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Análisis de las calificaciones de riesgo soberano: el caso uruguayo

Author

Listed:
  • Fernando Borraz

    (Banco Central del Uruguay y Departamento de Economía, Facultad de Ciencias Sociales, Universidad de la República)

  • Alejandro Fried

    (Banco Central del Uruguay)

  • Diego Gianelli

    (Banco Central del Uruguay y Departamento de Economía, Facultad de Ciencias Sociales, Universidad de la República)

Abstract

Analizamos las calificaciones de deuda soberana a partir de modelos logit para una muestra de 53 países entre 2000 y 2010. Dado que la literatura sobre el tema omite un tratamiento diferencial para variables explicativas no estacionarias incorporamos un factor de tendencia que interactúa con el nivel de actividad para balancear las ecuaciones. Concluimos que las calificaciones de deuda soberana dependen de un conjunto de variables macroeconómicas e institucionales y que Uruguay al cierre del 2010 contaba con meritos suficientes para acceder al Grado Inversor. Sin perjuicio de ello, el alto nivel de dolarización interactuaría con los restantes fundamentos generándole a su calificación una alta volatilidad cíclica.

Suggested Citation

  • Fernando Borraz & Alejandro Fried & Diego Gianelli, 2011. "Análisis de las calificaciones de riesgo soberano: el caso uruguayo," Documentos de Trabajo (working papers) 2111, Department of Economics - dECON.
    • Handle: RePEc:ude:wpaper:2111
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    File URL: https://hdl.handle.net/20.500.12008/2212
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    Cited by:

    1. Egberto Alexander Riveros Saavedra, 2012. "¿Responde el Banco de la República a los movimientos en la tasa de cambio real?," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 30(69), pages 150-194, December.

    More about this item

    Keywords

    sovereign debt; sovereign credit ratings; investment grade; credit ratings agencies;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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