| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5054384 | Economic Modelling | 2014 | 6 Pages |
Abstract
We empirically investigate the dynamic interactions between sovereign ratings and the macroeconomic environment using a Panel VAR on annual data for European countries from 1996 to 2013. Our results provide evidence for a significant two-way interaction between the macroeconomic environment and changes in sovereigns' ratings. Thus, rating changes are able to exacerbate a country's boom-bust cycle.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ingmar Schumacher,