Treasury bond yields performance and the portuguese sovereign debt ratings
Autor(a) principal: | |
---|---|
Data de Publicação: | 2017 |
Outros Autores: | , |
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. |
id |
RCAP_4db2f4c7ddcaae60c99a7d157c5a3474 |
---|---|
oai_identifier_str |
oai:bibliotecadigital.ipb.pt:10198/18222 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
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 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
_version_ |
1799135341657980928 |