This paper studies the impact of sovereign credit rating and outlook changes on the shape of the sovereign yield curve using data for five European countries, namely, Greece, Ireland, Italy, Portugal, and Spain, known as the GIIPS for the period of 2001–2016. We use the dynamic Nelson–Siegel model to estimate the level, slope, and curvature of the yield curve. Subsequently, we employ the vector autoregressive model to estimate the effect of sovereign rating and outlook changes on the sovereign yield curve. We find a significant effect of rating downgrades and an insignificant effect of rating upgrades in all five countries; however, the results for the effect of changes in outlook status are mixed. Our results remain robust to various sensitivity tests.

中文翻译：

---

GIIPS 中的主权收益率曲线和信用评级

本文使用希腊、爱尔兰、意大利、葡萄牙和西班牙五个欧洲国家的数据研究主权信用评级和前景变化对主权收益率曲线形状的影响，即 2001 年期间的 GIIPS—— 2016 年。我们使用动态 Nelson-Siegel 模型来估计收益率曲线的水平、斜率和曲率。随后，我们采用向量自回归模型来估计主权评级和前景变化对主权收益率曲线的影响。我们发现所有五个国家的评级下调影响显着，评级上调影响不显着；然而，前景状况变化的影响结果喜忧参半。我们的结果对各种敏感性测试保持稳健。