Modelling sovereign debt ratings for sub-national governments: the case of Spain before and after the crisis
Author
Abstract
Suggested Citation
DOI: 10.1007/s10663-019-09470-5
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Ms. Eva Jenkner & Zhongjin Lu, 2014. "Sub-National Credit Risk and Sovereign Bailouts: Who Pays the Premium?," IMF Working Papers 2014/020, International Monetary Fund.
- Landon, Stuart & Smith, Constance E., 2007. "Government debt spillovers in a monetary union," The North American Journal of Economics and Finance, Elsevier, vol. 18(2), pages 135-154, August.
- Antonio Afonso & Pedro Gomes & Philipp Rother, 2009.
"Ordered response models for sovereign debt ratings,"
Applied Economics Letters, Taylor & Francis Journals, vol. 16(8), pages 769-773.
- António Afonso & Pedro Gomes & Philipp Rother, 2006. "Ordered Response Models for Sovereign Debt Ratings," Working Papers Department of Economics 2006/34, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- Stuart Landon & Constance E. Smith, 2000.
"Government debt spillovers and creditworthiness in a federation,"
Canadian Journal of Economics, Canadian Economics Association, vol. 33(3), pages 634-661, August.
- Stuart Landon & Constance E. Smith, 2000. "Government debt spillovers and creditworthiness in a federation," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 33(3), pages 634-661, August.
- Beck, Roland & Ferrucci, Gianluigi & Hantzsche, Arno & Rau-Göhring, Matthias, 2017.
"Determinants of sub-sovereign bond yield spreads – The role of fiscal fundamentals and federal bailout expectations,"
Journal of International Money and Finance, Elsevier, vol. 79(C), pages 72-98.
- Beck, Roland & Ferrucci, Gianluigi & Hantzsche, Arno & Rau-Goehring, Matthias, 2016. "Determinants of sub-sovereign bond yield spreads: the role of fiscal fundamentals and federal bailout expectations," Working Paper Series 1987, European Central Bank.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2011.
"From Financial Crash to Debt Crisis,"
American Economic Review, American Economic Association, vol. 101(5), pages 1676-1706, August.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2010. "From Financial Crash to Debt Crisis," NBER Working Papers 15795, National Bureau of Economic Research, Inc.
- Guillaume R. Frechette, 2001. "Random-effects ordered probit," Stata Technical Bulletin, StataCorp LP, vol. 10(59).
- Mr. Luc Eyraud & Ms. Marialuz Moreno Badia, 2013. "Too Small to Fail? Subnational Spending Pressures in Europe," IMF Working Papers 2013/046, International Monetary Fund.
- Guillaume R. Frechette, 2001. "Update to random-effects ordered probit," Stata Technical Bulletin, StataCorp LP, vol. 10(61).
- Antonio Afonso, 2003. "Understanding the determinants of sovereign debt ratings: Evidence for the two leading agencies," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(1), pages 56-74, March.
- Lawrence J. White, 2010. "Markets: The Credit Rating Agencies," Journal of Economic Perspectives, American Economic Association, vol. 24(2), pages 211-226, Spring.
- Mora, Nada, 2006. "Sovereign credit ratings: Guilty beyond reasonable doubt?," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2041-2062, July.
- Liu, Pu & Thakor, Anjan V, 1984. "Interest Yields, Credit Ratings, and Economic Characteristics of State Bonds: An Empirical Analysis: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 16(3), pages 344-351, August.
- Philip R. Lane, 2012. "The European Sovereign Debt Crisis," Journal of Economic Perspectives, American Economic Association, vol. 26(3), pages 49-68, Summer.
- Sanket Mohapatra & Manabu Nose & Dilip Ratha, 2018. "Determinants of the distance between sovereign credit ratings and sub-sovereign bond ratings: Evidence from emerging markets and developing economies," Applied Economics, Taylor & Francis Journals, vol. 50(9), pages 934-956, February.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Salvador, Carlos & Pastor, Jose Manuel & Fernández de Guevara, Juan, 2014.
"Impact of the subprime crisis on bank ratings: The effect of the hardening of rating policies and worsening of solvency,"
Journal of Financial Stability, Elsevier, vol. 11(C), pages 13-31.
- Pastor Monsálvez José Manuel & Fernández de Guevara Radoselovics Juan & Salvador Muñoz Carlos, 2012. "Impact of the Subprime Crisis on Bank Ratings: The Effect of the Hardening of Rating Policies and Worsening of Solvency," Working Papers 2012120, Fundacion BBVA / BBVA Foundation.
- Beck, Roland & Ferrucci, Gianluigi & Hantzsche, Arno & Rau-Göhring, Matthias, 2017.
"Determinants of sub-sovereign bond yield spreads – The role of fiscal fundamentals and federal bailout expectations,"
Journal of International Money and Finance, Elsevier, vol. 79(C), pages 72-98.
- Beck, Roland & Ferrucci, Gianluigi & Hantzsche, Arno & Rau-Goehring, Matthias, 2016. "Determinants of sub-sovereign bond yield spreads: the role of fiscal fundamentals and federal bailout expectations," Working Paper Series 1987, European Central Bank.
- Andrés Leal Marcos & Julio López Laborda, 2009. "Efectos externos del endeudamiento sobre la calificación crediticia de las Comunidades Autónomas," Hacienda Pública Española / Review of Public Economics, IEF, vol. 189(2), pages 81-106, June.
- António Afonso & Pedro Gomes & Philipp Rother, 2006.
"What “Hides” Behind Sovereign Debt Ratings?,"
Working Papers Department of Economics
2006/35, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- Afonso, António & Gomes, Pedro & Rother, Philipp, 2007. "What “hides” behind sovereign debt ratings?," Working Paper Series 711, European Central Bank.
- Broto, Carmen & Molina, Luis, 2016.
"Sovereign ratings and their asymmetric response to fundamentals,"
Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 206-224.
- Carmen Broto & Luis Molina, 2014. "Sovereign ratings and their asymmetric response to fundamentals," Working Papers 1428, Banco de España.
- Dumitriu, Ramona & Stefanescu, Răzvan, 2020. "Iluzii financiare, Partea întâi [Financial Illusions, Part 1]," MPRA Paper 101201, University Library of Munich, Germany, revised 17 Jun 2020.
- Rosati, Nicoletta & Bellia, Mario & Matos, Pedro Verga & Oliveira, Vasco, 2020.
"Ratings matter: Announcements in times of crisis and the dynamics of stock markets,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
- Rosati, Nicoletta & Bellia, Mario & Matos, Pedro Verga & Oliviera, Vasco, 2019. "Ratings matter: announcements in times of crisis and the dynamics of stock markets," Working Papers 2019-08, Joint Research Centre, European Commission.
- Slapnik, Ursula & Lončarski, Igor, 2023. "Understanding sovereign credit ratings: Text-based evidence from the credit rating reports," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
- El-Shagi, Makram & von Schweinitz, Gregor, 2017. "Why they keep missing: An empirical investigation of rational inattention of rating agencies," IWH Discussion Papers 1/2017, Halle Institute for Economic Research (IWH), revised 2017.
- Hattori, Takahiro & Miyake, Hiroki, 2015. "Empirical Analysis of Yield Determinants in Japan’s Municipal Bond Market: Does Credit Risk Premium Exist?," MPRA Paper 67127, University Library of Munich, Germany.
- Alsakka, Rasha & ap Gwilym, Owain, 2010. "A random effects ordered probit model for rating migrations," Finance Research Letters, Elsevier, vol. 7(3), pages 140-147, September.
- Purificación Parrado-Martínez & Antonio Partal-Ureña & Pilar Gómez Fernández-Aguado, 2016. "Banking Soundness Indicators and Sovereign Risk in Time of Crisis: The Case of the European Union," The World Economy, Wiley Blackwell, vol. 39(8), pages 1172-1193, August.
- Robert V. Breunig & Tse Chern Chia, 2015. "Sovereign Ratings and Oil-Exporting Countries: The Effect of High Oil Prices on Ratings," International Review of Finance, International Review of Finance Ltd., vol. 15(1), pages 113-138, March.
- Freitag L., 2014. "Default probabilities, CDS premiums and downgrades : A probit-MIDAS analysis," Research Memorandum 038, Maastricht University, Graduate School of Business and Economics (GSBE).
- Nicolas Jannone Bellot, MaLuisa Marti Selva, Leandro Garcia Menendez, 2017. "Herding Behaviour among Credit Rating Agencies," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 2(1), pages 56-83, March.
- Slapnik, Ursula & Lončarski, Igor, 2021. "On the information content of sovereign credit rating reports: Improving the predictability of rating transitions☆," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
- Luitel, Prabesh & Vanpée, Rosanne & De Moor, Lieven, 2016. "Pernicious effects: How the credit rating agencies disadvantage emerging markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 286-298.
- Cuadros-Solas, Pedro Jesús & Salvador Muñoz, Carlos, 2022. "Disentangling the sources of sovereign rating adjustments: An examination of changes in rating policies following the GFC," Research in International Business and Finance, Elsevier, vol. 59(C).
- Wegener, Christoph & Kruse, Robinson & Basse, Tobias, 2019.
"The walking debt crisis,"
Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 382-402.
- Tobias Basse & Robinson Kruse & Christoph Wegener, 2017. "The Walking Debt Crisis," CREATES Research Papers 2017-06, Department of Economics and Business Economics, Aarhus University.
- Stijn Claessens & M. Ayhan Kose, 2013.
"Financial Crises: Explanations, Types and Implications,"
CAMA Working Papers
2013-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Claessens, Stijn & Kose, M. Ayhan, 2013. "Financial Crises: Explanations, Types, and Implications," CEPR Discussion Papers 9329, C.E.P.R. Discussion Papers.
- Mr. Stijn Claessens & Mr. Ayhan Kose, 2013. "Financial Crises Explanations, Types, and Implications," IMF Working Papers 2013/028, International Monetary Fund.
More about this item
Keywords
Regional public debt; Ratings; Sustainability; Economic crisis; Ordered probit models;All these keywords.
JEL classification:
- H70 - Public Economics - - State and Local Government; Intergovernmental Relations - - - General
- H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
- H77 - Public Economics - - State and Local Government; Intergovernmental Relations - - - Intergovernmental Relations; Federalism
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:empiri:v:48:y:2021:i:2:d:10.1007_s10663-019-09470-5. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.