Bulletin n. 1-2/2014
November 2014
CONTENTS
  • Section A) The theory and practise of the federal states and multi-level systems of government
  • Section B) Global governance and international organizations
  • Section C) Regional integration processes
  • Section D) Federalism as a political idea
    • Kazanas Thanassis, Tzavalis Elias
    Comment on “Fundamentally Wrong: Market Pricing of Sovereigns and the Greek Financial Crisis”
    in Journal of Macroeconomics , Volume 39, Part B, March 2014 ,  2014 ,  420-423
    We provide evidence that credit ratings have exerted an independent influence on credit (sovereign) spreads for Greece beyond that implied by economic fundamentals. Based on the Markov Regime-switching model of , we show that this happens during the recent financial crisis regime, characterized by a higher mean and volatility of credit spreads. It is also true for Ireland and Portugal, also bailed out by their EU partners and IMF. We show that, for Greece and Portugal, the shift of credit spreads to their higher mean-volatility regime occurred before the collapse of Lehman brothers, thus discounting a higher price of sovereign credit risk for these two countries. In contrast to Ireland, this regime shift has not been triggered by a rating downgrades for Greece and Portugal. In this higher volatility regime, credit ratings seem to significantly influence future changes in credit spreads independently of economic fundamentals, for Greece and Portugal. For Ireland, they constitute the main factor of determining credit spreads.
    ©2001 - 2020 - Centro Studi sul Federalismo - P. IVA 94067130016