English, Article, Journal or magazine article edition: A IMPORTÂNCIA DOS FUNDAMENTOS NOS RATINGS SOBERANOS BRASILEIROS, 1994-2002 Rosemarie Bröker Bone

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Bookmark: http://trove.nla.gov.au/version/123221
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A IMPORTÂNCIA DOS FUNDAMENTOS NOS RATINGS SOBERANOS BRASILEIROS, 1994-2002
Author
  • Rosemarie Bröker Bone
Physical Description
  • preprint
Notes
  • The international financial crises of the 1990s rose doubts on the usefulness of sovereign ratings. The present paper has two aims: identify whether sovereign ratings can be predicted using a small set of macroeconomic fundamentals; and test whether sovereign spreads can be predicted by sovereign ratings and/​or fundamentals. In the first case, a good adjustment of an ordered logit model can be obtained using the following indicators: Debt/​Exports, Public Sector Net Debt, Gov´t Deficit and Current Account. In the second case, when fundamentals (mostly public sector financial conditions) are included, sovereign ratings do not help predict sovereign spreads.
  • RePEc:anp:en2005:037
Language
  • English
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