ECONOMIC FUNDAMENTALS RELEVANCE FOR BRAZILIAN SOVEREIGN RATINGS, 1994-2002

• Autor(a) principal: Bone, Rosemarie Bröker
• Data de Publicação: 2009
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: Análise Econômica (Online)
• Texto Completo: https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/9704
• topic: Rating soberano. Fundamentos. Spread Brasil.; JEL Classification; E44; Sovereign rating. Fundamentals. Brazil spread.; JEL Classification; E44

The international financial crises of the 1990’s raised doubts about the validity of sovereign ratings. This article has two goals. First, it aims to identify which fundamentals explain sovereign ratings for Brazil, from December 1994 to December 2002, using an ordered logit model. Second, investigate the impact of the fundamentals and ratings on sovereign debt spreads. In the first case, the results suggest that Foreign Debt as share of exports, Public Sector debt and deficit measures and Current account balance, all as share of GNP, are relevant to explain the ratings. In the second case, the relevant variables were the inflation rate and, again, Public Sector debt and deficit measures and Current account balance. One can conclude that public finances are an important determinant of sovereign ratings. Finally, hand, it is important to note that, once fundamentals are included, the rating itself does not significantly explain spread variations.