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The COVID-19 pandemic and sovereign credit risk
China Finance Review International, 2021PurposeThe purpose of this study is to examine the effects of the coronavirus disease 2019 (COVID-19) pandemic on sovereign credit default swap (CDS) spreads using a large sample of countries.Design/methodology/approachIn this paper, the authors use a ...
Wei-Fong Pan +3 more
semanticscholar +1 more source
Dependency between sovereign credit ratings and economic risk: Insight from Balkan countries
Journal of Economics and Business, 2021This paper examines the time and frequency co-movement between sovereign credit ratings and economic risk for five Balkan countries, namely Bulgaria, Greece, Croatia, Romania, and Slovenia, during the 1999Q1 to 2018Q4 period.
Seyed Alireza Athari +2 more
semanticscholar +1 more source
Accounting, Economics, and Law: A Convivium
This article summarizes the core argument of ‘Rating Politics: Sovereign Credit Ratings and Democratic Choice in Prosperous Developed Countries’, co-authored by Zsófia Barta and Alison Johnston and published by Oxford University Press.
Zsófia Barta
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This article summarizes the core argument of ‘Rating Politics: Sovereign Credit Ratings and Democratic Choice in Prosperous Developed Countries’, co-authored by Zsófia Barta and Alison Johnston and published by Oxford University Press.
Zsófia Barta
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Politicians and sovereign credit ratings
SSRN Electronic Journal, 2020Using a unique hand collected sample of professional connections between finance ministers and the directors and top executives of the three largest credit rating agencies for 38 European sovereigns between January 2000 and November 2017, we show that professional connections result in higher sovereign ratings.
Patrycja Klusak +2 more
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The politics of creditworthiness: political and policy commentary in sovereign credit rating reports
Journal of Public Policy, 2020How much do politics and politically sensitive policy choices matter for sovereign credit ratings? We contend that while policy is consistently important for rating decisions, attention to politics varies with perceived uncertainty.
Zsófia Barta, Kristin Makszin
semanticscholar +1 more source
2015
Credit rating agencies perform an important service to capital markets by collecting and disseminating information about the (relative) credit quality of potential borrowers and risks associated with their debt instruments. They facilitate the creation of liquidity, an important feature of corporate and sovereign bond markets.
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Credit rating agencies perform an important service to capital markets by collecting and disseminating information about the (relative) credit quality of potential borrowers and risks associated with their debt instruments. They facilitate the creation of liquidity, an important feature of corporate and sovereign bond markets.
openaire +2 more sources
Determinants of Estonian sovereign credit rating [PDF]
, 2001 The paper focuses on sovereign credit ratings assigned to Estonia and analyses their possible determinants. The first chapter gives an overview of different rating agencies and the methodology they use in rating process. Besides that the interpretation, comparability and explanatory power of different ratings are analysed.
Andres Vesilind +2 more
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Network structures and idiosyncratic contagion in the European sovereign credit default swap market
, 2020This study combines conditional Granger causality and network analysis to examine the interconnectedness in the European sovereign credit default swap (CDS) market.
Wang Chen, Kung‐Cheng Ho, Lu Yang
semanticscholar +1 more source
Journal of Banking & Finance, 2013
Abstract The paper develops a structural credit risk model to study sovereign credit risk and the dynamics of sovereign credit spreads. The model features endogenous default and recovery rates that both depend on the interaction between domestic output fluctuations and global macroeconomic conditions.
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Abstract The paper develops a structural credit risk model to study sovereign credit risk and the dynamics of sovereign credit spreads. The model features endogenous default and recovery rates that both depend on the interaction between domestic output fluctuations and global macroeconomic conditions.
openaire +2 more sources
, 2020
Based on the GARCH Copula-CoVaR model, this paper explores the behavior of sovereign CDS spreads under extreme oil price movements by taking G7 and BRICS countries as examples.
Jun Wang, Xiaolei Sun, Jianping Li
semanticscholar +1 more source
Based on the GARCH Copula-CoVaR model, this paper explores the behavior of sovereign CDS spreads under extreme oil price movements by taking G7 and BRICS countries as examples.
Jun Wang, Xiaolei Sun, Jianping Li
semanticscholar +1 more source