On the self-fulfilling prophecy of changes in sovereign ratings

Ingmar Schumacher

Economic Modelling, 2014, vol. 38, issue C, 351-356

Abstract: We empirically investigate the dynamic interactions between sovereign ratings and the macroeconomic environment using a Panel VAR on annual data for European countries from 1996 to 2013. 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: Sovereign ratings; Panel VAR; Self-fulfilling prophecy (search for similar items in EconPapers)
JEL-codes: C33 E6 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (11)

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Working Paper: On the Self-Fulfilling Prophecy of Changes in Sovereign Ratings (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:38:y:2014:i:c:p:351-356

DOI: 10.1016/j.econmod.2014.01.012

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