Sovereign credit ratings in the European Union: A model-based fiscal analysis

Vito Polito and Michael Wickens

European Economic Review, 2015, vol. 78, issue C, 220-247

Abstract: We present a model-based measure of sovereign credit ratings derived solely from the fiscal position of a country: a forecast of its future debt liabilities, and its potential to use fiscal policy to repay these. We use this measure to calculate credit ratings for 14 European countries over the period 1995–2012. This measure identifies a European sovereign debt crisis almost two years before the official ratings of the credit rating agencies.

Keywords: Credit risk; Sovereign risk; Fiscal limits; Default probability (search for similar items in EconPapers)
JEL-codes: E62 H30 H60 (search for similar items in EconPapers)
Date: 2015
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Working Paper: Sovereign credit ratings in the European Union: a model-based fiscal analysis (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eecrev:v:78:y:2015:i:c:p:220-247

DOI: 10.1016/j.euroecorev.2015.05.009

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