Analysis on the Relationship between Rating and Economic Growth for the European Union Emergent Economies
This article analyses the relationship between
sovereign credit risk rating and gross domestic product for Central
and Eastern European Countries for the period 1996 – 2010. In order
to study the metioned relationship, we have used a numerical
transformation of the risk qualification, thus: we marked 0 the lowest
risk; then, we went on ascending, with a pace of 5, up to the score of
355 corresponding to the maximum risk. The used method of analysis
is that of econometric modelling with EViews 7.0. programme. This
software allows the analysis of data into a pannel type system,
involving a mix of periods of time and series of data for different
entities. The main conclusion of the work is the one confirming the
negative relationship between the sovereign credit risk and the gross
domestic product for the Central European and Eastern countries
during the reviewed period.
[1] J. Amato, and C. Furfine, "Are credit ratings procyclical?" J. Bank.
Financ., vol. 28, no.11, pp. 2641-2677, Nov. 2004.
[2] R. Cantor, and F. Packer, "Determinants and Impact of Sovereign Credit
Rating," FED Reserve Bank Econ. Policy Rev., vol. 2, no. 2, pp. 1 - 15,
Oct. 1996.
[3] R. Cantor, and Ch. Mann, "Measuring the Performance of Corporate
Bond Ratings," unpublished.
[4] M. El-Shagi, "The role of rating agencies in financial crises: event
studies from the Asian flu," Camb. J. Econ. vol. 34, no. 4, pp. 671-685,
Aug. 2009.
[5] European Commission, "European Economic Forecast, 2011,"
unpublished.
[6] European Securities Markets Expert Group, "Role of Credit Rating
Agencies. ESME-s Report to the European Commission, 2008,"
unpublished.
[7] G. Ferri, L.-G. Lui, and J. E. Stiglitz, "The Procyclical Role of Rating
Agencies: Evidence From the East Asian Crisis," Econ. Notes, vol. 28,
no.3, pp 335-355.
[8] FitchRatings, "Definitions of Ratings and Other Scales," unpublished.
[9] FitchRatings, "Sovereign rating history 2012," unpublished.
[10] S. J. Koopman, and A. Lucas, "Business and Default Cycles for Credit
Risk," Tinbergen Institute Discuss. Paper no. 03-062/2, unpublished.
[11] Moody-s Investors Service, "Moodys ratings symbols and definition,"
unpublished.
[12] N. Mora, "Sovereign credit ratings: Guilty beyond reasonable doubt?" J.
Bank. Financ., vol. 30, no. 7, pp. 2041-2062, July 2006.
[13] C. Reinhart, "Default, Currency Crises and Sovereign Credit Ratings,"
NBER Working Paper no. 8738/2002, unpublished.
[14] P. Rowland, "Determinants of Spread, Credit Ratings and
Creditworthiness for Emerging Market Sovereign Debt: A Follow-Up
Study Using Pooled Data Analysis," unpublished.
[15] Securities and Exchange Commission, "Summary Report of Issues
Identified in the Commission Staff-s Examinations of Select Credit
Rating Agencies, 2008," unpublished.
[16] G. Setty, and R. Dodd, "Credit Rating Agencies: Their Impact on
Capital Flows to Developing Countries," Special policy report
no.6/2003, Financ. Policy Forum, unpublished.
[17] Standard and Poor-s, "Sovereign Government Rating Methodology and
Assumptions," unpublished.
[1] J. Amato, and C. Furfine, "Are credit ratings procyclical?" J. Bank.
Financ., vol. 28, no.11, pp. 2641-2677, Nov. 2004.
[2] R. Cantor, and F. Packer, "Determinants and Impact of Sovereign Credit
Rating," FED Reserve Bank Econ. Policy Rev., vol. 2, no. 2, pp. 1 - 15,
Oct. 1996.
[3] R. Cantor, and Ch. Mann, "Measuring the Performance of Corporate
Bond Ratings," unpublished.
[4] M. El-Shagi, "The role of rating agencies in financial crises: event
studies from the Asian flu," Camb. J. Econ. vol. 34, no. 4, pp. 671-685,
Aug. 2009.
[5] European Commission, "European Economic Forecast, 2011,"
unpublished.
[6] European Securities Markets Expert Group, "Role of Credit Rating
Agencies. ESME-s Report to the European Commission, 2008,"
unpublished.
[7] G. Ferri, L.-G. Lui, and J. E. Stiglitz, "The Procyclical Role of Rating
Agencies: Evidence From the East Asian Crisis," Econ. Notes, vol. 28,
no.3, pp 335-355.
[8] FitchRatings, "Definitions of Ratings and Other Scales," unpublished.
[9] FitchRatings, "Sovereign rating history 2012," unpublished.
[10] S. J. Koopman, and A. Lucas, "Business and Default Cycles for Credit
Risk," Tinbergen Institute Discuss. Paper no. 03-062/2, unpublished.
[11] Moody-s Investors Service, "Moodys ratings symbols and definition,"
unpublished.
[12] N. Mora, "Sovereign credit ratings: Guilty beyond reasonable doubt?" J.
Bank. Financ., vol. 30, no. 7, pp. 2041-2062, July 2006.
[13] C. Reinhart, "Default, Currency Crises and Sovereign Credit Ratings,"
NBER Working Paper no. 8738/2002, unpublished.
[14] P. Rowland, "Determinants of Spread, Credit Ratings and
Creditworthiness for Emerging Market Sovereign Debt: A Follow-Up
Study Using Pooled Data Analysis," unpublished.
[15] Securities and Exchange Commission, "Summary Report of Issues
Identified in the Commission Staff-s Examinations of Select Credit
Rating Agencies, 2008," unpublished.
[16] G. Setty, and R. Dodd, "Credit Rating Agencies: Their Impact on
Capital Flows to Developing Countries," Special policy report
no.6/2003, Financ. Policy Forum, unpublished.
[17] Standard and Poor-s, "Sovereign Government Rating Methodology and
Assumptions," unpublished.
@article{"International Journal of Business, Human and Social Sciences:59638", author = "Monica Dudian and Raluca Andreea Popa", title = "Analysis on the Relationship between Rating and Economic Growth for the European Union Emergent Economies", abstract = "This article analyses the relationship between
sovereign credit risk rating and gross domestic product for Central
and Eastern European Countries for the period 1996 – 2010. In order
to study the metioned relationship, we have used a numerical
transformation of the risk qualification, thus: we marked 0 the lowest
risk; then, we went on ascending, with a pace of 5, up to the score of
355 corresponding to the maximum risk. The used method of analysis
is that of econometric modelling with EViews 7.0. programme. This
software allows the analysis of data into a pannel type system,
involving a mix of periods of time and series of data for different
entities. The main conclusion of the work is the one confirming the
negative relationship between the sovereign credit risk and the gross
domestic product for the Central European and Eastern countries
during the reviewed period.", keywords = "credit rating agencies, economic growth, gross
domestic product, sovereign credit risk rating.", volume = "6", number = "4", pages = "603-4", }