A IMPORTÂNCIA DOS FUNDAMENTOS NOS RATINGS SOBERANOS BRASILEIROS, 1994-2002

Rosemarie Bröker Bone

Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting] from ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics]

Abstract: The international financial crises of the 1990s rose doubts on the usefulness of sovereign ratings. The present paper has two aims: identify whether sovereign ratings can be predicted using a small set of macroeconomic fundamentals; and test whether sovereign spreads can be predicted by sovereign ratings and/or fundamentals. In the first case, a good adjustment of an ordered logit model can be obtained using the following indicators: Debt/Exports, Public Sector Net Debt, Gov´t Deficit and Current Account. In the second case, when fundamentals (mostly public sector financial conditions) are included, sovereign ratings do not help predict sovereign spreads.

JEL-codes: E66 G14 (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-dcm, nep-fin and nep-fmk
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Citations: View citations in EconPapers (2)

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