Do fiscal imbalances deteriorate sovereign debt ratings?

Antonio Afonso and Pedro Gomes

No 2010/24, Working Papers Department of Economics from ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa

Abstract: We use sovereign debt rating estimations from Afonso, Gomes and Rother (2009, 2010) for Fitch, Moody’s, and Standard & Poor’s, to assess to what extent the recent fiscal imbalances are being reflected on the sovereign debt notations. We use macro and fiscal data up to 2009, and macro and fiscal projections, to obtain the expected rating for several OECD countries. The answer to the title question is yes, but in a diverse way for each country. Our average model predictions point to a heterogeneous behaviour of rating agencies across countries.

Keywords: credit ratings; sovereign debt; rating agencies. (search for similar items in EconPapers)
JEL-codes: C23 E44 G15 (search for similar items in EconPapers)
Date: 2010-11
New Economics Papers: this item is included in nep-cba
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Do Fiscal Imbalances Deteriorate Sovereign Debt Ratings ? (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ise:isegwp:wp242010

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