| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15267 |
| DP15267 The Nonlinear Relationship Between Public Debt and Sovereign Credit Ratings | |
| Metodij Hadzi-Vaskov; Luca Antonio Ricci | |
| 发表日期 | 2020-09-09 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This study investigates the relationship between public debt and sovereign credit ratings, using a wide sample of over 100 advanced, emerging, and developing economies. It finds that: i) higher public debt lowers the probability of being placed in a higher rating category; ii) the negative debt-ratings relationship is nonlinear and depends on the rating grade itself; and iii) the identified nonlinearity explains the differential impact of debt on ratings in advanced economies versus emerging and developing economies (previously suggested in the literature as different relationships). These results hold for both gross and net debt, and are robust to alternative dependent variable definitions, analytical techniques, and empirical specifications. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Credit ratings Public debt Credit rating agencies Financial markets Advanced economies Emerging markets Non-linearities |
| URL | https://cepr.org/publications/dp15267 |
| 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/544242 |
| 推荐引用方式 GB/T 7714 | Metodij Hadzi-Vaskov,Luca Antonio Ricci. DP15267 The Nonlinear Relationship Between Public Debt and Sovereign Credit Ratings. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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