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Please use this identifier to cite or link to this item: http://hdl.handle.net/10400.5/2864

Title: Do fiscal imbalances deteriorate sovereign debt ratings?
Authors: Afonso, António
Gomes, Pedro
Keywords: Credit ratings
Sovereign debt
Rating agencies
Issue Date: 2010
Publisher: ISEG - Departamento de Economia
Citation: Afonso, António e Pedro Gomes. 2010. "Do fiscal imbalances deteriorate sovereign debt ratings?". 2010. Instituto Superior de Economia e Gestão. DE Working papers; nº24-2010/DE/UECE
Series/Report no.: DE Working papers;nº 24-2010/DE/UECE
Abstract: 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.
URI: http://hdl.handle.net/10400.5/2864
ISSN: 0874-4548
Appears in Collections:UECE - Documentos de Trabalho / UECE - Working Papers
DE - Documentos de trabalho / Working Papers

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