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Sovereign credit ratings in the European Union: a model-based fiscal analysis. (2013). Wickens, Michael ; Polito, Vito.
In: CEPR Discussion Papers.
RePEc:cpr:ceprdp:9665.

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  1. Understanding sovereign rating movements in euro area countries. (2017). Setzer, Ralph ; Bruha, Jan ; Brha, Jan ; Karber, Moritz ; Pierluigi, Beatrice.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20172011.

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  2. Understanding Rating Movements in Euro Area Countries. (2017). Setzer, Ralph ; Bruha, Jan ; Pierluigi, Beatrice ; Karber, Moritz .
    In: Working Papers.
    RePEc:cnb:wpaper:2017/06.

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  3. The eurozone financial crisis: debt, credit ratings and monetary and fiscal policy. (2016). Wickens, Michael.
    In: Empirica.
    RePEc:kap:empiri:v:43:y:2016:i:2:d:10.1007_s10663-016-9335-5.

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  4. How do Experts Forecast Sovereign Spreads?. (2016). Claeys, Peter ; Cimadomo, Jacopo ; Ribeiro, Marcos Poplawski.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2016/100.

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  5. Is there an alternative way to avoid another eurozone crisis to the Five Presidents Report?. (2016). Wickens, Michael .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:39:y:2016:i:pb:p:156-165.

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  6. Is there an alternative way to avoid another eurozone crisis to the Five Presidents Report?. (2016). Wickens, Michael R.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11225.

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  7. How the Euro Crisis Evolved and how to Avoid Another: EMU, Fiscal Policy and Credit Ratings. (2014). Wickens, Michael ; Polito, Vito.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:39:y:2014:i:pb:p:364-374.

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  8. How the Euro Crisis Evolved and How to Avoid Another: EMU, Fiscal Policy and Credit Ratings. (2013). Wickens, Michael ; Polito, Vito.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9521.

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References

References cited by this document

  1. A Data A.1 ROVAR The variables used in the ROVAR are derived as follows. bt yt is constructed using annual series for gross debt-GDP ratio from Polito and Wickens (2011a) for the period 1970-1997; data for Portugal start from 1977. Data from 1998 to 2013 are taken from the OECD Economic Outlook No.92. The de…cit-GDP ratio is constructed starting from annual data on total disbursements and total revenue of the general government as a proportion to GDP from the OECD Economic Outlook (Datastream, October 2012; mnemonics are XXOCFGU% for expenditure and XXOCFYRQ for revenue, with XX denoting the country acronym).
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  19. Data are annual and available for 1977-2012 for Portugal, 1971-2012 for Denmark and 1970-2012 for all other countries. The missing observation for Denmark in 1970 is replaced using the 1971-1973 average value. Where required all data are scaled by nominal GDP. gt=yt is calculated by subtracting social security, capital transfers and gross interest rates paid by the government from total disbursements. vt=yt is calculated by adding direct taxes, taxes on production and social security received by the government. zt=yt is computed by subtracting non-tax revenue from social security and capital transfers paid by the government. Non-tax revenue is calculated by subtracting vt=yt and interest revenue from total revenue.
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  40. Quarterly values of bt yt , Dt yt , et and xt yt , are determined using linear interpolation on the corresponding annual data. It is assumed that annual observations correspond values in the second quarter. Thus the quarterly observations of these variables range from 1975:2 to 2013:2.
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  45. t is computed as 400 ln GDP. t is constructed starting from quarterly data on the de‡ ator from the OECD Economic Outlook (Datastream, October 2012; XXOCFGVOD). Observations are available from 1970:1 to 2012:4. t is measured as 400 times the logarithm of the de‡ ator. rs t is derived from quarterly data on the short-term interest rate from the OECD Economic Outlook (Datastream, October 2012; XXOCFISTR). Data are available until 2012:4; but start from 1979:2 for Denmark, 1984:1 for Ireland, 1977:1 for Spain, 1982:1 for Sweden and 1971:1 for Italy. rl t is based on quarterly data on the long-term interest rate from the OECD Economic Outlook (Datastream, October 2012; XXOCFILTR).
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  47. The data range from 1970 to 2012, other than Portugal, for which revenue data are available from 1977. The missing observation for expenditure and revenue of Denmark in 1970 is taken from Polito and Wickens (2011a). The annual data for 2013 are taken from the OECD Economic Outlook No.92. Dt yt is calculated as the dierence between revenue and expenditure. Data for t are quarterly observations on real GDP from the OECD Economic Outlook (Datastream, October 2012; XXOCFGVOD). Observations are available from 1970:1 to 2012:4.
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  48. We then employ data on tax revenue from the OECD Economic Outlook described in Appendix A.2 to infer ITRs for 2011 and 2012.
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  49. White L.J. 2010. "Markets: The Credit Rating Agencies", Journal of Economic Perspectives, 24, 2, 211-26.

  50. Wickens M.R. 2012. "How Useful are DSGE Macroeconomic Models for Forecasting?", CEPR Discussion Paper No. 9049.

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    RePEc:cpr:ceprdp:8743.

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  50. Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News. (2012). Vašíček, Bořek ; Claeys, Peter ; Vasicek, Borek.
    In: Working Papers.
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