Sovereign credit rating downgrades and Growth-at-Risk
本文基于增长风险框架，发现主权信用评级下调会显著增加未来GDP增长的尾部风险，下调使四季度后GDP增长的第5百分位降低2.95个百分点，而升级效果较小且不稳定。
This paper examines whether sovereign credit rating changes are linked to increased future macroeconomic downside risks based on the Growth-at-Risk framework by Adrian et al. (2019) . Our findings reveal that downgrades significantly increase tail risk by lowering the 5th percentile of four-quarters ahead GDP growth by 2.95 percentage points, whereas upgrades yield a smaller and inconsistent effect of 0.45 percentage points. Standard panel OLS results show a reduced impact of 1.11 percentage points on GDP growth following a downgrade, underscoring the importance of examining effects beyond the mean. Further analysis reveals an asymmetrical impact across quantiles and time horizons, with speculative-grade countries particularly vulnerable to downgrades. Downgrades from all major agencies affect tail risk, with Fitch having the largest negative impact, while only Moody’s upgrades have a significant effect. Moreover, our empirical evidence suggests that the effect of credit rating downgrades is, at least partially mitigated, by the adoption of post-GFC regulatory reforms, aligning with these policies’ aim to reduce reliance on CRAs and enhance financial stability. Lastly, our analysis identifies investment and sovereign bond spreads as key channels through which downgrades affect macroeconomic outcomes, however, only the latter is significantly associated with downside risks to GDP growth. Robustness tests that include endogeneity checks, additional controls, alternative CRA data and quantile regression methodology, confirm our findings.