Document details

Euro crisis : have been the european countries downgraded in excess?

Author(s): Costa, Joana Soares

Date: 2013

Persistent ID: http://hdl.handle.net/10400.14/13583

Origin: Veritati - Repositório Institucional da Universidade Católica Portuguesa

Subject(s): Rating; Credit rating agencies; Linear transformation; Logistic transformation; Inertia of ratings; Domínio/Área Científica::Ciências Sociais::Economia e Gestão; Domínio/Área Científica::Ciências Sociais::Economia e Gestão; Domínio/Área Científica::Ciências Sociais::Economia e Gestão


Description

This dissertation studies the determinants of the European debt ratings through macroeconomic data and whether those ratings were excessively downgraded during the Euro debt crisis. The results show that, according to previous studies, most of the assigned ratings matched predicted ratings during the crisis period. Ratings are also found to be strongly influenced by changes in the variable gross debt. However, only Portugal and Ireland have been downgraded excessively during the crisis period and Moody’s is the credit rating agency which has higher downgrades. Furthermore, the empirical finds show non-sticky ratings.

Document Type Master thesis
Language English
Advisor(s) Kokkonen, Joni
Contributor(s) Costa, Joana Soares
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