The research document has the purpose of getting to know if the economic fundamentals are responsible for the differences among the credit ratings among a sample of 27 OECD countries. It was conducted an econometric analysis figuring a ordered probit data panel model, using a data set with the cumulative probability of default from CMAvision, regarding the period from 2008 to 2011. Among the main findings, a volatility index, as well as the GDP deficit, proved to be statistically significant explanatory variables in the analysis. It wasn’t concluded by this study that the economic fundamentals take part in the differentiation of credit ratings, amongst this sovereign sample. The low explanatory value of the economic fundamentals, regarding the explanation of the credit spreads, fits in the situation that the literature describes as “credit spread puzzle”.
| Date of Award | 8 Mar 2013 |
|---|
| Original language | Portuguese |
|---|
| Awarding Institution | - Universidade Católica Portuguesa
|
|---|
| Supervisor | Carlos Manuel Ferreira dos Santos (Supervisor) |
|---|
- Credit spread puzzle
- Credit ratings
- Ordered probit
- Sovereign credit crisis
A validade dos ratings implícitos no mercado de Credit Default Swaps sobre dívida soberana
Costa, F. D. P. M. D. (Student). 8 Mar 2013
Student thesis: Master's Thesis