| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9150 |
| DP9150 Modelling the U.S. sovereign credit rating | |
| Michael R. Wickens; Vito Polito | |
| 发表日期 | 2012-09-30 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | A methodology for generating sovereign credit ratings based on macroeconomic theory is proposed. This is applied to quarterly U.S. data from 1970 to 2011. Over this period the official credit rating of U.S. Treasury securities has been of the highest quality. In contrast, the model-based measure finds that there are two clear instances in which the U.S. sovereign credit rating, if evaluated on the basis of economic fundamentals, should have been have been downgraded: the first oil crisis of the 1970s and in the aftermath of the Lehman collapse in 2008. This result is robust to several alternative views on the maximum borrowing capacity of the U.S. economy. |
| 主题 | International Macroeconomics |
| 关键词 | Credit risk Default probability Fiscal limits Sovereign risk |
| URL | https://cepr.org/publications/dp9150 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537985 |
| 推荐引用方式 GB/T 7714 | Michael R. Wickens,Vito Polito. DP9150 Modelling the U.S. sovereign credit rating. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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