Evolution of sovereign rating models in the current crisis

  1. Margarita Martín García 1
  2. Cecilia Téllez Valle 1
  3. José Luis Martín Marín 1
  1. 1 Universidad Pablo de Olavide
    info

    Universidad Pablo de Olavide

    Sevilla, España

    ROR https://ror.org/02z749649

Revista:
GCG: revista de globalización, competitividad y gobernabilidad

ISSN: 1988-7116

Año de publicación: 2014

Volumen: 8

Número: 1

Páginas: 16-33

Tipo: Artículo

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Otras publicaciones en: GCG: revista de globalización, competitividad y gobernabilidad

Resumen

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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