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Journal articles on the topic 'Sovereign ratings'

Author: Grafiati

Published: 4 June 2021

Last updated: 26 July 2025

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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 (2020): 609–24. http://dx.doi.org/10.1108/ajems-08-2018-0228.

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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

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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 (2018): 478–512. http://dx.doi.org/10.1108/jrf-06-2017-0096.

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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

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3

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.

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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 ra

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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 (2017): 745–64. http://dx.doi.org/10.1108/jes-03-2016-0046.

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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 sovere

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

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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.

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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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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.

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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 th

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8

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 (2020): 85–93. http://dx.doi.org/10.21511/imfi.17(4).2020.08.

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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;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

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9

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

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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 o

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10

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

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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.

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11

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

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12

Gaillard, Norbert J. "Credible Sovereign Ratings: Beyond Statistics and Regulations." European Business Law Review 28, Issue 1 (2017): 5–18. http://dx.doi.org/10.54648/eulr2017002.

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This article sheds new light on the credibility of sovereign ratings, and raises some doubts about their accuracy and impartiality. Although credit rating agencies (CRAs) are tasked with issuing accurate sovereign ratings, the stability of ratings suffers when CRAs inflate them owing to anticipated yet uncertain lender-of-last-resort intervention. The impartiality of sovereign ratings can be compromised also by regulators’ expectations and by the demands of investors and debt issuers. These problems were not addressed by Regulation (EU) No 462/2013 of the European Parliament and of the Council

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13

Shamusarov, Sarvar. "WAYS TO IMPROVE UZBEKISTAN'S POSITION IN THE GLOBAL SOVEREIGN CREDIT RATING." Economics and education 24, no. 1 (2023): 156–62. http://dx.doi.org/10.55439/eced/vol24_iss1/a22.

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In this article, the scientific-theoretical aspects of sovereign rating and loans and the financial-economic indicators affecting them are studied. Also, international rating agencies analyzed the practice of assessing Uzbekistan's sovereign credit rating and its position in international indexes and ratings in recent years, systematized negative factors affecting its position in ratings, and developed forecasts until 2024. As a result of the analysis, scientific proposals aimed at improving the position of our country in the Global sovereign credit rating were prepared

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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 (2015): 253–83. http://dx.doi.org/10.1108/jrf-11-2014-0171.

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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 assessmen

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15

Ellis, Colin. "Are Sovereign Ratings Biased Against Africa?" Applied Economics and Finance 9, no. 1 (2022): 29. http://dx.doi.org/10.11114/aef.v9i1.5453.

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Credit rating agencies play a crucial role in financial markets, but are often criticized for particular judgements they make. With debt sustainability in Africa coming under pressure during the COVID-19 pandemic, some market commentators renewed concerns about anti-African bias in sovereign credit ratings. Using ratings data from one of the largest agencies, and economic and fiscal data independently sourced from the IMF, this article formally tests for anti-African bias in sovereign ratings. In doing so, it focuses purely on quantitative explanatory factors, given the potential for any bias

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16

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

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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 conditio

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17

Su, Min. "Modelling sovereign credit ratings and assessing the impartiality: A case study of China." PLOS ONE 18, no. 9 (2023): e0289321. http://dx.doi.org/10.1371/journal.pone.0289321.

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The post-COVID-19 era presents a looming threat of global debt, elevating concerns regarding sovereign credit ratings worldwide. This study develops a new index system, divides the rating variables into long- and short-term factors, performs rating fitting and prediction, and investigates the fairness of China and relevant countries. Our findings reveal that sovereign credit ratings have a deterrent effect on the global financial market due to the ceiling effect and quasi-public goods characteristics. A high and stable credit rating demands long-term enhancements in economic fundamentals, budg

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18

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 (2013): 4014–24. http://dx.doi.org/10.1016/j.jbankfin.2013.07.006.

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19

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

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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 cred

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20

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.

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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 imp

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21

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 (2015): 3. http://dx.doi.org/10.22440/econworld.j.2015.1.2.ne.0013.

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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 i

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22

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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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 (2012): 1250011. http://dx.doi.org/10.1142/s1793993312500111.

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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

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24

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

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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 t

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

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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 firm

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

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27

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

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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 m

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

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29

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

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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 o

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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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Азизов, А. С. "Factors affecting sovereign credit ratings." Экономика и предпринимательство, no. 7(120) (July 9, 2020): 70–74. http://dx.doi.org/10.34925/eip.2020.120.7.011.

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Рейтинговые агентства играют важную роль на финансовых рынках. Кредитный рейтинг определяет процентную ставку, по которой страны могут занимать средства на международных финансовых рынках. Современные исследования показывают, что влияние суверенных кредитных рейтингов выходит далеко за рамки государственных долговых обязательств, поскольку они существенно влияют на других участников рынка (банки, частные фирмы). Основной целью данной работы является разработка статической модели множественной регрессии с использованием экзогенных переменных, объясняющих различия кредитных рейтингов по странам.

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

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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.

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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.

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

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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&amp;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

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

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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 g

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

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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

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

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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 s

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Firmino Ramos, Maria Raquel. "Dívida pública e sovereign rating como limites ao corporate rating na União Europeia em crise." Revista Jurídica da Presidência 26, no. 140 (2024): 652–77. https://doi.org/10.20499/2236-3645.rjp2024v26e140-1980.

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A influência da dívida pública no grau de fiabilidade e solvabilidade dos países representa grande impacto na emissão do sovereign rating pelas agências de classificação de risco. Essas agências foram postas em desconfiança, sobremaneira, após a crise do subprime. Sabe-se que o sovereign rating dos Estados-membros da União Europeia mais afetados pela crise apresenta nível alarmante, indicando um dos maiores fatores para que essas agências lhes atribuíssem junk ratings. Em razão dessa queda da confiança, até então inabalável dos investidores no mercado europeu, a atribuição desses ratings provo

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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 (2017): 199. http://dx.doi.org/10.5296/ber.v7i1.11166.

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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. Co

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Takawira, Oliver, and John W. Muteba Mwamba. "Sovereign Credit Ratings Analysis Using the Logistic Regression Model." Risks 10, no. 4 (2022): 70. http://dx.doi.org/10.3390/risks10040070.

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This study is an empirical analysis of sovereign credit ratings (SCR) in South Africa (SA) using Logistic Regression (LR) to identify their determinants and forecast SCRs. Data of macroeconomic indicators including SCRs from 1999 to 2020 in quarterly format were classified and analyzed to identify indicators utilized by Credit Rating Agencies (CRAs) and then predict future ratings CRAs take various information from political, infrastructure, financial, economic, regional, local, and other factors pertaining to a country and assess the ability of that country to pay its debt. This information i

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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 (2017): 110–26. http://dx.doi.org/10.24193/tras.2017.0007.

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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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Vanja, Bozic, and MAGAZZINO COSIMO. "Credit Rating Agencies: the Importance of Fundamentals in the Assessment of Sovereign Ratings." Economic Analysis and Policy 43, no. 2 (2021): 157–76. https://doi.org/10.5281/zenodo.4683927.

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The aim of this paper is to investigate the significance of a set of macroeconomic variables in the assessment of the sovereign ratings provided by the three main credit rating agencies in different periods in time and for countries belonging to different categorizations. Ratings have a great economic importance as they constitute the main drivers for attracting foreign investments and can influence the dynamics of interest rates. By grouping the countries according to levels of development and indebtedness, we provide the analysis of the weights attributed to each one of the macroeconomic ind

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Fagan Muzaffarli and Kanan Mahmudlu. "The impact of credit ratings on international investment: Evidence from an emerging market." World Journal of Advanced Research and Reviews 24, no. 2 (2024): 564–79. http://dx.doi.org/10.30574/wjarr.2024.24.2.3372.

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This study examines the influence of sovereign credit ratings on international investments in emerging markets, focusing on Foreign Direct Investment (FDI) and Foreign Portfolio Investment (FPI). Using data from 22 emerging economies spanning 1999 to 2019, we employ OLS and fixed-effects regression models to analyze how credit ratings affect investment flows and market volatility. The findings indicate that sovereign credit ratings significantly impact investor decisions, as these ratings serve as a key metric in assessing investment risk and potential. This research highlights the essential r

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Fagan, Muzaffarli, and Mahmudlu Kanan. "The impact of credit ratings on international investment: Evidence from an emerging market." World Journal of Advanced Research and Reviews 24, no. 2 (2024): 564–79. https://doi.org/10.5281/zenodo.15081284.

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This study examines the influence of sovereign credit ratings on international investments in emerging markets, focusing on Foreign Direct Investment (FDI) and Foreign Portfolio Investment (FPI). Using data from 22 emerging economies spanning 1999 to 2019, we employ OLS and fixed-effects regression models to analyze how credit ratings affect investment flows and market volatility. The findings indicate that sovereign credit ratings significantly impact investor decisions, as these ratings serve as a key metric in assessing investment risk and potential. This research highlights the essential r

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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 (2005): 191–217. http://dx.doi.org/10.1017/s0143814x05000292.

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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 rati

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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.

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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.

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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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