Economic policy uncertainty and sovereign credit rating decisions: Panel quantile evidence for the Eurozone

Boumparis, Periklis, Milas, Costas and Panagiotidis, Theodore (2017) Economic policy uncertainty and sovereign credit rating decisions: Panel quantile evidence for the Eurozone. .

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Abstract

We employ a panel quantile framework that quantifies the relative importance of quantitative and qualitative factors across the conditional distribution of sovereign credit ratings in the Eurozone area. We find that regulatory quality and competitiveness have a stronger impact for low rated countries whereas GDP per capita is a major driver of high rated countries. A reduction in the current account deficit leads to a rating or outlook upgrade for low rated countries. Economic policy uncertainty impacts negatively on credit ratings across the conditional distribution; however, the impact is stronger for the lower rated countries. In other words, the creditworthiness of low rated countries takes a much bigger ‘hit’ than that of high rated countries when European policy uncertainty is on the rise.

Item Type:	Conference or Workshop Item (Unspecified)
Additional Information:	Source info: Journal of International Money and Finance, 79, 39-71.
Uncontrolled Keywords:	Credit ratings, Sovereign debt, Panel quantile, Eurozone, Uncertainty
Depositing User:	Symplectic Admin
Date Deposited:	29 Mar 2017 08:26
Last Modified:	15 Mar 2024 20:39
DOI:	10.1016/j.jimonfin.2017.08.007
Related URLs:	Author
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3006557

Available Versions of this Item

• On Economic Policy Uncertainty and Sovereign Credit Rating Decisions: Panel Quantile Evidence for the Eurozone. (deposited 15 Mar 2017 13:52)
  • Economic policy uncertainty and sovereign credit rating decisions: Panel quantile evidence for the Eurozone. (deposited 29 Mar 2017 08:26) [Currently Displayed]