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

Journal of Financial Research

2016, Vol. 436

Issue (10): 16-31 DOI:

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Sovereign Credit Rating, Debt Crisis and Economic Growth:
Empirical Evidence from Countries in Eurozone

LI Mingming, QIN Fengming

School of Finance, Shandong University of Finance and Economics;
School of Economics, Shandong University

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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.

Key words： Sovereign Credit Rating Debt Crisis Economic Growth Rate

Received: 15 March 2016 Published: 01 January 1900

JEL分类号:	E32
	F34
	G14

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Cite this article:

LI Mingming,QIN Fengming. Sovereign Credit Rating, Debt Crisis and Economic Growth:
Empirical Evidence from Countries in Eurozone[J]. Journal of Financial Research, 2016, 436(10): 16-31.

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http://www.jryj.org.cn/EN/ OR http://www.jryj.org.cn/EN/Y2016/V436/I10/16

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