A Ticket to Ride? - The Impact of Euro Adaption on Sovereign Credit Ratings and Long-term Bond Rates

This dataset has been prepared by Szilárd Erhart for a research paper on the impact of euro adoption on Sovereign Credit Ratings.

ABSTRACT
The paper investigates the impact of euro adoption on sovereign credit ratings and on long-term rates experienced until the 20th anniversary of the euro. The three pillars of the research are (1) the analysis of the scoring methodology of Credit Rating Agencies, (2) the empirical investigation of the "euro privilege" in the ratings of Fitch, Moody's and S\&P, and (3) and in the long-term government bond rates. We find that the methodology of ratings allows an upgrade up to 2 notches from admission to the Exchange Rate Mechanism II to joining the euro. The euro privilege varied in the range of 0-1 notch before the financial crisis, reached its 1.5 notch maximum at the peak of the crisis and disappeared during the euro crisis. Long-term government bond rates benefited continuously from euro, not only from improved credit quality before the crisis, but also from lower liquidity and FX risk, likely as a result of access to ECB operations. Eurozone members enjoyed a significant euro financing privilege for almost the entire sample period, e.g. 1-2 percentage point lower cost at the ten year maturity compared to non-eurozone EU countries. Results are relevant for current and candidate Eurozone members, as they allow an estimate of some of the benefits and sometimes costs of euro adoption and may shed light on the importance of deepening the Economic and Monetary Union and strengthening the international role of the euro further.

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本数据集由Szilárd Erhart为研究欧元采用对主权信用评级及至欧元二十周年纪念日前所经历之长期利率影响的研究论文所准备。论文探讨欧元采用对主权信用评级及长期利率的影响，研究的三项支柱包括：（1）对信用评级机构评分方法的剖析，（2）对Fitch、Moody's和S&P评级中“欧元特权”的实证研究，以及（3）对长期政府债券利率的影响。研究发现，评级方法允许从加入汇率机制II至加入欧元区的过程中提升评级至最高2级。欧元特权在金融危机前波动于0-1级之间，在危机高峰时达到1.5级的最高值，并在欧元危机期间消失。长期政府债券利率从欧元中持续获益，不仅因为危机前的信用质量提升，还因为较低的流动性和外汇风险，这可能与获得欧洲央行操作的机会有关。在整个样本期间，欧元区成员国享受了显著的欧元融资特权，例如与欧元区外的欧盟国家相比，十年期债券的成本低1-2个百分点。研究结果对当前和潜在的欧元区成员国具有重要意义，它们允许对欧元采用的一些收益和成本进行估计，并可能阐明深化经济货币联盟及进一步增强欧元国际地位的重要性。

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