Vítor Constâncio, vice-presidente do BCE, criticou hoje as agências de rating por decisões confusas durante a crise, nomeadamente cortes abruptos nas notações de risco. Um sinal de preocupação pela parte do BCE que, aliás, faz depender a sua política de colaterais das notações desta agências. Um recente estudo publicado no BCE, e assinado por António Afonso, Davide Furceri e Pedro Gomes, traz mais alguma luz sobre estas poderosas empresas.
Em “SOVEREIGN CREDIT RATINGS AND FINANCIAL MARKETS LINKAGES APPLICATION TO EUROPEAN DATA” os três economistas concluem que as notações de risco têm um impacto significativo nos “spreads” das taxas de juro, especialmente se forem no sentido negativo. Concluem ainda que o impacto nos spreads dos CDS a anúncios negatovos aumentou após a queda da Lehman Brothers, o que não deixa de ser irónico: grandes bancos e agências acabam por sair vencedores de uma crise onde tiveram muitas responsabilidades.
O trabalho considera as 394 decisões de ratings anunciada pelas três grandes empresas de notação de risco desde 1995 (150 da S&P, 138 da Fitch e 108 da Moody's). Destes, 167 foram “upgrades”, 88 “outlooks” positivos, o que compara com 79 “downgrades” e 60 “outlooks” negativos.
Aqui ficam as principais conclusões:
i) we find a significant response of government rating bond yield spreads to changes in both the credit rating notations and in the outlook (with some differences across rating agencies);
ii) the response results are particularly important for the case of negative announcements, while the reaction of spreads to positive rating events is more mitigated;
iii) sovereign yield spreads respond negatively (and weakly) to positive events in the Economic and Monetary Union (EMU countries, but not in the non-EMU country sub-sample, while the response to negative events is this case is quantitatively similar across country-sub-sample;
iv) the reaction of CDS spreads to negative rating events has increased after the 15th of September 2008 Lehman Brothers bankruptcy;
v) rating and outlook announcements are essentially not anticipated in the previous 1 or 2 months but;
vi) there is evidence of bi-directional causality between sovereign ratings and spreads in a 1-2 week window;
vii) we find evidence of rating announcement spillover effects, particularly from lower rated countries to higher rated countries;
viii) finally, countries that have been downgraded less than six months ago face higher spreads than countries with the same rating but that have not been downgraded within the last six months, implying a persistence effect.
E comentário final dos autores:
The abovementioned conclusions shed some additional light on the behaviour of capital markets vis-à-vis sovereign credit rating developments. The fact that negative rating events take markets mostly by surprise, can either imply that fundamentals are not fully discounted on a more permanent basis by markets participants or that rating events have, to some extent, gone astray of such underpinnings in some events. On the other hand, our analysis also shows that the reaction of euro area spreads to credit rating events is clear and quick (within one to two days), which implies that good macroeconomic fundamentals and sound fiscal positions are key to prevent, first, rating downgrades, and then, the upward movement in yields and spreads.
O FT Alphaville que pegou no artigo na semana passada destaca ainda outros pontos, do qual destacamos o facto dos juros reagirem essencialmente a anúncios negativos da S&P.
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