On the self-fulfilling prophecy of changes in sovereign ratings

We empirically investigate the dynamic interactions between sovereign ratings and the macroeconomic environment using a Panel VAR on annual data for European countries from 1996 to 2013. Our results provide evidence for a significant two-way interaction between the macroeconomic environment and changes in sovereigns' ratings. Thus, rating changes are able to exacerbate a country's boom–bust cycle.

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Year of publication:	2014
Authors:	Schumacher, Ingmar
Published in:	Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 38.2014, C, p. 351-356
Publisher:	Elsevier
Subject:	Sovereign ratings \| Panel VAR \| Self-fulfilling prophecy

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Type of publication:	Article
Classification:	E6 - Macroeconomic Policy Formation, Macroeconomic Aspects of Public Finance, Macroeconomic Policy, and General Outlook ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010753362