Il possibile impatto dei rating emessi dalle agenzie e un’analisi dei giudizi sul debito sovrano emessi da Standard & Poor's. (The potential impact of credit rating agencies: an analysis of Standard & Poor's ratings of sovereign debt)

Marco Langiulli ()
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Marco Langiulli: Sapienza Universita' di Roma

Moneta e Credito, 2014, vol. 67, issue 268, 429-456

Abstract: Le valutazioni sul debito sovrano emesse dalle agenzie di rating del credito possono avere una grande influenza sulle aspettative degli investitori. Durante la crisi del debito europeo, i paesi periferici della zona euro sono stati ripetutamente retrocessi. Secondo molti economisti, questi giudizi severi non erano sempre giustificati sulla base dei fondamenti economici. In questo articolo utilizziamo modelli econometrici per mostrare come i giudizi siano diventati più gravi dopo il 2009 e, durante questo periodo, alcuni paesi sono stati sistematicamente giudicati peggiori di altri, indipendentemente dai loro fondamentali economici. Ratings on sovereign debt issued by Credit Rating Agencies may have a great influence on investors' expectations. During the European Debt crisis, peripheral Eurozone countries were repeatedly downgraded. According to many economists, these severe judgments were not always justified on the basis of economic fundamentals. In this paper we use econometric models to show how judgments became more severe after 2009 and that, during this period, some countries were systematically rated worse than others, independently of their economic fundamentals.

Keywords: Sovereign debt Ratings; debt crisis; ordered probit; Multiple Equilibria; Self-fulfilling prophecies (search for similar items in EconPapers)
Date: 2014
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