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The role of rating agencies in the Eurozone sovereign debt crisis

abstract The project attempts to provide an empirical understanding of the role of rating agencies in sovereign debt crises in general, and in the Eurozone's sovereign debt crisis in particular. It looks both at what determines sovereign bond ratings, and at the effects of rating changes. From a macroeconomic perspective we try to find out whether Europe faced a scenario of multiple equilibria and self-fulfilling prophecy, and how rating agencies affected the dynamics within such a system.
   
keywords rating agencies, sovereign debt, crisis, multiple equilibria, self-fulfilling prophecy, interest rates, spreads, budget deficit
   
partner
type applied research project
status ongoing
start of project 2010
end of project 2014
additional informations
topics rating agencies, models of sovereign debt crises
methods theoretical analysis, statistical and narrative empirics
contact Manfred Gärtner