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Journal articles on the topic 'Sovereign rating downgrades'

Author: Grafiati

Published: 4 June 2021

Last updated: 9 February 2022

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1

Abdeldayem, Marwan M., and Ramzi Nekhili. "Credit Rating Changes and Stock Market Reaction in the Kingdom of Bahrain." International Journal of Economics and Finance 8, no. 8 (2016): 23. http://dx.doi.org/10.5539/ijef.v8n8p23.

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<p>Between 2014 and 2015, the oil price almost halved. Since then, it has fallen a further 40%. Consequently, Moody’s Investors Service has downgraded Bahrain’s long-term issuer rating from Baa3 to Ba1with a negative outlook and placed it on review for further downgrade. In this context, previous literature reaches no agreement about the impact of credit rating changes on stock prices. Some studies indicate that credit rating changes do not affect stock prices, while others conclude they do. Therefore, this study aims to examine whether credit rating change has a significant impact on Ba

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2

Dopierała, Łukasz, Daria Ilczuk, and Liwiusz Wojciechowski. "Sovereign credit ratings and CDS spreads in Emerging Europe." Equilibrium 15, no. 3 (2020): 419–38. http://dx.doi.org/10.24136/eq.2020.019.

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Research background: Sovereign credit ratings play an important role in determining any country’s access to the international debt market. During the global financial crisis and the European debt crisis, credit rating agencies were harshly criticized for the timing of their announcements regarding ratings downgrades and the ranges of those downgrades. Therefore, it is worth considering whether the sovereign credit rating is still a useful benchmark for investors. Purpose of the article: This article examines whether credit rating agencies still provide financial markets with new informat

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3

Mugobo, Virimai Victor, and Misheck Mutize. "The impact of sovereign credit rating downgrade to foreign direct investment in South Africa." Risk Governance and Control: Financial Markets and Institutions 6, no. 1 (2016): 14–19. http://dx.doi.org/10.22495/rgcv6i1art2.

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Foreign Direct Investment (FDI) has grown to be an attractive alternative to borrowing from multilateral institutions such as the World Bank and the International Monetary Fund for emerging economies. Global investors prefer investing in countries which have received a Sovereign Credit Rating (SCR) as they perceive it as a good measure of risk allocation. This research applied an event study methodology to SCR downgrades from the three international CRAs (Moody, Standard and Poor and Fitch) over the period 2004 to 2014 to investigate the impact of SCR change on FDI flow into South Africa. Empi

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4

Fatnassi, Ibrahim, Zied Ftiti, and Habib Hasnaoui. "Stock Market Reactions To Sovereign Credit Rating Changes: Evidence From Four European Countries." Journal of Applied Business Research (JABR) 30, no. 3 (2014): 953. http://dx.doi.org/10.19030/jabr.v30i3.8579.

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We analyze the reactions of the returns of four European stock markets to sovereign credit rating changes by Fitch, Moodys, and Standard and Poors (S&P) during the period from June 2008 to June 2012 using panel regression equations. We find that (i) upgrades and downgrades affect both own country returns and other countries returns, (ii) market reactions to foreign downgrades are stronger during the sovereign debt crisis period, and (iii) negative news from rating agencies are more informative than positive news.

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5

Pačebutaitė, Aušra. "KEY DETERMINANTS OF LITHUANIA’S SOVEREIGN CREDIT RATING." Ekonomika 90, no. 1 (2011): 73–84. http://dx.doi.org/10.15388/ekon.2011.0.955.

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The topic concerning the determinants affecting sovereign credit ratings of a country became extremely relevant after the recent economic turbulence which brought relentless downgrades, especially for Central and Eastern European (CEE) countries in their sovereign credit ratings. In the face of economic downturn around the world, causing the reduced availability of global capital flows and the appetite for risk, it becomes essential for the countries to secure the high market grade ratings in order to be able to issue foreign debt to ensure the solvency of the country’s finances and to pursue

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6

Baum, Christopher F., Dorothea Schäfer, and Andreas Stephan. "Credit rating agency downgrades and the Eurozone sovereign debt crises." Journal of Financial Stability 24 (June 2016): 117–31. http://dx.doi.org/10.1016/j.jfs.2016.05.001.

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7

Barta, Zsófia, and Alison Johnston. "Rating Politics? Partisan Discrimination in Credit Ratings in Developed Economies." Comparative Political Studies 51, no. 5 (2017): 587–620. http://dx.doi.org/10.1177/0010414017710263.

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How does government partisanship influence sovereign credit ratings of developed countries? Given the convergence of fiscal and monetary outcomes between left and right governments in the past decades, credit rating agencies (CRAs) should in principle not discriminate according to ideology. However, we hypothesize that CRAs might lower ratings for left governments as a strategy to limit negative policy and market surprises as they strive to keep ratings stable over the medium term. A panel analysis of Standard & Poor’s, Moody’s, and Fitch’s rating actions for 23 Organisation for Economic C

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8

Ioannou, Stefanos. "Credit Rating Downgrades and Sudden Stops of Capital Flows in the Eurozone." Journal of International Commerce, Economics and Policy 08, no. 03 (2017): 1750016. http://dx.doi.org/10.1142/s1793993317500168.

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The current paper investigates the impact of sovereign ratings on sudden stops of capital in the context of the Eurozone. Our analysis focuses on the qualitative aspect of ratings on the hypothesis that such aspect has a concrete impact on capital movements. A panel probit model is utilized for our purposes. We distinguish between net and gross capital inflows, while we also draw a distinction between long-term and short-term oriented capital. Our results confirm the influence of sovereign ratings for the majority of our model specifications. They also appear to be most significant in the case

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9

Alsakka, Rasha, Owain ap Gwilym, and Tuyet Nhung Vu. "The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis." Journal of International Money and Finance 49 (December 2014): 235–57. http://dx.doi.org/10.1016/j.jimonfin.2014.03.012.

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10

He, Jianan, and Dirk Schiereck. "Sovereign rating announcements and the integration of African banking markets." Journal of Risk Finance 20, no. 5 (2019): 484–500. http://dx.doi.org/10.1108/jrf-11-2018-0176.

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Purpose The purpose of this paper is to examine the information spillover of sovereign rating changes on the market valuation of bank stocks in Africa. Design methodology First, the authors apply event study methodology to evaluate the stock market reaction of African bank stocks on the announcement of sovereign rating changes. Second, the cross sections of the abnormal returns are examined by multivariate regression analyses. Third, the findings are proved for robustness. Findings The authors investigate how 37 African banks react to 203 African sovereign rating announcements from the three l

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11

Li, Chunling, Khansa Pervaiz, Muhammad Asif Khan, Faheem Ur Rehman, and Judit Oláh. "On the Asymmetries of Sovereign Credit Rating Announcements and Financial Market Development in the European Region." Sustainability 11, no. 23 (2019): 6636. http://dx.doi.org/10.3390/su11236636.

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In modeling the impact of sovereign credit rating (CR) on financial markets, a considerable amount of the literature to date has been devoted to examining the short-term impact of CR on financial markets via an event-study methodology. The argument has been established that financial markets are sensitive to CR announcements, and market reactions to such announcements (both upgrading and degrading) are not the same. Using the framework of an autoregressive distributed lag setting, the present study attempted to empirically test the linear and non-linear impacts of CR on financial market develo

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12

KILIÇ, Saim, Ali ALP, and İ̇hsan Uğur DELİKANLI. "GOOD FORECASTING OR INFORMATION LEAKAGE EXPLAINING MARKET BEHAVIOR PRIOR TO THE ANNOUNCEMENT OF SOVEREIGN RATING DOWNGRADES: EVIDENCE FROM TURKEY." M U Iktisadi ve Idari Bilimler Dergisi 42, no. 2 (2021): 327–39. http://dx.doi.org/10.14780/muiibd.854499.

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13

Ntsalaze, Zuziwe, Gideon Boako, and Paul Alagidede. "The impact of sovereign credit ratings on corporate credit ratings in South Africa." African Journal of Economic and Management Studies 8, no. 2 (2017): 126–46. http://dx.doi.org/10.1108/ajems-07-2016-0100.

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Purpose The purpose of this paper is to examine the impact of sovereign credit ratings on corporations in South Africa by assessing whether the sovereign rating assigned to South Africa by credit rating agencies acts as a ceiling/constraint for credit ratings assigned to corporations that operate within the country. The question of whether sovereign ratings are significant in determining corporate ratings was also explored. Design/methodology/approach To test the hypothesis regarding the rating of corporates relative to sovereigns, a longitudinal panel design was followed. The analysis employe

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14

Adelino, Manuel, and Miguel A. Ferreira. "Bank Ratings and Lending Supply: Evidence from Sovereign Downgrades." Review of Financial Studies 29, no. 7 (2016): 1709–46. http://dx.doi.org/10.1093/rfs/hhw004.

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15

Gaillard, Norbert. "Assessing sovereign risk: the case of rich countries." Journal of Financial Economic Policy 6, no. 3 (2014): 212–25. http://dx.doi.org/10.1108/jfep-03-2014-0017.

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Purpose – This paper aims to shed new light on the inability of credit rating agencies (CRAs) to forecast the recent defaults and so-called quasi-defaults of rich countries. It also describes how Moody’s sovereign rating methodology has been modified – and could be further improved – to solve this problem. Design/methodology/approach – After converting bond yields into yield-implied ratings, accuracy ratios are computed to compare the respective performances of CRAs and market participants. Then Iceland’s and Greece’s ratings at the beginning of the Great Recession are estimated while accounti

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16

Meyer, Daniel, and Lerato Mothibi. "The impact of risk rating agencies decisions on investment and economic growth in South Africa." 11th GLOBAL CONFERENCE ON BUSINESS AND SOCIAL SCIENCES 11, no. 1 (2020): 109. http://dx.doi.org/10.35609/gcbssproceeding.2020.11(109).

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Over the last decade, the South African economy has endured prevailing economic challenges including weak economic growth, unreliable electricity supply, rising fiscal deficits, sub-duded investment inflows and the inexorable rise in government debt alongside the expected impact of the corona virus pandemic. Credit ratings have greatly evolved making them key elements in the modern financial markets because of their opinions of credit worthiness, as many investors across the globe relay heavily on their opinions. South Africa unlike many of its developing counterparts, has since struggled to m

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17

Jakob, Keith, and Yoonsoo Nam. "Do cultures influence abnormal market reactions before official sovereign debt rating downgrade announcements?" Journal of International Financial Markets, Institutions and Money 47 (March 2017): 65–75. http://dx.doi.org/10.1016/j.intfin.2016.11.008.

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18

An, Jiyoun, and Bokyeong Park. "Natural Disasters and International Financial Accessibility in Developing Countries." Asian Economic Papers 18, no. 1 (2019): 245–61. http://dx.doi.org/10.1162/asep_a_00682.

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This study examines the impact of natural disasters on affected countries’ accessibility to international financial resources. We find empirical evidence that natural disasters significantly downgrade the sovereign credit rating of an affected country, an indicator of international financial accessibility. This finding is robust in developing countries, implying that they are faced with additional difficulties in financing post-disaster recovery costs compared with developed countries. Among disasters, droughts and storms display a particularly significant downgrading effect. Further results s

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19

Pappas, Anastasios, and Ioannis Kostakis. "The Driving Factors of EMU Government Bond Yields: The Role of Debt, Liquidity and Fiscal Councils." International Journal of Financial Studies 8, no. 3 (2020): 53. http://dx.doi.org/10.3390/ijfs8030053.

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This study presents empirical evidence about the determinants of long-term government bond yields for 19 economies of the European Monetary Union (EMU) over the period 1995–2018 within a multivariate panel framework. The fixed effects estimators reveal that the relationship between public debt to the GDP ratio and yields is non-linear. We observe a threshold, which is determined to be at the area 90% of the ratio of public debt to GDP. Beyond that, area government borrowing costs increase as the public debt rises. Furthermore, we find evidence that a GDP decline and the downgrades of sovereign

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20

Adelino, Manuel, and Miguel A. Ferreira. "Does Sovereign Credit Risk Affect Bank Lending? Evidence from Sovereign Rating Downgrades." SSRN Electronic Journal, 2014. http://dx.doi.org/10.2139/ssrn.2376721.

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21

Baum, Christopher F., Margarita Karpava, Dorothea Schhfer, and Stephan Andreas. "Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises." SSRN Electronic Journal, 2014. http://dx.doi.org/10.2139/ssrn.2646513.

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22

Hasan, Iftekhar, Suk-Joong Kim, Panagiotis N. Politsidis, and Eliza Wu. "Syndicated Bank Lending and Rating Downgrades: Do Sovereign Ceiling Policies Really Matter?" SSRN Electronic Journal, 2020. http://dx.doi.org/10.2139/ssrn.3661271.

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23

Motseta, Shanana Desiree’, and Oliver Takawira. "An Analysis of Sovereign Credit Ratings Impact on Financial Development in South Africa." Journal of Accounting and Finance in Emerging Economies 7, no. 3 (2021). http://dx.doi.org/10.26710/jafee.v7i3.1804.

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Purpose: The study analyses the effects of sovereign credit ratings on financial development in South Africa. This became important considering that the country has been receiving negative ratings of late. Design/Methodology/Approach: Quarterly data for the period 1994-2017 was analysed using the Auto-Regressive Distributed Lag (ARDL) cointegration model and its associated statistics. The Error Correction Model (ECM) was implemented to augment the results of ARDL analysing the short run dynamics. The model was chosen given the order of integration of the variables. Financial development

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24

Mutize, Misheck, and McBride Peter Nkhalamba. "A comparative study of economic growth as a key determinant of sovereign credit ratings in Africa." International Journal of Emerging Markets ahead-of-print, ahead-of-print (2020). http://dx.doi.org/10.1108/ijoem-10-2019-0830.

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PurposeThis study is a comparative analysis of the magnitude of economic growth as a key determinant of long-term foreign currency sovereign credit ratings in 30 countries in Africa, Europe, Asia and Latin America from 2010 to 2018.Design/methodology/approachThe analysis applies the fixed effects (FE) and random effects (RE) panel least squares (PLS) models.FindingsThe authors find that the magnitude economic coefficients are marginally small for African countries compared to other developing countries in Asia, Europe and Latin America. Results of the probit and logit binary estimation models

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25

Masciandaro, Donato. "What If Credit Rating Agencies Were Downgraded? Ratings, Sovereign Debt and Financial Market Volatility." SSRN Electronic Journal, 2011. http://dx.doi.org/10.2139/ssrn.1924859.

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26

Wang, Erik Rui, and Shijie Yang. "Credit Ratings and Firm Innovation: Evidence from Sovereign Downgrades." SSRN Electronic Journal, 2018. http://dx.doi.org/10.2139/ssrn.3045382.

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27

Wang, Daisy (Sicong), and Wensi Xie. "Credit Ratings and Corporate Information Production: Evidence from Sovereign Downgrades." Journal of Financial and Quantitative Analysis, September 3, 2021, 1–57. http://dx.doi.org/10.1017/s0022109021000600.

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28

Almeida, Heitor, Igor Cunha, and Miguel A. Ferreira. "The Real Effects of Credit Ratings: Using Sovereign Downgrades as a Natural Experiment." SSRN Electronic Journal, 2013. http://dx.doi.org/10.2139/ssrn.2349051.

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29

Silveira Pacheco de Oliveira, Diego, and Gabriel Caldas Montes. "Sovereign credit news and disagreement in expectations about the exchange rate: evidence from Brazil." Journal of Economic Studies ahead-of-print, ahead-of-print (2020). http://dx.doi.org/10.1108/jes-10-2019-0483.

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PurposeCredit rating agencies (CRAs) are perceived as highly influential in the financial system since their announcements can affect several players in the financial markets, from big private financial and non-financial companies and their financial markets experts to sovereign states. In this sense, this study investigates whether sovereign credit news issued by CRAs (measured by comprehensive credit rating (CCR) variables) affect the uncertainties about the exchange rate in the future (captured by the disagreement about exchange rate expectations). The study is relevant once there is eviden

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