Afonso, A. and Gomes, Pedro (2011) Do fiscal imbalances deteriorate sovereign debt ratings ? Revue économique 62 (6), pp. 1123-1134. ISSN 0035-2764.
|
Text
Revue.pdf - Author's Accepted Manuscript Download (519kB) | Preview |
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 2010, and macro and fiscal projections, 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.
Metadata
| Item Type: | Article |
|---|---|
| Keyword(s) / Subject(s): | credit ratings; sovereign debt; rating agencies. |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Research Centres and Institutes: | Applied Macroeconomics, Birkbeck Centre for |
| Depositing User: | Pedro Gomes |
| Date Deposited: | 12 Oct 2017 09:06 |
| Last Modified: | 02 Aug 2023 17:36 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/20035 |
Statistics
Additional statistics are available via IRStats2.
Archive Staff Only (login required)
