Autor(es):
Afonso, António 
; Gomes, Pedro
Data: 2010
Identificador Persistente: http://hdl.handle.net/10400.5/2864
Origem: Repositório da UTL
Assunto(s): Credit ratings; Sovereign debt; Rating agencies
Detalhes do Documento
Do fiscal imbalances deteriorate sovereign debt ratings?
Descrição
We use sovereign debt rating estimations from Afonso, Gomes and Rother (2009, 2010) 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. We use macro and fiscal data up to 2009, and macro and fiscal projections, to 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.
We use sovereign debt rating estimations from Afonso, Gomes and Rother (2009, 2010) 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. We use macro and fiscal data up to 2009, and macro and fiscal projections, to 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.
Tipo de Documento
Outro
Idioma Inglês
Idioma Inglês
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