Treasury bond yields performance and the portuguese sovereign debt ratings

Detalhes bibliográficos
Autor(a) principal: Tavares, Leinivy
Data de Publicação: 2017
Outros Autores: Monte, Ana Paula, Moutinho, Helena Mouta
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10198/18222
Resumo: The rating agencies are often among those accused of taking part in the sovereign debt instability that followed the financial crisis of 2008. This work intends to empirically analyse the influence of changes in the Portuguese sovereign debt rating, as attributed by the three main international rating agencies (Moody’s, S&P e Fitch), in the performance of mid to long-term treasury bond yields (2, 5 and 10 years) over the period between February 2003 and May 2012. Using simple and multiple linear regression models, estimated through the OLS method, and through the application of Chow’s test, the statistical evidence shows that the changes in sovereign debt rating have a negative and significant impact on the performance of treasury bond yields for all maturities studied and this influence is higher for the period after the sovereign debt crisis. The evidence also show that the impact of changes in sovereign debt rating in treasury bond yields increases with the loss of investment grade.
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spelling Treasury bond yields performance and the portuguese sovereign debt ratingsSovereign debt ratingLong-term treasury bondsYieldsThe rating agencies are often among those accused of taking part in the sovereign debt instability that followed the financial crisis of 2008. This work intends to empirically analyse the influence of changes in the Portuguese sovereign debt rating, as attributed by the three main international rating agencies (Moody’s, S&P e Fitch), in the performance of mid to long-term treasury bond yields (2, 5 and 10 years) over the period between February 2003 and May 2012. Using simple and multiple linear regression models, estimated through the OLS method, and through the application of Chow’s test, the statistical evidence shows that the changes in sovereign debt rating have a negative and significant impact on the performance of treasury bond yields for all maturities studied and this influence is higher for the period after the sovereign debt crisis. The evidence also show that the impact of changes in sovereign debt rating in treasury bond yields increases with the loss of investment grade.Biblioteca Digital do IPBTavares, LeinivyMonte, Ana PaulaMoutinho, Helena Mouta2018-11-21T11:00:51Z20172017-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10198/18222engTavares, Leinivy; Monte, Ana Paula; Moutinho, Helena Mouta (2017). Treasury bond yields performance and the portuguese sovereign debt ratings. European Journal of Science and Research. ISSN 2544-5405. 1, p.103- 1172544-5405info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-21T10:41:46Zoai:bibliotecadigital.ipb.pt:10198/18222Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T23:08:20.798042Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Treasury bond yields performance and the portuguese sovereign debt ratings
title Treasury bond yields performance and the portuguese sovereign debt ratings
spellingShingle Treasury bond yields performance and the portuguese sovereign debt ratings
Tavares, Leinivy
Sovereign debt rating
Long-term treasury bonds
Yields
title_short Treasury bond yields performance and the portuguese sovereign debt ratings
title_full Treasury bond yields performance and the portuguese sovereign debt ratings
title_fullStr Treasury bond yields performance and the portuguese sovereign debt ratings
title_full_unstemmed Treasury bond yields performance and the portuguese sovereign debt ratings
title_sort Treasury bond yields performance and the portuguese sovereign debt ratings
author Tavares, Leinivy
author_facet Tavares, Leinivy
Monte, Ana Paula
Moutinho, Helena Mouta
author_role author
author2 Monte, Ana Paula
Moutinho, Helena Mouta
author2_role author
author
dc.contributor.none.fl_str_mv Biblioteca Digital do IPB
dc.contributor.author.fl_str_mv Tavares, Leinivy
Monte, Ana Paula
Moutinho, Helena Mouta
dc.subject.por.fl_str_mv Sovereign debt rating
Long-term treasury bonds
Yields
topic Sovereign debt rating
Long-term treasury bonds
Yields
description The rating agencies are often among those accused of taking part in the sovereign debt instability that followed the financial crisis of 2008. This work intends to empirically analyse the influence of changes in the Portuguese sovereign debt rating, as attributed by the three main international rating agencies (Moody’s, S&P e Fitch), in the performance of mid to long-term treasury bond yields (2, 5 and 10 years) over the period between February 2003 and May 2012. Using simple and multiple linear regression models, estimated through the OLS method, and through the application of Chow’s test, the statistical evidence shows that the changes in sovereign debt rating have a negative and significant impact on the performance of treasury bond yields for all maturities studied and this influence is higher for the period after the sovereign debt crisis. The evidence also show that the impact of changes in sovereign debt rating in treasury bond yields increases with the loss of investment grade.
publishDate 2017
dc.date.none.fl_str_mv 2017
2017-01-01T00:00:00Z
2018-11-21T11:00:51Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10198/18222
url http://hdl.handle.net/10198/18222
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Tavares, Leinivy; Monte, Ana Paula; Moutinho, Helena Mouta (2017). Treasury bond yields performance and the portuguese sovereign debt ratings. European Journal of Science and Research. ISSN 2544-5405. 1, p.103- 117
2544-5405
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instacron:RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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