This paper examines the time and frequency co-movement between sovereign credit ratings and economic risk for five Balkan countries, namely Bulgaria, Greece, Croatia, Romania, and Slovenia, during the 1999Q1 to 2018Q4 period. To the best of knowledge, this is the first study attempt to conduct this nexus. We measured the sovereign credit scores by using the ratings and outlooks of Standard & Poor's (S&P), Moody's, and Fitch Ratings. The empirical findings reveal that there is a one-way causality running from the sovereign credit ratings to economic risk in Bulgaria and Croatia in the long-term. Also, it shows that there is a feedback causality between sovereign credit ratings and economic risk in Greece, Romania, and Slovenia. Results are robust and similar from both the time and frequency domains causality techniques.

本文研究了保加利亚、希腊、克罗地亚、罗马尼亚和斯洛文尼亚五个巴尔干国家在 1999 年第一季度至 2018 年第四季度期间主权信用评级与经济风险之间的时间和频率联动关系。据了解，这是第一次尝试进行这种联系的研究。我们使用标准普尔 (S&P)、穆迪和惠誉的评级和展望来衡量主权信用评分。实证结果表明，从长期来看，保加利亚和克罗地亚的主权信用评级与经济风险之间存在单向因果关系。此外，它表明希腊、罗马尼亚和斯洛文尼亚的主权信用评级与经济风险之间存在反馈因果关系。时域和频域因果关系技术的结果稳健且相似。