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Do Fiscal Imbalances Deteriorate Sovereign Debt Ratings?


Antonio Afonso


University of Lisbon - ISEG (School of Economics and Management); UECE (Research Unit on Complexity and Economics)

Pedro M. Gomes Sr.


Universidad Carlos III

November 26, 2010

ISEG Economics Working Paper 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.

Number of Pages in PDF File: 31

Keywords: Credit Ratings, Sovereign Debt, Rating Agencies

JEL Classification: C23, E44, G15

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Date posted: November 27, 2010  

Suggested Citation

Afonso, Antonio and Gomes, Pedro M., Do Fiscal Imbalances Deteriorate Sovereign Debt Ratings? (November 26, 2010). ISEG Economics Working Paper No. 24/2010/DE/UECE. Available at SSRN: http://ssrn.com/abstract=1715850 or http://dx.doi.org/10.2139/ssrn.1715850

Contact Information

Antonio Afonso (Contact Author)
University of Lisbon - ISEG (School of Economics and Management) ( email )
R. Miguel Lupi, 20
Lisbon, 1248-078
Portugal
+351 21 392 5985 (Phone)
+351 21 396 6407 (Fax)
HOME PAGE: http://www.iseg.utl.pt/~aafonso/AAWeb.html
UECE (Research Unit on Complexity and Economics)
Rua Miguel Lupi 20
Lisbon, 1249-078
Portugal
+351-213 925 912 (Phone)
+351-213 971 196 (Fax)
HOME PAGE: http://www.iseg.utl.pt/~uece/
Pedro M. Gomes Sr.
Universidad Carlos III ( email )
Madrid, WC2A 2AE
Spain
HOME PAGE: http://www.eco.uc3m.es/~pgomes/
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