Credit ratings and government bonds: evidence before, during and after the european debt crisis

Description

Submitted by Miguel de Campos Pinto Coelho ([e-mail]) on 2016-03-01T02:08:17Z
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Previous issue date: 2016-01-18 / This project investigates if there was any influence of credit rating agencies and long-term government bond yields on each other before, during and after Europe’s sovereign debt crisis. This is addressed by estimating the relationship and causality between sovereign debt ratings or bond yields and macroeconomic and structural variables following a different procedure to explain ratings and bond yields. It is found evidence that, in distressed periods, ratings and yields do affect one another. This suggests that a rating downgrade might create a self-fulfilling prophecy, leading relatively stable countries to default. / Neste projeto, investigamos se as agências de rating e as taxas de juro de longo prazo da dívida soberana tiveram uma influência recíproca antes, durante e após a crise da dívida soberana Europeia. Esta análise é realizada, estimando a relação existente entre os ratings da dívida soberana ou taxas de juro e factores macroeconomicos e estruturais, através de uma diferente aplicação de metodologias utilizadas para este efeito. Os resultados obtidos demonstram que, no período da crise soberana, os ratings e as taxas de juros tiveram um mútuo impacto, sugerindo que as descidas dos ratings podem ter conduzido a profecias auto-realizáveis, levando países relativamente estáveis a um eventual incumprimento

Links & Downloads

1. COELHO, Miguel de Campos Pinto. Credit ratings and government bonds: evidence before, during and after the european debt crisis. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2016.
2. http://hdl.handle.net/10438/15619

Tags

Europa

Crise dívida soberana

Spreads taxas de juro

Rating soberano

Europe

Debt crisis

Credit rating

Sovereign spreads

Economia

Dívida pública - Europa

Dívida externa

Déficit financeiro - Europa

Taxas de juros

Risco (Economia)

Additional Fields

Identifer	oai:union.ndltd.org:IBICT/oai:bibliotecadigital.fgv.br:10438/15619
Date	18 January 2016
Creators	Coelho, Miguel de Campos Pinto
Contributors	Pereira, João Pedro, Ferreira, Miguel, Escolas::EESP, Mergulhão, João de Mendonça
Source Sets	IBICT Brazilian ETDs
Language	English
Detected Language	English
Type	info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis
Source	reponame:Repositório Institucional do FGV, instname:Fundação Getulio Vargas, instacron:FGV
Rights	info:eu-repo/semantics/openAccess