Ratings: Are They Equivalent? Conservative Ratings and Split Rated Bond Yields," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(7), pages 1267-1293, October.
  3. Carmen M. Reinhart & Kenneth S. Rogoff, 2010. "Growth in a Time of Debt," American Economic Review, American Economic Association, vol. 100(2), pages 573-578, May.
  4. Pesaran, M.H., 2004. "‘General Diagnostic Tests for Cross Section Dependence in Panels’," Cambridge Working Papers in Economics 0435, Faculty of Economics, University of Cambridge.
  5. Eduardo Cavallo & Andrew Powell & Roberto Rigobon, 2013. "Do Credit Rating Agencies Add Value? Evidence From The Sovereign Rating Business," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 18(3), pages 240-265, 07.
  6. Markus Eberhardt, 2012. "Estimating panel time-series models with heterogeneous slopes," Stata Journal, StataCorp LP, vol. 12(1), pages 61-71, March.
  7. António Afonso & Pedro Gomes & Philipp Rother, 2011. "Short‐ and long‐run determinants of sovereign debt credit ratings," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 16(1), pages 1-15, 01.
  8. Gros, Daniel, 2011. "External versus Domestic Debt in the Euro Crisis," CEPS Papers 5677, Centre for European Policy Studies.
  9. Ramin P. Baghai & Henri Servaes & Ane Tamayo, 2014. "Have Rating Agencies Become More Conservative? Implications for Capital Structure and Debt Pricing," Journal of Finance, American Finance Association, vol. 69(5), pages 1961-2005, October.
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