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Sovereign credit ratings during the COVID-19 pandemic. [PDF]
Int Rev Financ Anal, 2021 Using 603 sovereign rating actions by the three leading global rating agencies between January 2020 and March 2021, this paper shows that the severity of sovereign ratings actions is not directly affected by the intensity of the COVID-19 health crisis (proxied by case and mortality rates) but through a mechanism of its negative economic repercussions ...
Tran Y +4 more
europepmc +5 more sources
Sovereign credit ratings, market volatility, and financial gains [PDF]
Computational Statistics & Data Analysis, 2014 The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns.
Afonso, António +2 more
core +7 more sources
Sovereign credit ratings [PDF]
, 2002 This paper describes sovereign credit ratings in emerging markets both for a specific year and over time, using quantitative explanatory variables. It turns out that rating adjustments have been worse than what economic fundamentals justify for some ...
Eliasson, Ann-Charlotte
core +3 more sources
Sovereign Credit Rating Mismatches [PDF]
SSRN Electronic Journal, 2017 We study the factors behind split ratings in sovereign credit ratings from different agencies, for the period 1980-2015. We employ random effects ordered and simple probit approaches to assess the explanatory power of different macroeconomic, government and financial variables. Our results show that structural balances and the existence of a default in
Afonso, António +2 more
openaire +2 more sources
Subjectivity in Sovereign Credit Ratings [PDF]
SSRN Electronic Journal, 2017 Abstract A sovereign creditrating is a function of hard and soft information that should reflect the creditworthiness and the probability of default of a country. We propose an alternative characterisation for the subjective component of a sovereign credit rating – the parts related to the ratee’s lobbying effort or its familiarity from a United ...
De Moor, Lieven +3 more
openaire +2 more sources
Understanding sovereign credit ratings: Text-based evidence from the credit rating reports
Journal of International Financial Markets, Institutions and Money, 2023 We apply a novel approach to identifying the qualitative judgment of the rating committee in sovereign credit ratings by extending the traditional regression with new measures – sentiment and subjectivity scores – obtained by textual sentiment analysis methods.
Ursula Slapnik, Igor Lončarski
openaire +1 more source
Determinants and Impact of Sovereign Credit Ratings [PDF]
SSRN Electronic Journal, 1996 n recent years, the demand for sovereign credit rat-ings—the risk assessments assigned by the creditrating agencies to the obligations of central govern-ments—has increased dramatically. More govern-ments with greater default risk and more companiesdomiciled in riskier host countries are borrowing in inter-national bond markets.
Richard Cantor, Frank Packer
openaire +3 more sources
Sovereign Credit Rating Mismatches
Notas Económicas, 2018 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.
Afonso, António, Albuquerque, André
openaire +5 more sources
Do changes in sovereign credit ratings contribute to financial contagion in emerging market crises? [PDF]
, 2003 Credit rating changes for long-term foreign currency debt may act as a wake-up call with upgrades and downgrades in one country affecting other financial markets within and across national borders. Such a potential (contagious) rating effect is likely to
Kräussl, Roman
core +2 more sources
Sovereign Credit Ratings and Asian Financial Markets
E+M Ekonomie a Management, 2021 Each region/country seeks to become more efficient to gain the confidence of potential investors. Most of the Asian economies are categorized as emerging markets, where the role of financial markets has even become more intensified to provide financial services to increasing economic and financial activities.
Pervaiz, Khansa +4 more
openaire +3 more sources