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Credit Rating Downgrades and Sudden Stops of Capital Flows in the Eurozone

Stefanos Ioannou ()
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Stefanos Ioannou: School of Geography and the Environment, University of Oxford, South Parks Road, Oxford OX1 3QY, UK

Journal of International Commerce, Economics and Policy (JICEP), 2017, vol. 08, issue 03, 1-36

Abstract: The current paper investigates the impact of sovereign ratings on sudden stops of capital in the context of the Eurozone. Our analysis focuses on the qualitative aspect of ratings on the hypothesis that such aspect has a concrete impact on capital movements. A panel probit model is utilized for our purposes. We distinguish between net and gross capital inflows, while we also draw a distinction between long-term and short-term oriented capital. Our results confirm the influence of sovereign ratings for the majority of our model specifications. They also appear to be most significant in the case of short-term flows.

Keywords: Sovereign ratings; eurozone; capital flows; sudden stops; probit model (search for similar items in EconPapers)
Date: 2017
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Journal of International Commerce, Economics and Policy (JICEP) is currently edited by Ramkishen S. Rajan

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Handle: RePEc:wsi:jicepx:v:08:y:2017:i:03:n:s1793993317500168