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



Boumparis, P, Milas, KC ORCID: 0000-0002-9789-384X and Panagiotidis, T
(2017) Economic policy uncertainty and sovereign credit rating decisions: Panel quantile evidence for the Eurozone. Journal of International Money and Finance, 79. 39 - 71.

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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: Article
Uncontrolled Keywords: credit ratings, sovereign debt, panel quantile, Eurozone, uncertainty
Depositing User: Symplectic Admin
Date Deposited: 15 Sep 2017 14:08
Last Modified: 03 Mar 2021 10:21
DOI: 10.1016/j.jimonfin.2017.08.007
Related URLs:
URI: https://livrepository.liverpool.ac.uk/id/eprint/3009479