文章基本信息

标题：Ratings of Sovereign Risk and the Macroeconomics Fundamentals of the countries: a Study Using Artificial Neural Networks
本地全文：下载
作者：Bruno Ferreira Frascaroli ; Luciano da Costa Silva ; Osvaldo Cândido da Silva Filho 等
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2009
卷号：7
期号：1
页码：73-106
语种：Portuguese
出版社：Link to the Brazilian Society of Finance
摘要：To minimize the consequences of asymmetric information, the sovereign risk ratings are instruments that constitute a key piece in the determination of credit market conditions, essential to the growth of developing countries like Brazil. In the present work we studied based on macroeconomics foundations, a classiﬁcation to sovereign risk ratings realized by the ratings agencies ﬁnding the classiﬁcation using Artiﬁcial Neural Networks. We observed homogeneity degree between the attributions of agencies and macroeconomics foundations in the countries of sample which four of foundations seem to be more directly connected with these attributions. After, in a comparative static exercise, we use the model to make simulations of sceneries of the credit external conditions for the Brazilian economy, changing the macroeconomics foundations which we noted that agencies expected for more per capita income increasing and decrease of public debt.
其他摘要：To minimize the consequences of asymmetric information, the sovereign risk ratings are instruments that constitute a key piece in the determination of credit market conditions, essential to the growth of developing countries like Brazil. In the present work we studied based on macroeconomics foundations, a classiﬁcation to sovereign risk ratings realized by the ratings agencies ﬁnding the classiﬁcation using Artiﬁcial Neural Networks. We observed homogeneity degree between the attributions of agencies and macroeconomics foundations in the countries of sample which four of foundations seem to be more directly connected with these attributions. After, in a comparative static exercise, we use the model to make simulations of sceneries of the credit external conditions for the Brazilian economy, changing the macroeconomics foundations which we noted that agencies expected for more per capita income increasing and decrease of public debt.
关键词：sovereign risk rating;macroeconomics foundations;artiﬁcial neural networks.;rating de risco soberano;fundamentos macroeconômicos;redes neurais artiﬁciais
其他关键词：Finance; Statistics; Economics;sovereign risk rating; macroeconomics foundations; artiﬁcial neural networks.;C45; G14; E44