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Theoretical and Applied Economics
No. 6 / 2011 (559)

The Impact of Sovereign Credit Ratings on the Issuance of Government Bonds in Central and Eastern Europe

Ion STANCU
Bucharest Academy of Economic Studies
Ana-Maria MINESCU
UniCredit Tiriac Bank

Abstract. The current research paper aims to assess the impact of sovereign credit ratings on the issuance of government bonds in Central and Eastern Europe. The personal analysis is performed on a sample of government bonds issued by Turkey, Hungary, Czech Republic, Slovak Republic, Poland, Romania and Russia between 2000-2010. The sample includes issues in several currencies (EUR, USD, GBP, JPY, CHF, CZK, PLN, TRY, RUB, RON, HUF). The research paper consists of two different analyses. The first one assesses the degree in which the variation in the initial yield of government bonds issued in one particular currency can be explained by using explanatory variables such as: inflation, sovereign rating corresponding to the issuing country, and the state of crisis (this analysis is performed for each currency separately). The second analysis assesses the degree in which the variation in the maturity of the government bonds issued by a certain country can be explained by using explanatory variables such as: inflation, sovereign rating on the date of issuance, and the state of crisis.

Keywords: credit rating; government bonds; initial yield; maturity.

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