Sovereign credit ratings in the European Union: a model-based fiscal analysis

Michael Wickens and Vito Polito

No 9665, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We propose a model-based measure of sovereign credit ratings derived solely from the fiscal position of a country: a forecast of its future debt liabilities, and its potential to use tax policy to repay these. We use this measure to calculate credit ratings for fourteen European countries over the period 1995-2012. This measure identifies a European sovereign debt crisis almost two years before the official ratings of the credit rating agencies.

Keywords: Credit risk; Default probability; Fiscal policy; Sovereign risk (search for similar items in EconPapers)
JEL-codes: E62 H30 H60 (search for similar items in EconPapers)
Date: 2013-09
New Economics Papers: this item is included in nep-eec, nep-fmk and nep-mac
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Citations: View citations in EconPapers (8)

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Journal Article: Sovereign credit ratings in the European Union: A model-based fiscal analysis (2015)
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