Table 17 - Example of country analysis: variables’ contribution to expected rating changes
17a - European countries
|
_______Portugal_______ |
________Spain________ |
______Greece______ |
____________Italy___________ |
________Ireland________ | |||||||||||
|
1998 2005 |
1998 2005 |
1998 2005 |
1998 2005 |
1998 2005 | |||||||||||
|
⊂ Moody's "≡ S&P Fitch__________________ |
Aa2 (15) Aa2 (15) AA (15) AA- (14) AA (15) AA (15) |
Aa2 (15) Aaa (17) AA (15) AAA (17) AA (15) AAA (17) |
Baa1 (10) A1 (13) BBB (9) A (12) BBB (9) A (12) |
Aa3 (14) Aa2 (15) AA (15) AA- (14) AA- (14) AA (15) |
Aaa (17) Aaa (17) AA+ (16) AAA (17) AAA (17) AAA (17) | ||||||||||
|
Macro contribution |
0.53 |
0.73 |
0.93 |
1.69 |
1.98 |
2.28 |
1.33 |
1.52 |
1.70 |
0.91 |
1.08 |
1.26 |
1.46 |
1.83 |
2.20 |
|
⅛,Gov. contribution о External contribution S European Union_____ |
-0.69 |
-0.46 |
-0.23 |
0.27 |
0.65 |
1.03 |
-0.05 |
-0.01 |
0.02 |
-0.03 |
0.14 |
0.31 |
0.20 |
0.39 |
0.58 |
|
0.09 |
0.12 |
0.15 |
0.22 |
0.31 |
0.39 |
0.18 |
0.24 |
0.31 |
0.17 |
0.24 |
0.30 |
0.15 |
0.21 |
0.26 | |
|
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 | |
|
Overall change_____ |
-0.07 |
0.39 |
0.86 |
2.19 |
2.95 |
3.70 |
1.46 |
1.75 |
2.03 |
1.05 |
1.46 |
1.87 |
1.81 |
2.43 |
3.05 |
|
Macro contribution |
0.42 |
0.57 |
0.73 |
0.94 |
1.07 |
1.20 |
0.99 |
1.13 |
1.27 |
0.56 |
0.67 |
0.77 |
0.91 |
1.15 |
1.38 |
|
Gov. contribution CL £8 External contribution |
-1.06 |
-0.88 |
-0.70 |
0.48 |
0.77 |
1.06 |
-0.13 |
-0.10 |
-0.08 |
0.07 |
0.21 |
0.34 |
0.83 |
0.98 |
1.14 |
|
0.03 |
0.05 |
0.08 |
0.07 |
0.14 |
0.21 |
0.06 |
0.11 |
0.16 |
0.05 |
0.11 |
0.16 |
0.05 |
0.09 |
0.14 | |
|
European Union_____ |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
|
Overall change_____ |
-0.61 |
-0.25 |
0.11 |
1.49 |
1.98 |
2.47 |
0.91 |
1.14 |
1.36 |
0.69 |
0.98 |
1.26 |
1.78 |
2.22 |
2.66 |
|
Macro contribution |
0.90 |
0.99 |
1.08 |
1.78 |
2.01 |
2.25 |
1.43 |
1.56 |
1.69 |
1.06 |
1.18 |
1.30 |
1.92 |
2.14 |
2.35 |
|
G Gov. contribution |
-1.26 |
-1.05 |
-0.85 |
-0.46 |
-0.13 |
0.19 |
-0.11 |
-0.08 |
-0.06 |
-0.45 |
-0.29 |
-0.14 |
0.15 |
0.31 |
0.47 |
|
-0.06 |
-0.03 |
-0.01 |
-0.16 |
-0.09 |
-0.02 |
-0.13 |
-0.07 |
-0.01 |
-0.12 |
-0.07 |
-0.01 |
-0.11 |
-0.06 |
-0.01 | |
|
European Union_____ |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
|
__Overall change_____ |
-0.42 |
-0.10 |
0.23 |
1.16 |
1.79 |
2.42 |
1.19 |
1.40 |
1.62 |
0.49 |
0.81 |
1.14 |
1.97 |
2.39 |
2.81 |
17b - European countries
|
Czech Republic |
_____Hungary_____ |
_______Poland______ |
______Slovakia______ |
______Slovenia______ | |||||||||||
|
1998 2005 |
1998 2005 |
1998 2005 |
1998 2005 |
1998 2005 | |||||||||||
|
⊂ Moody's "≡ S&P Fitch____________________ |
Baa1 (10) A1 (13) A- (11) A- (11) BBB+ (10) A (12) |
Baa3 (10) A1 (13) BBB (9) A- (11) BBB (9) BBB+ (10) |
Baa3 (10) A2 (12) BBB- (8) BBB+ (10) BBB+ (10) BBB+ (10) |
Ba1 (7) A2 (12) BB+ (7) A (12) BB+(7) A (12) |
A3 (11) Aa3 (14) A (12) AA- (14) A- (11) AA- (14) | ||||||||||
|
Macro contribution |
1.43 |
1.76 |
2.08 |
2.08 |
2.36 |
2.65 |
0.59 |
0.90 |
1.21 |
1.30 |
1.57 |
1.84 |
1.07 |
1.22 |
1.38 |
|
-^ιGov. contribution о External contribution S European Union_____ |
-0.75 |
-0.59 |
-0.43 |
-0.39 |
-0.29 |
-0.19 |
-0.61 |
-0.42 |
-0.23 |
-0.32 |
-0.11 |
0.10 |
-0.23 |
-0.10 |
0.02 |
|
-0.08 |
-0.05 |
-0.01 |
0.00 |
0.09 |
0.17 |
-0.34 |
-0.23 |
-0.13 |
-0.04 |
0.26 |
0.56 |
0.13 |
0.17 |
0.22 | |
|
1.42 |
1.60 |
1.77 |
1.42 |
1.60 |
1.77 |
1.42 |
1.60 |
1.77 |
1.42 |
1.60 |
1.77 |
1.42 |
1.60 |
1.77 | |
|
Overall change_____ |
2.03 |
2.72 |
3.41 |
3.11 |
3.76 |
4.41 |
1.06 |
1.85 |
2.63 |
2.37 |
3.32 |
4.28 |
2.39 |
2.89 |
3.39 |
|
Macro contribution |
1.24 |
1.46 |
1.68 |
1.48 |
1.69 |
1.89 |
0.86 |
1.03 |
1.19 |
1.23 |
1.39 |
1.55 |
0.76 |
0.87 |
0.99 |
|
Gov. contribution CL £8 External contribution |
-1.05 |
-0.93 |
-0.80 |
-0.25 |
-0.18 |
-0.11 |
-0.63 |
-0.49 |
-0.35 |
-0.45 |
-0.28 |
-0.11 |
-0.18 |
-0.08 |
0.02 |
|
-0.02 |
0.00 |
0.03 |
0.02 |
0.08 |
0.15 |
-0.09 |
-0.01 |
0.07 |
-0.28 |
-0.02 |
0.23 |
0.01 |
0.04 |
0.07 | |
|
European Union_____ |
0.07 |
0.19 |
0.31 |
0.07 |
0.19 |
0.31 |
0.07 |
0.19 |
0.31 |
0.07 |
0.19 |
0.31 |
0.07 |
0.19 |
0.31 |
|
Overall change_____ |
0.23 |
0.73 |
1.22 |
1.31 |
1.77 |
2.24 |
0.20 |
0.72 |
1.23 |
0.58 |
1.28 |
1.97 |
0.66 |
1.02 |
1.38 |
|
Macro contribution |
1.53 |
1.73 |
1.92 |
2.24 |
2.48 |
2.71 |
0.95 |
1.17 |
1.39 |
1.51 |
1.73 |
1.95 |
1.20 |
1.32 |
1.44 |
|
G Gov. contribution |
-0.80 |
-0.67 |
-0.54 |
-0.35 |
-0.27 |
-0.19 |
-0.88 |
-0.72 |
-0.55 |
0.20 |
0.38 |
0.57 |
0.13 |
0.24 |
0.35 |
|
0.05 |
0.10 |
0.15 |
-0.10 |
-0.02 |
0.05 |
0.11 |
0.24 |
0.38 |
0.27 |
0.73 |
1.19 |
-0.08 |
-0.04 |
-0.01 | |
|
European Union_____ |
0.08 |
0.22 |
0.36 |
0.08 |
0.22 |
0.36 |
0.08 |
0.22 |
0.36 |
0.08 |
0.22 |
0.36 |
0.08 |
0.22 |
0.36 |
|
__Overall change_____ |
0.86 |
1.37 |
1.89 |
1.88 |
2.40 |
2.93 |
0.26 |
0.92 |
1.58 |
2.06 |
3.06 |
4.07 |
1.33 |
1.73 |
2.14 |
Notes: The block contributions were calculated using the changes in the variables multiplied by the short-run coefficients estimated by
random effects ordered probit, and then aggregated. The only exception was unemployment, for which we used the long-run coefficient. The
upper and lower bounds where calculated using plus and minus one standard deviation.
$ The quantitative rating scale is in brackets.
50
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