Browsing by Author "Tavares, Leinivy"
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- O impacto das alterações do nível de risco de crédito nas yields das obrigações do tesouroPublication . Tavares, Leinivy; Monte, Ana Paula; Mouta, HelenaAo longo dos últimos anos, a realidade portuguesa e de muitos outros países europeus ficou marcada por períodos de grande instabilidade económica e financeira. Uma das importantes lições evidenciadas durante os períodos da crise que marcou a economia europeia e não só, é a importância do bom funcionamento dos mercados financeiros para o desenvolvimento e sustentabilidade de qualquer economia. As agências de rating que, pela sua essência, deveriam fomentar o bom funcionamento dos mercados, acabaram por ser das mais acusadas pela instabilidade dos mercados a que se assistiu no seguimento da crise. O presente estudo, foi proposto no sentido de analisar empiricamente a existência de influência das alterações de rating soberano do Estado português atribuído pelas três principais agências internacionais de rating (Moody’s, S&P e Fitch) no desempenho das yields das obrigações do tesouro português a médio/longo prazo (a 2, 5 e a 10 anos) no período compreendido entre fevereiro de 2003 e maio de 2012. Através da estimação dos modelos de regressão linear simples e múltipla, pelo método dos mínimos quadrados e aplicação do teste de Chow, as evidências estatísticas encontradas mostram que as alterações dos níveis de rating soberano influenciam de forma negativa e significativa o desempenho das yields das obrigações do tesouro de todas as maturidades e que esta influência é maior após a crise da dívida soberana do que antes. Os resultados obtidos, mostram também que o impacto das alterações dos níveis de rating soberano nas yields das obrigações aumenta com a perda de investment grade.
- Sovereign debt ratings and treasury bond yields - the portuguese sovereign debt crisisPublication . Monte, Ana Paula; Tavares, Leinivy; Moutinho, Helena MoutaThe 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.
- Sovereign debt ratings and treasury bond yields: the before and after of the financial crisisPublication . Monte, Ana Paula; Moutinho, Helena Mouta; Tavares, LeinivyThe 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 influence of the portuguese sovereign debt ratings on treasury bond yeilds performancePublication . Tavares, Leinivy; Monte, Ana Paula; Moutinho, Helena MoutaThe 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.
- Treasury bond yields performance and the portuguese sovereign debt ratingsPublication . Tavares, Leinivy; Monte, Ana Paula; Moutinho, Helena MoutaThe 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.