Output spillovers from changes in sovereign credit ratings
Journal
Journal of International Money and Finance
Journal Volume
63
Pages
48-63
Date Issued
2016-05-01
Author(s)
Abstract
This research examines how a sovereign rating revision of one country influences the economic growth rates of other countries. Rating revisions have significant output spillover effects: A one-notch upgrade (downgrade) prompts on average a significant downward revision of about 0.03% (0.07%) in the consensus forecast of annual economic growth rates of other countries in the two-month period after the event. The spillovers are transmitted through direct and indirect trade and financial linkages between event and non-event countries. The evidence indicates that a predominance of differential (common) spillovers leads upgrades (downgrades) to produce adverse output effects for other countries.
Subjects
Economic growth | Output spillover | Sovereign credit rating revision
SDGs
Publisher
ELSEVIER SCI LTD
Type
journal article