Correlation analysis between macroeconomic indicators and level of ratings in EU countries
Correlation analysis between macroeconomic indicators and level of ratings in EU countries

Author(s): Tomasz Kopyściański, Tomasz Rólczyński, Marzena Franków
Subject(s): Supranational / Global Economy, Economic policy, Comparative politics, EU-Accession / EU-DEvelopment
Published by: Masarykova univerzita nakladatelství
Keywords: Ratings and Ratings Agencies; Economic Outlook; synthetic measure; Kendall’s tau correlation coefficient;
Summary/Abstract: Credit rating agencies have a significant impact on the securities market, facilitating investment decisions on the basis of ready-made benchmarks. In this way they contribute to reducing the asymmetries and costs of obtaining information necessary to make decisions regarding buying or selling financial instruments, taking into account the debtor’s estimated risk of default. For many years now credit rating agencies have been an integral part of the financial market, impacting to an even greater degree the functioning conditions of countries, as their dependency on being able to finance their borrowing needs from external sources is continuously growing. Permanent budget deficits and public debt are inherent elements of contemporary public finances. The increased significance of the assessments made by the rating agencies refers closely to the dynamic development of the debt security market and thus emerging demand on the part of the buyers of those securities for an independent analysis, which would determine the issuer’s financial standing. The assessments which are published using special symbols reflect country’s ability to raise capital and its cost. The results of the analysis published in the previous article (Rólczyński, T., Kopyściański, T. (2016). Economic Condition of the European Union Countries and Level of Rating. European Financial Systems 2016, p. 654.), indicate that the ratings provided by the rating agencies are linked to the countries’ economic condition.

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