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Sovereign credit revisions impact on the European Economy
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Resumo(s)
This research aims to find the direction of causality between rating revisions and
economic growth in Europe during 2002-2015. Based on a system-GMM, developed by
Arellano and Bond (1995), the-Standard & Poor’s-sovereign rating revisions’ effects on
economic growth, controlling for other determinants, will be estimated. Rating revisions are
shown to Granger cause output growth throughout the whole time-frame considered and no
reverse causality was verified. We find evidence that rating revisions do impact economic
growth while outlook announcements do not. More open economies look to have upgrade
revisions effects on growth boosted, while negative revisions effects are dampened. Whilst
analyzing the crisis outbreak impact, we perceived that the upgrade revisions’ effect on
economic growth were halved.
Descrição
Palavras-chave
Sovereign credit revisions Upgrade Downgrade Economic growth System-GMM