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Authors
Advisor(s)
Abstract(s)
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.
Description
Keywords
Credit Ratings Sovereign Debt Rating Agencies
Pedagogical Context
Citation
Afonso, António e Pedro Gomes. 2010. "Do fiscal imbalances deteriorate sovereign debt ratings?". 2010. Instituto Superior de Economia e Gestão. DE Working papers nº 24-2010/DE/UECE
Publisher
ISEG - Departamento de Economia