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Digital
Library of the European Council for Modelling and Simulation |
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Title: |
How To Improve Your
Sovereign Rating? – A Case Study On Hungary |
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Authors: |
Agnes
Vidovics-Dancs, Peter Juhasz,
Nora Szucs, Gabor Hajnal |
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Published in:
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(2019). ECMS 2019 Proceedings
Edited by: Mauro Iacono, Francesco Palmieri, Marco Gribaudo,
Massimo Ficco, European Council for Modeling and
Simulation. DOI: http://doi.org/10.7148/2019 ISSN:
2522-2422 (ONLINE) ISSN:
2522-2414 (PRINT) ISSN:
2522-2430 (CD-ROM) 33rd International ECMS Conference on Modelling and Simulation, Caserta, Italy, June 11th
– June 14th, 2019 |
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Citation
format: |
Agnes Vidovics-Dancs,
Peter Juhasz, Nora Szucs,
Gabor Hajnal (2019). How To Improve Your Sovereign
Rating? – A Case Study On Hungary, ECMS 2019
Proceedings Edited by: Mauro Iacono, Francesco Palmieri, Marco Gribaudo,
Massimo Ficco European Council for Modeling and
Simulation. doi: 10.7148/2019-0109 |
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DOI: |
https://doi.org/10.7148/2019-0109 |
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Abstract: |
Credit rating
agencies are often regarded as one of the key contributors to the recent
financial crisis. Regulatory authorities have expanded the regulation of the
sector, which lead to more transparency of decision-making processes,
allowing us to reconstruct the model calculations of Fitch. When substituting
the relevant data into the model, it returns the same result as the one
maintained by the agency for Hungarian sovereign rating. Using one- and
two-dimensional sensitivity analyses, we investigated – considering realistic
scenarios – whether selected variables can improve the rating further. We
found that in the current economic environment, the management of the
selected macro indicators (GDP, inflation, broad money supply, gross
government debt, foreign currency denominated debt) could not trigger the upgrade
of the rating. When considering simultaneous changes of certain pairs of
drivers, boosting economic growth financed through increasing government debt
seems to offer the only way to move the rating upward. Although it is
doubtful whether that could or should be done. |
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