Economic policy uncertainty and sovereign credit rating decisions: Panel quantile evidence for the Eurozone
研究了经济政策不确定性对欧元区国家主权信用评级的影响，发现低评级国家受政策不确定性的负面冲击更大，而高评级国家更受人均GDP驱动。
We employ a panel quantile framework that quantifies the relative importance of quantitative and qualitative factors across the conditional distribution of sovereign credit ratings in the Eurozone area. We find that regulatory quality and competitiveness have a stronger impact for low rated countries whereas GDP per capita is a major driver of high rated countries. A reduction in the current account deficit leads to a rating or outlook upgrade for low rated countries. Economic policy uncertainty impacts negatively on credit ratings across the conditional distribution; however, the impact is stronger for the lower rated countries. In other words, the creditworthiness of low rated countries takes a much bigger ‘hit’ than that of high rated countries when European policy uncertainty is on the rise.