Journal articles: 'Sovereign ratings'

1

Botha, Ilse, and Marinda Pretorius. "The geographical and income differences in the determinants of African sovereign credit ratings." African Journal of Economic and Management Studies 11, no. 4 (May 13, 2020): 609–24. http://dx.doi.org/10.1108/ajems-08-2018-0228.

Full text

Abstract:

PurposeThe importance of obtaining a sovereign credit rating from an agency is still underrated in Africa. Literature on the determinants of sovereign credit ratings in Africa is scarce. The purpose of this research is to determine what the determinants are for sovereign credit ratings in Africa and whether these determinants differ between regions and income groups.Design/methodology/approachA sample of 19 African countries' determinants of sovereign credit ratings are compared between 2007 and 2014 using a panel-ordered probit approach.FindingsThe findings indicated that the determinants of sovereign credit ratings differ between African regions and income groups. The developmental indicators were the most significant determinants across all income groups and regions. The results affirm that the identified determinants in the literature are not as applicable to African sovereigns, and that developmental variables and different income groups and regions are important determinants to consider for sovereign credit ratings in Africa.Originality/valueThe results affirm that the identified determinants in the literature are not as applicable to African sovereigns, and that developmental variables and different income groups and regions are important determinants to consider for sovereign credit ratings in Africa. Rating agencies follow the same rating assignment process for developed and developing countries, which means investors will have to supplement the allocated credit rating with additional information. Africa can attract more investment if African countries obtain formal, accurate sovereign credit ratings, which take the characteristics of the continent into consideration.

APA, Harvard, Vancouver, ISO, and other styles

2

van de Ven, Rick, Shaunak Dabadghao, and Arun Chockalingam. "Assigning Eurozone sovereign credit ratings using CDS spreads." Journal of Risk Finance 19, no. 5 (November 19, 2018): 478–512. http://dx.doi.org/10.1108/jrf-06-2017-0096.

Full text

Abstract:

Purpose The credit ratings issued by the Big 3 ratings agencies are inaccurate and slow to respond to market changes. This paper aims to develop a rigorous, transparent and robust credit assessment and rating scheme for sovereigns. Design/methodology/approach This paper develops a regression-based model using credit default swap (CDS) data, and data on financial and macroeconomic variables to estimate sovereign CDS spreads. Using these spreads, the default probabilities of sovereigns can be estimated. The new ratings scheme is then used in conjunction with these default probabilities to assign credit ratings to sovereigns. Findings The developed model accurately estimates CDS spreads (based on RMSE values). Credit ratings issued retrospectively using the new scheme reflect reality better. Research limitations/implications This paper reveals that both macroeconomic and financial factors affect both systemic and idiosyncratic risks for sovereigns. Practical implications The developed credit assessment and ratings scheme can be used to evaluate the creditworthiness of sovereigns and subsequently assign robust credit ratings. Social implications The transparency and rigor of the new scheme will result in better and trustworthy indications of a sovereign’s financial health. Investors and monetary authorities can make better informed decisions. The episodes that occurred during the debt crisis could be avoided. Originality/value This paper uses both financial and macroeconomic data to estimate CDS spreads and demonstrates that both financial and macroeconomic factors affect sovereign systemic and idiosyncratic risk. The proposed credit assessment and ratings schemes could supplement or potentially replace the credit ratings issued by the Big 3 ratings agencies.

APA, Harvard, Vancouver, ISO, and other styles

3

Demoussis, Michael, Konstantinos Drakos, and Nicholas Giannakopoulos. "The impact of sovereign ratings on euro zone SMEs’ credit rationing." Journal of Economic Studies 44, no. 5 (October 9, 2017): 745–64. http://dx.doi.org/10.1108/jes-03-2016-0046.

Full text

Abstract:

Purpose The purpose of this paper is to investigate credit rationing across firms in euro zone countries, as it relates to its own sovereign credit ratings. Design/methodology/approach The authors utilize firm-level data from the Survey on Access to Finance of Enterprises for the period 2009-2013 conducted by the European Central Bank. Findings A negative association between the rating of sovereign creditworthiness and credit rationing is identified, while credit rationing varies substantially even among countries with the highest quality of sovereign bonds. Credit rationing is lower in sovereigns with high-quality ratings and higher in sovereigns near default. These results remain intact when fundamental firm characteristics (e.g. firm’s age and size, sector of economic activity, financial situation, etc.) are taken into consideration. This indicates that the interconnection of sovereign debt risk with domestic credit market outcomes is robust. Originality/value The present study contributes to the relevant literature by performing a detailed analysis of credit rationing for euro zone SMEs and by exploring the link between sovereign credit rating and credit rationing during the sovereign debt crisis period.

APA, Harvard, Vancouver, ISO, and other styles

4

Takawira, Oliver, and John W. Muteba Mwamba. "DETERMINANTS OF SOVEREIGN CREDIT RATINGS: AN APPLICATION OF THE NAÏVE BAYES CLASSIFIER." Eurasian Journal of Economics and Finance 8, no. 4 (2020): 279–99. http://dx.doi.org/10.15604/ejef.2020.08.04.008.

Full text

Abstract:

This is an analysis of South Africa’s (SA) sovereign credit rating (SCR) using Naïve Bayes, a Machine learning (ML) technique. Quarterly data from 1999 to 2018 of macroeconomic variables and categorical SCRs were analyzed and classified to predict and compare variables used in assigning SCRs. A sovereign credit rating (SCR) is a measurement of a sovereign government’s ability to meet its financial debt obligations. The differences by Credit Rating Agencies (CRA) on rating grades on similar firms and sovereigns have raised questions on which elements truly determine credit ratings. Sovereign ratings were split into two (2) categories that is less stable and more stable. Through data cross-validation for supervised learning, the study compared variables used in assessing sovereign rating by the major rating agencies namely Fitch, Moody’s and Standard and Poor’s. Cross-validation splits the dataset into train set and test set. The research applied cross-validation to reduce the effects of overfitting on the Naïve Bayes Classification model. Naïve Bayes Classification is a Machine-learning algorithm that utilizes the Bayes theorem in classification of objects by following a probabilistic approach. All variables in the data were split in the ratio of 80:20 for the train set and test set respectively. Naïve Bayes managed to classify the given variables using the two SCR categories that is more stable and less stable. Variables classified under more stable indicates that ratings are high or favorable and those for less stable show unfavorable or low ratings. The findings show that CRAs use different macroeconomic variables to assess and assign sovereign ratings. Household debt to disposable income, exchange rates and inflation were the most important variables for estimating and classifying ratings.

APA, Harvard, Vancouver, ISO, and other styles

5

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 (June 12, 2017): 126–46. http://dx.doi.org/10.1108/ajems-07-2016-0100.

Full text

Abstract:

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 employed fixed effects and generalized method of moments techniques. Findings The main findings are that sovereign ratings both act as a ceiling for corporate ratings and are important determinants of corporate ratings in South Africa. The findings however indicated that company specific variables (accounting variables) are not significant in explaining credit risk ratings assigned to corporates. Research limitations/implications This study only looked at the rating activity done by Standard and Poor’s (S&P). A possible further study could explore the hypothesis tested in this research using data from multiple rating agencies and contrast the results across different agencies. Future studies could also look at crisis periods and how the transfer risk discussed in this paper manifests during the transfer period. Practical implications The results have implications for the borrowing costs incurred by corporates in South Africa when participating in the international debt market. The implication is that if the sovereign is poorly rated, the corporates may be limited in their ability to secure investor funding at competitive rates from the international financial markets. Thus, should South Africa be downgraded to non-investment grade by S&P, the implications may be that South African corporates on average may suffer the same fate. Originality/value Extant literature predominantly utilizes foreign currency ratings. To the extent that this study uses local currency ratings, it adds a new dimension in the body of related studies.

APA, Harvard, Vancouver, ISO, and other styles

6

Gaillard, Norbert. "What Is the Value of Sovereign Ratings?" German Economic Review 15, no. 1 (February 1, 2014): 208–24. http://dx.doi.org/10.1111/geer.12018.

Full text

Abstract:

Abstract This article gives a fresh analysis of sovereign ratings, including the recent default of Greece. Section 1 studies the evolution of the sovereign rating business, and Section 2 explains how credit ratings are assigned. Section 3 focuses on sovereign rating methodologies and identifies the key determinants of sovereign ratings. Section 4 measures the accuracy of these ratings between 1 January 2001 and 1 January 2013. Section 5 compares credit ratings to market-based indicators, and Section 6 concludes.

APA, Harvard, Vancouver, ISO, and other styles

7

Afonso, António, and André Albuquerque. "Sovereign Credit Rating Mismatches." Notas Económicas, no. 46 (July 1, 2018): 49–70. http://dx.doi.org/10.14195/2183-203x_46_3.

Full text

Abstract:

We study the factors behind ratings mismatches in sovereign credit ratings from different agencies, for the period 1980‑‑2015. Using random effects ordered and simple probit approaches, we find that structural balances and the existence of a default in the last ten years were the least significant variables. In addition, the level of net debt, budget balances, GDP per capita and the existence of a default in the last five years were found to be the most relevant variables for rating mismatches across agencies. For speculative‑‑grade ratings, a default in the last two or five years decreases the rating difference between S&P and Fitch. For the positive rating difference between S&P and Moody’s, and for investment‑‑grade ratings, an increase in external debt leads to a smaller rating gap between the two agencies.

APA, Harvard, Vancouver, ISO, and other styles

8

Bartels, Bernhard. "Why rating agencies disagree on sovereign ratings." Empirical Economics 57, no. 5 (June 25, 2018): 1677–703. http://dx.doi.org/10.1007/s00181-018-1503-y.

Full text

APA, Harvard, Vancouver, ISO, and other styles

9

Oskonbaeva, Zamira. "Determinants of credit ratings: evidence from panel discrete model." Economics and Business Letters 9, no. 3 (December 8, 2020): 240–47. http://dx.doi.org/10.17811/ebl.9.3.2020.240-247.

Full text

Abstract:

This study aims to explore how changes in explanatory variables may affect the probability of sovereign credit ratings assigned by Fitch, which is assumed to be a binary choice variable. For this purpose annual data of selected developed and developing countries for the period 2000-2016 have been used. All the data have been collected from World Bank database and Fitch website. In the empirical analysis the binary logit model has been applied. It can be concluded that the determinants of sovereign credit ratings can help sovereigns to better understand the drivers of their credit rating.

APA, Harvard, Vancouver, ISO, and other styles

10

Mutize, Misheck, and Virimai V. Mugobo. "An analysis of Granger causality between sovereign credit rating and economic growth in Sub-Saharan Africa." Investment Management and Financial Innovations 17, no. 4 (November 9, 2020): 85–93. http://dx.doi.org/10.21511/imfi.17(4).2020.08.

Full text

Abstract:

Interest in the relationship between credit rating and economic growth is growing as emerging economies increasingly integrate into international financial markets. Without credit ratings, developing economies would not have been able to successfully issue their sovereign bonds to support economic growth. Therefore, this paper examines a causality relationship between Standard &amp; Poor’s long-term foreign currency sovereign credit ratings and economic growth in 19 Sub-Saharan countries over the period from 2003 to 2018. The results of the Granger causality tests show a unidirectional causality from sovereign credit ratings to economic growth, not vice versa. This implies that economic growth is not significant in determining sovereign credit ratings. It can thus be concluded from these findings that sovereign credit ratings are proactive actions by rating agencies that are relevant in determining future economic growth. Thus, investors benefit from utilizing credit ratings to prevent inherent information asymmetry in fundamental economic factors. Therefore, it is important for policy makers to pay attention to sovereign credit ratings when formulating macroeconomic policies.

APA, Harvard, Vancouver, ISO, and other styles

11

Niedziółka, Paweł. "The Country Ceiling and Sovereign Rating Relationship Exemplified by the Case of Poland." Acta Universitatis Lodziensis. Folia Oeconomica 3, no. 354 (July 8, 2021): 4–19. http://dx.doi.org/10.18778/0208-6018.354.01.

Full text

Abstract:

The aim of the article is to answer the question whether the ratings of entities registered in Poland are limited by the sovereign rating of the country. The author theorises that the sovereign rating of Poland does not constitute the upper limit for ratings granted by the Big Three (Fitch Ratings, Moody’s and Standard & Poor’s) to Polish financial and non‑financial entities. The databases of three leading rating agencies were queried, selecting all (52) long‑term foreign ratings assigned to entities registered in Poland. The analysis indicates that currently no confirmation can be found of the use of the country ceiling principle, according to which the rating of any entity registered in a given country cannot be higher than its sovereign rating, by rating agencies (7.7% of rated entities in Poland is given higher rating than the sovereign one). This is at the same time a higher percentage than the average for all Big Three ratings, amounting to approx. 3%. The country ceiling is an upper, potential sovereign rating bound, resulting from the T&C risk. In the case of entities registered in Poland, however, their rating is a maximum of one notch higher than the sovereign rating, which in turn is in line with the policy that Standard & Poor’s officially announced as the only agency among the Big Three (the rating of an entity registered in a given jurisdiction can be up to four notches higher than the sovereign rating). The analysis of ratings assigned to Polish entities also indicates that a rating above the sovereign rating awarded by a given credit rating agency does not translate into similar actions of other agencies. This paper analyses the relationships between the concepts of country risk, T&C risk and sovereign risk. Another original contribution is establishing how the country ceiling principle used by rating agencies works in practice and verifying the scope of application of this principle in the Polish economic reality.

APA, Harvard, Vancouver, ISO, and other styles

12

Borensztein, Eduardo, Kevin Cowan, and Patricio Valenzuela. "Sovereign ceilings “lite”? The impact of sovereign ratings on corporate ratings." Journal of Banking & Finance 37, no. 11 (November 2013): 4014–24. http://dx.doi.org/10.1016/j.jbankfin.2013.07.006.

Full text

APA, Harvard, Vancouver, ISO, and other styles

13

Borzenko, E. A. "Sovereign ratings of Ukraine: factors and risks." BULLETIN OF THE KARAGANDA UNIVERSITY. ECONOMY SERIES 98, no. 2 (June 30, 2020): 25–31. http://dx.doi.org/10.31489/2020ec2/25-31.

Full text

APA, Harvard, Vancouver, ISO, and other styles

14

Körner, Finn Marten, and Hans-Michael Trautwein. "Rating sovereign debt in a monetary union – original sin by transnational governance." Journal of Risk Finance 16, no. 3 (May 18, 2015): 253–83. http://dx.doi.org/10.1108/jrf-11-2014-0171.

Full text

Abstract:

Purpose – The purpose of this paper is to test the hypothesis that major credit rating agencies (CRAs) have been inconsistent in assessing the implications of monetary union membership for sovereign risks. It is frequently argued that CRAs have acted procyclically in their rating of sovereign debt in the European Monetary Union (EMU), underestimating sovereign risk in the early years and over-rating the lack of national monetary sovereignty since the onset of the Eurozone debt crisis. Yet, there is little direct evidence for this so far. While CRAs are quite explicit about their risk assessments concerning public debt that is denominated in foreign currency, the same cannot be said about their treatment of sovereign debt issued in the currency of a monetary union. Design/methodology/approach – While CRAs are quite explicit about their risk assessments concerning public debt that is denominated in foreign currency, the same cannot be said about their treatment of sovereign debt issued in the currency of a monetary union. This paper examines the major CRAs’ methodologies for rating sovereign debt and test their sovereign credit ratings for a monetary union bonus in good times and a malus, akin to the “original sin” problem of emerging market countries, in bad times. Findings – Using a newly compiled dataset of quarterly sovereign bond ratings from 1990 until 2012, the panel regression estimation results find strong evidence that EMU countries received a rating bonus on euro-denominated debt before the European debt crisis and a large penalty after 2010. Practical implications – The crisis has brought to light that EMU countries’ euro-denominated debt may not be considered as local currency debt from a rating perspective after all. Originality/value – In addition to quantifying the local currency bonus and malus, this paper shows the fundamental problem of rating sovereign debt of monetary union members and provide approaches to estimating it over time.

APA, Harvard, Vancouver, ISO, and other styles

15

Thazhugal Govindan Nair, Saji. "Sovereign credit ratings and bond yield spreads in emerging markets." Journal of Financial Economic Policy 12, no. 2 (November 25, 2019): 263–77. http://dx.doi.org/10.1108/jfep-04-2019-0068.

Full text

Abstract:

Purpose This paper, using the model suggested by Cantor and Pecker (1996), aims to explore the relations between sovereign ratings and bond yield spreads in emerging markets. Design/methodology/approach The ordinary least square regression procedure administered on the most recent sovereign ratings of 46 countries demonstrates how the macroeconomic information embody in the sovereign rating scores predict their bond yield spreads relative to the yield on US Treasury bond. Findings The research finds that the assigned rating scores do not herald the complete elites of the macroeconomic conditions in emerging markets, and there is more incremental information in the publicly available macroeconomic variables, which is much useful in predicting bond yield spreads than that embedded into the sovereign ratings. Practical implications The outcomes of the research have strategic implications for global investors and policymakers. The use of credit rating scores along with the macroeconomic fundamentals in emerging economies produces better predictions than the benchmark predictions solely based on the rating scores suggested by the previous research. Originality/value This study is the first one to address the issues related to sovereign ratings and bond yield spread in developing and emerging markets using the most recent ratings during the period of the economic recoveries, following the global financial crisis of 2008.

APA, Harvard, Vancouver, ISO, and other styles

16

Grittersová, Jana. "Foreign banks and sovereign credit ratings: Reputational capital in sovereign debt markets." European Journal of International Relations 26, no. 1 (May 31, 2019): 33–61. http://dx.doi.org/10.1177/1354066119846267.

Full text

Abstract:

Sovereign credit ratings importantly influence the borrowing costs of governments in international capital markets. Yet, there is limited understanding of how credit-rating agencies determine sovereign bond ratings. I provide theoretical justification and empirical evidence to support the proposition that a substantial presence of established global banks, acting as foreign direct investors, enhances the perceived creditworthiness of the host countries that have weak domestic institutions. Foreign banks can render the host countries’ commitments to make good on their debt obligations more credible by encouraging the transparency in the financial system, disciplining their fiscal policies, and mitigating the incentives for and impact of bank bailouts. Statistical evidence from countries in emerging Europe shows that countries with high levels of foreign bank ownership tend to be assigned better sovereign credit ratings and find it easier to obtain credit at lower interest rates in sovereign bond markets. My findings are robust to various estimation techniques, to extensive controls for alternative determinants of credit ratings, for the endogeneity of foreign bank entry, and for sample-selection bias. Interviews with bankers and senior analysts at credit-rating agencies were used to complement quantitative analyses. This article is the first attempt in the literature on sovereign borrowing and debt to examine whether private market agents, such as global banks, can enhance the government’s international creditworthiness.

APA, Harvard, Vancouver, ISO, and other styles

17

CANUTO, OTAVIANO, PABLO F. PEREIRA DOS SANTOS, and PAULO C. DE SÁ PORTO. "MACROECONOMICS AND SOVEREIGN RISK RATINGS." Journal of International Commerce, Economics and Policy 03, no. 02 (May 16, 2012): 1250011. http://dx.doi.org/10.1142/s1793993312500111.

Full text

Abstract:

The objective of this paper is to analyze the concept and determinants of "sovereign risk" and the role of the credit risk rating agencies which serve internationally as the main reference instruments employed by economic agents to assess this risk. The paper also tries to identify macroeconomic variables which could be associated with sovereign risk ratings awarded by rating agencies to each country. After examining the indicators on an individual basis, their potential as a group is tested econometrically as a determinant of the class of sovereign risk into which national economies fall. Our results constitute a set of indicators which emerging economies would be well advised to improve upon.

APA, Harvard, Vancouver, ISO, and other styles

18

Bevilaqua, Julia, Galina Hale, and Eric Tallman. "Corporate Yields: Effect of Credit Ratings and Sovereign Yields." AEA Papers and Proceedings 110 (May 1, 2020): 499–503. http://dx.doi.org/10.1257/pandp.20201008.

Full text

Abstract:

We empirically evaluate the importance of two sources of public information affecting pricing of global corporate bonds: bond ratings provided by rating agencies and sovereign yields of the issuer's country. We find that both in the cross section of firms and over time more variation in corporate bond yields is explained by sovereign yields than by corporate bond ratings. When sovereign yields are high, their importance in pricing corporate bonds declines. In these states, for advanced economies' borrowers, the importance of corporate ratings increases. There is a small upward trend in the importance of corporate ratings over time.

APA, Harvard, Vancouver, ISO, and other styles

19

Dopierała, Łukasz, Daria Ilczuk, and Liwiusz Wojciechowski. "Sovereign credit ratings and CDS spreads in Emerging Europe." Equilibrium 15, no. 3 (September 7, 2020): 419–38. http://dx.doi.org/10.24136/eq.2020.019.

Full text

Abstract:

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 information about the solvency of governments in Emerging Europe countries. In addition, it describes the differences in the effect of particular types of rating events on financial markets and the impact of individual agencies on the market situation. Our study also focuses on evaluating these occurrences at different stages of the business cycle. Methods: This article uses data about ratings events that took place between 2008 and 2018 in 17 Emerging Europe economies. We took into consideration positive, neutral, and negative events related to ratings changes and the outlooks reported by Fitch Ratings, Moody’s, and Standard & Poor’s. We used a methodology based on event studies. In addition, we performed Wilcoxon signed-ranks test and used a logit model to determine the usefulness of cumulative adjusted credit default swap (CDS) spread changes in predicting the direction of ratings changes. Findings & Value added: Our research provides evidence that the CDS market reflects information regarding government issuers up to three months before ratings downgrades are announced. Information reported to the market by ratings agencies is only relevant in the short timeframe surrounding ratings downgrades and upgrades. However, positive credit rating changes convey more information to the market. We also found strong evidence that, in the post-crisis period, credit ratings provide markets with less information.

APA, Harvard, Vancouver, ISO, and other styles

20

Pinheiro, Diogo L. "The Origins of Sovereign Risk Ratings." Comparative Sociology 19, no. 3 (August 25, 2020): 388–414. http://dx.doi.org/10.1163/15691330-bja10009.

Full text

Abstract:

Abstract Sovereign Risk Ratings are controversial measures used to determine a country’s creditworthiness. They are supposed to measure not only a country’s ability, but willingness to repay its debts. Much has been said about what it is that is actually measured by these ratings. But relatively little attention has been paid to who gets rated. That is, there is substantially less research on the issue of the when and the why a nation gets rated by one of the leading Credit Rating Agencies. The objective of this article is to try to understand that, and to sort through different theories for the emergence and spread of sovereign risk ratings. We find that institutional and political aspects matter just as much as economic ones, and that therefore sovereign risk ratings may play a role in political and social issues.

APA, Harvard, Vancouver, ISO, and other styles

21

Jannone-Bellot, Nicolas, Luisa Martí-Selva, and Leandro García-Menéndez. "Determinants of Sub-Sovereign Government Ratings In Europe." Transylvanian Review of Administrative Sciences 2017, no. 50E (February 10, 2017): 110–26. http://dx.doi.org/10.24193/tras.2017.0007.

Full text

APA, Harvard, Vancouver, ISO, and other styles

22

Emara, Noha, and Ayah El Said. "Revisiting Sovereign Ratings, Capital Flows And Financial Contagion in Emerging Markets." World Journal of Applied Economics 1, no. 2 (December 30, 2015): 3. http://dx.doi.org/10.22440/econworld.j.2015.1.2.ne.0013.

Full text

Abstract:

This study revisits sovereign credit ratings, contagion and capital flows to Emerging Markets (EMs), and clarify the relationship between them. Specifically, this study analyzes how the changes in sovereign rating influence different types of capital flows to EMs and whether the changes in the different kinds of capital flows in one country be explained by a sovereign ratings’ change in another country. Using Arellano-Bover/Blundell-Bond Dynamic Panel System GMM for 23 EMs over the period 1990-2012 the results of the study suggest that sovereign ratings is a crucial factor for EMs’ access to international capital markets and that capital flows is a major source of financing for Ems. In addition, the results show that financial contagion may continue to be a threat to capital flowing into EMs and that financial crisis increases the impact of sovereign rating on foreign direct investment but is not the case with portfolio investment.

APA, Harvard, Vancouver, ISO, and other styles

23

Al-Sakka, Rasha, and Owain ap Gwilym. "Split sovereign ratings and rating migrations in emerging economies." Emerging Markets Review 11, no. 2 (June 2010): 79–97. http://dx.doi.org/10.1016/j.ememar.2009.11.005.

Full text

APA, Harvard, Vancouver, ISO, and other styles

24

Ferri, Giovanni, and Li-Gang Liu. "How Do Global Credit-Rating Agencies Rate Firms from Developing Countries?" Asian Economic Papers 2, no. 3 (September 2003): 30–56. http://dx.doi.org/10.1162/asep.2003.2.3.30.

Full text

Abstract:

This paper examines the information content of firm ratings. We disentangle the relative contribution to firms' ratings of sovereign risks and of the individual firms' performance indicators employed by rating agencies. We reach three conclusions. First, the contribution of sovereign risk to firm ratings is high in developing countries but is negligible in developed countries. Second, even after controlling for the “country ceiling effect” (i.e., the constraint put on the private firms' rating by the rating of the country in which the firms operate), the information content of ratings for firms in developing countries is much smaller than for firms in developed countries. Third, cross-country indicators of information quality help explain these discrepancies, but they do not entirely account for them.

APA, Harvard, Vancouver, ISO, and other styles

25

Osobajo, Oluyomi A., and Adeola E. Akintunde. "Determinants of Sovereign Credit Ratings in Emerging Markets." International Business Research 12, no. 5 (April 26, 2019): 142. http://dx.doi.org/10.5539/ibr.v12n5p142.

Full text

Abstract:

This study critically investigates the determinants of sovereign credit ratings in emerging markets, during 2001 to 2015. This was conducted in 20 emerging markets, using S&P and Moody ratings. Linear framework econometric approach with the use of pooled Ordinary Least Square regression method was adopted in the study. The explanatory power of the estimated models has a good performance across both rating agencies. The study reveals the importance of five macroeconomic variables in determining the sovereign credit rating of emerging markets. These variables are: gross domestic product per capital, inflation, government debt, reserves, and external debt. Also, world governance indicators, a proxy for qualitative/political variables, were found to be an essential determinant of rating.

APA, Harvard, Vancouver, ISO, and other styles

26

Uslu, Çağrı L. "Examining the Behavior of Credit Rating Agencies Post 2008 Economic Turmoil." International Journal of Management and Economics 53, no. 4 (December 20, 2017): 61–76. http://dx.doi.org/10.1515/ijme-2017-0026.

Full text

Abstract:

AbstractThe demand for sovereign ratings has increased throughout last decades. Until the1990’s, credit rating agencies (CRAs) did not rate most of the emerging markets and the focus was almost only on developed countries, however, during this decade the number of sovereigns rated increased dramatically due to addition of emerging markets to the portfolio. The global financial crisis in 2008 led to the loss of credibility of these major credit rating companies. None of these three agencies showed any signal of macroeconomic problems in countries where the financial crisis created devastating macroeconomic results. It is believed that this failure has led credit rating agencies to behave more conservatively. This paper aims to determine whether CRAs tend to behave conservatively after the 2008 global financial crisis. If the downgrading is greater than the worsening of the economic situation in the given economies, then we can infer that CRAs tend to behave more conservatively. The good working model in estimating ratings assigned by CRAs before the crisis failed to estimate the ratings after 2008 crisis. This may have happened due to two reasons. First, as experienced in the aftermath of the former crisis, credit rating agencies may have added new macroeconomic variables in the process of assigning ratings or change the weight assigned to the already existing macroeconomic variables. Second, it is a known fact that ratings emerge from the combination of two distinct information; the quantitative part reflected by macroeconomic indicators and the qualitative judgements of the agency about the sovereign.

APA, Harvard, Vancouver, ISO, and other styles

27

Dang, Huong, and Graham Partington. "Sovereign ratings and national culture." Pacific-Basin Finance Journal 60 (April 2020): 101296. http://dx.doi.org/10.1016/j.pacfin.2020.101296.

Full text

APA, Harvard, Vancouver, ISO, and other styles

28

Kunovac, Davor, and Rafael Ravnik. "Are Sovereign Credit Ratings Overrated?" Comparative Economic Studies 59, no. 2 (April 12, 2017): 210–42. http://dx.doi.org/10.1057/s41294-017-0024-6.

Full text

APA, Harvard, Vancouver, ISO, and other styles

29

De Moor, Lieven, Prabesh Luitel, Piet Sercu, and Rosanne Vanpée. "Subjectivity in sovereign credit ratings." Journal of Banking & Finance 88 (March 2018): 366–92. http://dx.doi.org/10.1016/j.jbankfin.2017.12.014.

Full text

APA, Harvard, Vancouver, ISO, and other styles

30

Önal, Nisa Özge, and Ertugrul Karacuha. "Novel Approaches on Sovereign Credit Ratings." European Journal of Pure and Applied Mathematics 11, no. 4 (October 24, 2018): 1014–26. http://dx.doi.org/10.29020/nybg.ejpam.v11i4.3333.

Full text

Abstract:

Credit ratings that are transparent, impartial and reliable as well as being up to date, quickly and easily calculated will provide convenience to investors and countries. In this study, sovereign credit rating methodologies of CRAs and studies in relevant literature are examined in detail, and two dynamic methods are proposed. These models classify countries as investable or speculative in the short term. In the first model, we used stock market values and macroeconomic variables with the Normalized Least Mean Square (NLMS) algorithm. Ratings for 15 countries are determined according to the short-term domestic currency. The results that we obtained from this model are fully consistent with those of Fitch. When we compared the results with Standard and Poor’s, we obtained different results for Turkey and Portugal. In the second model, we used only stock market closing data from 40 composite indexes with the Artificial Neural Networks (ANNs). Ratings are determined according to short-term foreign currency. The results that we acquired from these two models are fully compliant with Standard and Poor's. However, when compared to the ratings of Fitch, the results differed in the case of Russia. It has been shown that contrary to standard approaches, high predictability is achievable for countries using short-term data. The suggested models are more objective and dynamic due to only short-term data being required.

APA, Harvard, Vancouver, ISO, and other styles

31

Biglaiser, Glen, Brian Hicks, and Caitlin Huggins. "Sovereign Bond Ratings and the Democratic Advantage." Comparative Political Studies 41, no. 8 (February 13, 2008): 1092–116. http://dx.doi.org/10.1177/0010414007308021.

Full text

Abstract:

As developing countries expose portfolio investors to potential high risk, it is expected that investors will follow the advice of credit rating agencies (CRAs) before sending capital abroad. Controlling for political and economic explanations in the literature, the authors use panel data for 50 developing countries from 1987 to 2003 to determine if changes in CRA ratings affect portfolio flows. Using a two-stage Heckman model, they find that countries that are under newer political institutions and facing economic challenges are more likely to be selected by portfolio investors because they offer risk premia, but that CRA ratings and democracy have significant positive signaling effects on the countries that receive the largest private equity inflows. In fact, democracy and bond ratings are the most important for the poorest developing countries. The results suggest the significance of CRA ratings for equity investors and contribute a revision for the democratic advantage debate.

APA, Harvard, Vancouver, ISO, and other styles

32

Iyengar, Shreekant. "The Credit Rating Agencies — Are They Reliable? A Study of Sovereign Ratings." Vikalpa: The Journal for Decision Makers 37, no. 1 (January 2012): 69–82. http://dx.doi.org/10.1177/0256090920120106.

Full text

Abstract:

Sovereign credit ratings estimate the future ability and willingness of the sovereign governments to service their commercial and financial obligations in full and on time. The process of evaluating the nations and assigning ratings is a business involving various international rating agencies. Governments seek the credit ratings so as to improve their access to the international capital markets. The sovereign credit ratings are an important scale for determining the cost of borrowing to a country. The ratings provide a perception to the lenders about the level of credit risk of the national governments. However, the reliability of the ratings has been a matter of debate in the past due to the methodology followed by the rating agencies. The present paper attempts to check the reliability of these ratings by considering the ratings assigned by two of the major international rating agencies — Moody's and Standard and Poor's. This is done through comparison of the ratings assigned by them and checking whether the difference is significant and responsive for the countries rated by both. A regression analysis of the ratings and some of the commonly used indicators by the two agencies to determine the ratings is also done. The results indicate an increase in the average rating difference of the two agencies over time and that the difference in the ratings assigned by the two agencies is statistically significant. Moreover, these agencies are also found to be non-responsive to each other's ratings. This raises reasonable doubts on the consistency of these ratings as the methodology followed by these agencies involves several common determinants. The regression of the ratings over the determinants indicate that the ratings of these two agencies have more or less the common determinants except the ‘external balances’ indicator exclusively determining the S&P ratings. Considering the fact that the ratings provided by these two agencies are significantly different from each other, the differences in the ratings could be explained by the differences in the weights attached to the determinants by the two agencies. However, a test of significance for the differences in weights of the given set of indicators attached by the two agencies reveals that there is no significant difference in the weights. Thus, the differences can also be attributed to the weights attached to the subjective criteria used by these agencies in order to decide the ratings. Such criteria imply the qualitative biases built by the agencies against nations on the basis of social and political conditions and their reactions to news regarding the changes in the capital markets of a nation.

APA, Harvard, Vancouver, ISO, and other styles

33

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

Full text

Abstract:

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 a sound economic growth.The aim of the study was to elucidate the key determinants of the Lithuanian sovereign rating during the financial turbulence of 2008 and to explain their importance and dynamics through external borrowing costs of the country.

APA, Harvard, Vancouver, ISO, and other styles

34

Kotěšovcová, Jana, Jiří Mihola, and Petr Budinský. "The relationship between sovereign credit rating and trends of macroeconomic indicators." Investment Management and Financial Innovations 16, no. 3 (October 4, 2019): 292–306. http://dx.doi.org/10.21511/imfi.16(3).2019.26.

Full text

Abstract:

The sovereign credit rating provides information about the creditworthiness of a country and thereby serves as a tool for investors in order to make right decisions concerning financial assets worth investments. Thus, determination of a sovereign credit rating is a highly complex and challenging activity. Specialized agencies are involved in rating assessment. So, it’s essential to analyze the efficiency of their work and seek out easily accessible tools for generating assessments of such ratings. The objective of this article is to find out whether sovereign credit rating can be reliably estimated using trends of selected macroeconomic indicators, despite the fact that sovereign credit rating is most likely influenced by non-economic factors. This can be used for strategic considerations at national and multinational levels. The relationships between sovereign credit rating and the trends of macroeconomic indicators were examined using statistical methods, linear multiple regression analysis, cumulative correlation coefficient, and multicollinearity test. The data source used is comprised of selected World Bank indicators meeting the conditions of completeness and representativeness. The data set has shown a cumulative correlation coefficient value greater than 95%, however at 100% multicollinearity. This is followed by the gradual elimination of indicators, but even this did not allow achieving acceptable values. So, the conclusion is that rating levels are not explainable solely by the trends of economic indicators, but other influences, e.g. political. However, the fact that the statistical model yielded acceptable results for five and fewer indicators allowed a regression equation to be found that gives good estimates of a country’s rating. This allows, for example, predicting of ratings relatively easy by forecasting the development of selected macroeconomic indicators.

APA, Harvard, Vancouver, ISO, and other styles

35

Hajnal, Gábor, and Nóra Szűcs. "The Transparency of Credit Ratings – Reconstruction of Hungary’s Sovereign Rating." Hitelintézeti szemle 17, no. 3 (2018): 29–56. http://dx.doi.org/10.25201/fer.17.3.2956.

Full text

APA, Harvard, Vancouver, ISO, and other styles

36

Chen, Zhongfei, Roman Matousek, Chris Stewart, and Rob Webb. "Do rating agencies exhibit herding behaviour? Evidence from sovereign ratings." International Review of Financial Analysis 64 (July 2019): 57–70. http://dx.doi.org/10.1016/j.irfa.2019.04.011.

Full text

APA, Harvard, Vancouver, ISO, and other styles

37

Malewska, Alicja. "Failed Attempt to Break Up the Oligopoly in Sovereign Credit Rating Market after Financial Crises." Contemporary Economics 15, no. 2 (April 23, 2021): 152–63. http://dx.doi.org/10.5709/ce.1897-9254.441.

Full text

Abstract:

For decades, the credit rating market has been dominated by three major agencies (Moody's, S&P and Fitch Ratings). Their oligopolistic dominance is especially strong in sovereign credit ratings industry, where they hold a collective global share of more than 99%. Global financial crisis and the Eurozone sovereign debt crisis exposed serious flaws in rating process and forced public authorities to act. This study investigates effectiveness of new regulations adopted in the United States and in the European Union after financial crises in terms of reducing oligopolistic dominance of the “Big Three” in sovereign credit ratings market. The study applies descriptive statistical analysis of economic indicators describing concentration rate in a market, as well as content analysis of legal acts and case study methodology. Analysis shows that the Dodd-Frank reform and new European rules on supervision of credit rating agencies were not effective enough and did not lead to the increased competition in the market. The evidence from this study is explained using two alternative perspectives – economic theory of natural oligopoly and hegemonic stability theory coming from international relations field.

APA, Harvard, Vancouver, ISO, and other styles

38

BRUNER, CHRISTOPHER M., and RAWI ABDELAL. "To Judge Leviathan: Sovereign Credit Ratings, National Law, and the World Economy." Journal of Public Policy 25, no. 2 (July 15, 2005): 191–217. http://dx.doi.org/10.1017/s0143814x05000292.

Full text

Abstract:

Recent decades have witnessed the remarkable rise of a kind of market authority almost as centralized as the state itself – two credit rating agencies, Moody's and Standard & Poor's. These agencies derive their influence from two sources. The first is the information content of their ratings. The second is both more profound and vastly more problematic: Ratings are incorporated into financial regulations in the United States and around the world. In this article we clarify the role of credit rating agencies in global capital markets, describe the host of problems that arise when their ratings are given the force of law, and outline the alternatives to the public policy dilemmas created when ratings receive a public imprimatur. We conclude that agencies designated for regulatory purposes should be required to provide more nuanced ratings exposing their perceptual and ideological underpinnings (especially for sovereigns), and facilitating consideration of alternatives to ratings-dependent regulation.

APA, Harvard, Vancouver, ISO, and other styles

39

Gartner, Manfred, and Bjorn Griesbach. "Rating Agencies, Self-Fulfilling Prophecy and Multiple Equilibria? An Empirical Model of the European Sovereign Debt Crisis 2009-2011." Business and Economic Research 7, no. 1 (May 4, 2017): 199. http://dx.doi.org/10.5296/ber.v7i1.11166.

Full text

Abstract:

We explore whether governments may have faced scenarios of self-fulfilling prophecy and multiple equilibria during Europe’s sovereign debt crisis. To this end, we estimate the effect of interest rates and other macroeconomic variables on sovereign debt ratings, and of ratings on interest rates. We detect a nonlinear effect of ratings on interest rates which is strong enough to permit multiple equilibria. The good equilibrium is stable, ratings are excellent and interest rates are low. A second unstable equilibrium marks a threshold beyond which the country slides towards an insolvency trap. Coefficient estimates suggest that countries should stay well within the A segment of the rating scale in order to remain safe from being driven towards default.

APA, Harvard, Vancouver, ISO, and other styles

40

Gholipour, Elnaz, Béla Vizvári, and Zoltán Lakner. "Reconstruction Rating Model of Sovereign Debt by Logical Analysis of Data." Mathematical Problems in Engineering 2021 (August 2, 2021): 1–11. http://dx.doi.org/10.1155/2021/2882930.

Full text

Abstract:

Sovereign debt ratings provided by rating agencies measure the solvency of a country, as gauged by a lender or an investor. It is an indication of the risk involved in investment and should be determined correctly and in a well-timed manner. The current system is lacking transparency of rating criteria and mechanism. The present study reconstructs sovereign debt ratings through logical analysis of data (LAD), which is based on the theory of Boolean functions. It organizes groups of countries according to 20 World Bank-defined variables for the period 2012–2015. The Fitch Rating Agency, one of the three big global rating agencies, is used as a case study. An approximate algorithm was crucial in exploring the rating method, in correcting the agency’s errors, and in determining the estimated rating of otherwise unrated countries. The outcome was a decision tree for each year. Each country was assigned a rating. On average, the algorithm reached almost 98% matched ratings in the training set and was verified by 84% in the test set.

APA, Harvard, Vancouver, ISO, and other styles

41

Saka, Hami, and Mehmet Orhan. "Are sovereign ratings by CRAs consistent?" Panoeconomicus 65, no. 1 (2018): 95–115. http://dx.doi.org/10.2298/pan150311002s.

Full text

Abstract:

This study is an attempt to compare and contrast the credit ratings granted by prominent agencies, the so-called Big Three namely S&P, Moody?s and Fitch, that dominate the market. The sovereign ratings are proven to motivate the CDS figures of countries empirically, and low ratings are known to increase the interest paid to liabilities by these countries. We employ the historical data over 1994-2014 on the sovereign ratings of 117 countries to test for whether the ratings assigned by CRAs are significantly different or not, with the help of paired-t and ANOVA tests. Hypothesis test results reveal that such differences are significant for many countries and country groups, suggesting that the ratings by CRAs are not consistent with each other. This is true for BRIC, OECD, and emerging market countries. Extra ANOVA tests that we conducted support our findings.

APA, Harvard, Vancouver, ISO, and other styles

42

Barta, Zsófia, and Alison Johnston. "Rating Politics? Partisan Discrimination in Credit Ratings in Developed Economies." Comparative Political Studies 51, no. 5 (June 15, 2017): 587–620. http://dx.doi.org/10.1177/0010414017710263.

Full text

Abstract:

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 Co-Operation and Development (OECD) countries from 1995 to 2014 shows that left executives and the electoral victory of nonincumbent left executives are associated with significantly higher probabilities of negative rating changes. We find no evidence of similar systematic partisan bias in spreads on government bonds, but spreads do adjust to partisan-biased downgrades. This suggests that CRAs may introduce partisan discrimination into sovereign credit markets.

APA, Harvard, Vancouver, ISO, and other styles

43

Bhatia, Ashok Vir. "Sovereign Credit Ratings Methodology: An Evaluation." IMF Working Papers 02, no. 170 (2002): 1. http://dx.doi.org/10.5089/9781451858433.001.

Full text

APA, Harvard, Vancouver, ISO, and other styles

44

Latta, Thomas J. "Boom and Bust and Sovereign Ratings." CFA Digest 30, no. 2 (May 2000): 19–20. http://dx.doi.org/10.2469/dig.v30.n2.657.

Full text

APA, Harvard, Vancouver, ISO, and other styles

45

Mellios, Constantin, and Eric Paget-Blanc. "Which factors determine sovereign credit ratings?" European Journal of Finance 12, no. 4 (June 2006): 361–77. http://dx.doi.org/10.1080/13518470500377406.

Full text

APA, Harvard, Vancouver, ISO, and other styles

46

Chen, Ke, Cheng Cheng, and Shenggang Yang. "Are China’s sovereign credit ratings underestimated?" Journal of Economic Policy Reform 14, no. 4 (December 2011): 313–20. http://dx.doi.org/10.1080/17487870.2011.600031.

Full text

APA, Harvard, Vancouver, ISO, and other styles

47

Reisen, Helmut, and Julia von Maltzan. "Boom and Bust and Sovereign Ratings." International Finance 2, no. 2 (July 1999): 273–93. http://dx.doi.org/10.1111/1468-2362.00028.

Full text

APA, Harvard, Vancouver, ISO, and other styles

48

Butler, Alexander W., and Larry Fauver. "Institutional Environment and Sovereign Credit Ratings." Financial Management 35, no. 3 (September 2006): 53–79. http://dx.doi.org/10.1111/j.1755-053x.2006.tb00147.x.

Full text

APA, Harvard, Vancouver, ISO, and other styles

49

Vernazza, Daniel R., and Erik F. Nielsen. "The Damaging Bias of Sovereign Ratings." Economic Notes 44, no. 2 (May 14, 2015): 361–408. http://dx.doi.org/10.1111/ecno.12037.

Full text

APA, Harvard, Vancouver, ISO, and other styles

50

Fuchs, Andreas, and Kai Gehring. "The Home Bias in Sovereign Ratings." Journal of the European Economic Association 15, no. 6 (March 27, 2017): 1386–423. http://dx.doi.org/10.1093/jeea/jvx009.

Full text

APA, Harvard, Vancouver, ISO, and other styles

Journal articles on the topic 'Sovereign ratings'

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles