SOVEREIGN RISK RATINGS, MACROECONOMIC FUNDAMENTALS AND ACCOUNTABILITY: EVIDENCE FROM DEVELOPING COUNTRIES

Authors

  • Bruno Ferreira Frascaroli Professor do Programa de Pós-Graduação em Economia da Universidade Federal da Paraíba (PPGE/UFPB)
  • Jailson Oliveira

Keywords:

Sovereign Risk Ratings, Macroeconomic Fundamentals, Accountability

Abstract

One of the most important devices used in the international financial market to reduce information asymmetry is sovereign risk rating. It plays a key role in determining the conditions of credit markets, an issue that is fundamental, especially for the development of emerging countries. Therefore, the main purpose of this study is to examine the determinants of sovereign risk ratings produced by rating agencies. The macroeconomic fundamentals of the countries were considered as instruments of accountability: solvency, liquidity, economic development, and economic stability. They were used as input information to estimate a panel data model. Our main results are focused on the relationship between countries’ rating classifications and their respective macroeconomic fundamentals, to examine whether a close causal link between the former and the latter truly exists. Besides, they indicated that promoting income growth (GDP per capita) and controlling inflation (the evolution of the CP level), which is associated with discipline in fiscal policy, are important to maintaining low levels of country risk and thus strengthen its development. The accountability and discipline of fiscal policy indicates a country’s ability to honor its financial commitments. In addition, ratings in the current period are influenced by previous ratings, indicating the agencies’ conservative behavior.

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Author Biographies

Bruno Ferreira Frascaroli, Professor do Programa de Pós-Graduação em Economia da Universidade Federal da Paraíba (PPGE/UFPB)

Doutor em Economia pela Universidade Federal de Pernambuco, foi assessor técnico na Secretaria de Acompanhamento Econômico do Ministério da Fazenda (SEAE-MF) e atualmente é Professor Adjunto III do Departamento de Economia da Universidade Federal da Paraíba. Tem experiência como economista, com pesquisas publicadas empregando métodos e modelos matemáticos, econométricos e estatísticos aplicados na área de finanças, economia monetária, economia do setor público, inovações e áreas afins. Trabalha como orientador do Programa Agentes Locais de Inovação (ALI-CNPq) junto ao SEBRAE-PB, acompanhado o processo de inovação das micro e pequenas empresas no estado. Trabalha como pesquisador na área de Gestão Fazendária junto à Escola Superior de Administração Fazendária (ESAF) em Brasília. É vice-coordenador do Programa de Pós-Graduação em Economia do Setor Público (PPESP-UFPB) e professor do quadro do Programa de Pós-Graduação em Economia (PPGE-UFPB).

Jailson Oliveira

Possui graduação em Ciências Econômicas pela Universidade de Brasília (2010). Atualmente doutorando no Programa de Pós Graduação em Economia da Universidade Federal da Paraná. Já lecionou como Professor Auxiliar no Departamento de Economia da Universidade Federal do Paraná e na Faculdade Maurio de Nassau. Tem experiência na área de Economia, com ênfase em Métodos e Modelos Matemáticos, Econométricos e Estatísticos aplicados a finanças e economia monetária.

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Published

2017-11-24

How to Cite

Frascaroli, B. F., & Oliveira, J. (2017). SOVEREIGN RISK RATINGS, MACROECONOMIC FUNDAMENTALS AND ACCOUNTABILITY: EVIDENCE FROM DEVELOPING COUNTRIES. Advances in Scientific and Applied Accounting, 10(3), 304–318. Retrieved from https://asaa.anpcont.org.br/asaa/article/view/332

Issue

v. 10, n. 3 set-dez (2017)

Section

ARTICLES

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