What “Hides” Behind Sovereign Debt
*
Ratings?
Antonio Afonso, $ # Pedro Gomes,+ and Philipp Rother #
November 2006
* We are grateful to Fitch Ratings, Moody’s, and Standard & Poor’s for providing us historical sovereign
rating data, to Renate Dreiskena for help with the data, to Vassilis Hajivassiliou and Philip Vermeulen for
helpful clarifications, to Moritz Kraemer, participants at an ECB seminar, and an anonymous referee for
useful comments. The opinions expressed herein are those of the authors and do not necessarily reflect
those of the ECB or the Eurosystem.
$ ISEG/UTLisbon - Technical University of Lisbon, Department of Economics; UECE - Research Unit
on Complexity in Economics, R. Miguel Lupi 20, 1249-078 Lisbon, Portugal. UECE is supported by FCT
(Fundaçao para a Ciência e a Tecnologia, Portugal), email: [email protected].
# European Central Bank, Directorate General Economics, Kaiserstraβe 29, D-60311 Frankfurt am Main,
Germany, emails: [email protected]; [email protected].
+ London School of Economics & Political Science; STICERD - Suntory and Toyota International
Centres for Economics and Related Disciplines, Houghton Street, London WC2A 2AE, email:
[email protected]. CIEF - Centre for Research on Financial Economics, R. Miguel Lupi 20, 1249-078
Lisbon, Portugal. The author would like to thank the Fiscal Policies Division of the ECB for its
hospitality and aknowledge financial support of FCT (Fundaçao para a Ciência e a Tecnologia, Portugal).