On the Self-Fulfilling Prophecy of Changes in Sovereign Ratings

Ingmar Schumacher

Working Papers from HAL

Abstract: We empirically investigate the dynamic interactions between sovereign ratings and the macroeconomic environment. We use a Panel VAR on annual data for European countries from 1986-2010. Our results provide evidence for a significant two-way interaction between the macroeconomic environment and changes in sovereigns' ratings. Thus, rating changes are able to exacerbate a country's boom-bust cycle.

Keywords: self-fulfilling prophecy; sovereign ratings; Panel VAR; self-fulfilling prophecy. (search for similar items in EconPapers)
Date: 2012-02-09
New Economics Papers: this item is included in nep-eec
Note: View the original document on HAL open archive server: https://hal.science/hal-00668284
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Journal Article: On the self-fulfilling prophecy of changes in sovereign ratings (2014)
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