Abstract:
This paper uses panel data for 19 countries in the Eurozone from 1995 to 2014 to explore the effect of sovereign rating changes on economic growth in domestic countries and foreign countries. We also investigate the heterogeneous effect during the period of debt crisis. Empirical results show that sovereign rating upgrade results in increase of domestic economic growth rate while downgrade leads to decrease of growth rate. Compared with non-debt-crisis period, the negative effect of downgrades on domestic growth rate is less pronounced in debt crisis period. Meanwhile, downgrades in one country could transmit to other Eurozone countries and cause reduction of their economic growth rate. Upgrade does not show contagion effect. During the period of debt crisis, the contagion effect of downgrade is weaker. Furthermore, for countries with lower sovereign rating level and less frequent sovereign rating changes, the decline of downgrades' impact on domestic growth rate during debt crisis period is larger. This study has important implications for understanding the importance of sovereign credit ratings in affecting economic growth.
李明明, 秦凤鸣. 主权信用评级、债务危机与经济增长——来自欧元区国家的经验证据[J]. 金融研究, 2016, 436(10): 16-31.
LI Mingming, QIN Fengming. Sovereign Credit Rating, Debt Crisis and Economic Growth: Empirical Evidence from Countries in Eurozone. Journal of Financial Research, 2016, 436(10): 16-31.
Afonso A., D. Furceri and P. Gomes. 2012. “Sovereign Credit Ratings and Financial Markets Linkages: Application to European Data” Journal of International Money and Finance, 31(3): 606~638.
[7]
Almeida H., I. Cunha, M. A. Ferreira and F. Restrepo. 2014. “The Real Effects of Sovereign Credit Rating Downgrades” SSRN working paper.
[8]
Arteta C. and G. Hale. 2008. “Sovereign Debt Crises and Credit to the Private Sector” Journal of International Economics, 74(1): 53~69.
[9]
Bauer C., B. Herz and V. Karb. 2005. “Another Twin Crisis: Currency and Debt Crisis” Macroeconomics, 54(3): 248~267.
[10]
Bedendo M. and P. Colla. 2015. “Sovereign and Corporate Credit Risk: Evidence from the Eurozone” Journal of Corporate Finance, 33(4): 34~52.
[11]
Bonnet A. 2014. “Underratings and Procyclical Phenomena Produced by Credit Rating Agencies on Sovereign-debt Markets: the Case of the 2010 European Sovereign Debt Crisis” SSRN working paper.
[12]
Borensztein E., K. Cowan and P. Valenzuela. 2013. “Sovereign Ceilings ‘Lite’? The Impact of Sovereign Ratings on Corporate Ratings” Journal of Banking & Finance, 37(11): 4014~4024.
[13]
Brooks R., R.W. Faff, D. Hillier and J. Hillier. 2004. “The National Market Impact of Sovereign Rating Changes” Journal of Banking & Finance, 28(1): 233~250.
[14]
Cantor R. and F. Packer. 1996. “Determinants and Impact of Sovereign Credit Ratings” Economic Policy Review, 2(2): 37~53.
[15]
Chen S.S., H.Y. Chen, C.C. Chang and S. L. Yang. 2016. “The Relation between Sovereign Credit Rating Revisions and Economic Growth” Journal of Banking & Finance, 64(2): 90~100.
[16]
Durbin E. and D. Ng. 2005. “The Sovereign Ceiling and Emerging Market Corporate Bond Spreads” Journal of International Money and Finance, 24(4): 631~649.
[17]
Ferreira M. A. and P.M. Gama. 2007. “Does Sovereign Debt Ratings News Spill Over to International Stock Markets?” Journal of Banking & Finance, 31(10): 3162~3182.
[18]
Gande A. and D.C. Parsley. 2014. “Sovereign Credit Ratings, Transparency and International Portfolio Flows” SSRN working paper.
[19]
Gheeraert L. and J. M. Mansour. 2005. “On the Impact of Private Capital Flows on Economic Growth and Development” CEB working paper.
[20]
Huang A. Y. H., C.C. Chen and C.H. Shen. 2014. “Dynamics of Sovereign Credit Contagion” The Journal of Derivatives, 22(1): 27~45.
[21]
Kaminsky G. and S.L. Schmukler. 2002. “Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?” The World Bank Economic Review, 16(2): 171~195.
[22]
Li H., B. N. Jeon, S. Y. Cho and T. C. Chiang. 2008. “The Impact of Sovereign Rating Changes and Financial Contagion on Stock Market Returns: Evidence from Five Asian Countries” Global Finance Journal, 19(1): 46~55.
[23]
Longstaff F. A., J. Pan, L. H. Pedersen and K. Singleton. 2011. “How Sovereign is Sovereign Credit Risk?” American Economic Journal: Macroeconomics, 3(2):75~103.
[24]
Mateev M. 2014. “The Effect of Sovereign Credit Rating Announcements on Emerging Bond and Stock Markets: New Evidences” Oxford Journal: An International Journal of Business & Economics, 7(1):28~41.
[25]
Reinhart C. M. and K. S. Rogoff. 2011. “From Financial Crash to Debt Crisis” American Economic Review, 101(3): 1676~1706.
[26]
Reisen H. and J. Von Maltzan. 1998. “Sovereign Credit Ratings, Emerging Market Risk and Financial Market Volatility” Intereconomics, 33(2): 73~82.
[27]
Safari M. and M. Ariff. 2015. “Sovereign Credit Rating Change in Emerging Markets and Its Impact on Their Financial Markets” International Journal of Bonds and Derivatives, 3(1): 203~216.
[28]
Stiglitz J. E., G. Ferri and L. G. Liu. 1999. “The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis” Economic Notes, 28(3): 335~355.
[29]
Wrana J. and J. M. Martín. 2014. “Eurozone Sovereign Bonds and Rating Assessments: Impact on Volatility” Papeles de Europa, 27(1): 1~32.
