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. The author takes no responsibility for the timeliness, accuracy, completeness or quality of the information provided. The author is in no event liable for damages of any kind incurred or suffered as a result of the use or non-use of the information presented or the use of defective or incomplete information . The contents are subject to confirmation and not binding. The author expressly reserves the right to alter, amend , whole and in part, without prior notice or to discontinue publication for a period of time or even completely.本数据集由希尔瓦尔德·埃尔哈特（Szilárd Erhart）为一篇探讨欧元加入对主权信用评级影响的研究论文筹备完成。 摘要 本研究旨在探究欧元加入对主权信用评级，以及截至欧元诞生20周年之际的长期利率的影响。本研究包含三大核心板块：（1）信用评级机构评分方法分析；（2）针对惠誉（Fitch）、穆迪（Moody's）及标普（S&P）评级体系中“欧元特权”的实证探究；（3）长期政府债券利率分析。研究发现，评级方法允许从加入汇率机制第二阶段（Exchange Rate Mechanism II）至正式加入欧元区期间，评级获得最高2个档位的上调。欧元特权在金融危机前的区间为0至1个评级档位，在危机峰值时达到1.5个评级档位的峰值，并在欧元债务危机期间完全消失。长期政府债券利率持续受益于欧元区成员身份：不仅得益于危机前信用质量的提升，还得益于更低的流动性与外汇风险，这大概率源于可参与欧洲中央银行（ECB）的相关操作。欧元区成员国在几乎整个样本周期内均享有显著的欧元融资特权，例如相较非欧元区欧盟国家，十年期国债的融资成本可低1至2个百分点。本研究结果对当前欧元区成员国及欧元区候选成员国具有参考价值：其可用于估算欧元加入带来的部分收益与潜在成本，并可为深化经济与货币联盟（Economic and Monetary Union）、进一步提升欧元国际地位的重要性提供借鉴。 作者不对所提供信息的时效性、准确性、完整性或质量承担任何责任。在任何情形下，作者均不对因使用或未使用本研究呈现的信息，或使用存在缺陷或不完整的信息而导致或遭受的任何形式的损害承担责任。本研究内容仅供参考，不具有约束力。作者明确保留随时更改、修订全部或部分内容，无需提前通知，或暂时停止、甚至完全终止发布的权利。