Evolution of sovereign rating models in the current crisis
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Universidad Pablo de Olavide
info
ISSN: 1988-7116
Year of publication: 2014
Volume: 8
Issue: 1
Pages: 16-33
Type: Article
More publications in: GCG: revista de globalización, competitividad y gobernabilidad
Abstract
Neste artigo, aborda-se o tema da qualificação dos emissores soberanos, por parte das agências de rating. Uma vez selecionadas as variáveis macroeconómicas, que aparecem como mais relevantes na literatura referente ao tema que está em uso, utilizam-se modelos de regressão lineares múltiplos, onde a variável dependente é o rating atribuído a cada país pelas agências. Utiliza- -se um modelo de catorze variáveis que, depois, se podem reduzir a quatro, com resultados muito parecidos, quanto ao ajuste. Analisam-se 82 países, no período de 2004-2011 e, como resultado, observa-se uma mudança substancial relativamente aos modelos prévios. Isto deve-se, em parte, à incorporação de uma nova variável qualitativa, a qualidade regulatória, que adquire um considerável peso em época de crise.
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