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Updated Methodology for Assigning Credit Ratings to Sovereigns
2021"Le placement des réserves de change ou d’autres portefeuilles d’actifs nécessite au préalable une évaluation de la qualité du crédit des contreparties aux opérations de placement. Par le passé, les gestionnaires de réserves de change et d’autres actifs avaient surtout recours aux notes attribuées par les agences de notation. Pour soutenir la stabilité
McDaniels, Karim +4 more
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The sovereign yield curve and credit ratings in GIIPS
International Review of Finance, 2017AbstractThis paper studies the impact of sovereign credit rating and outlook changes on the shape of the sovereign yield curve using data for five European countries, namely, Greece, Ireland, Italy, Portugal, and Spain, known as the GIIPS for the period of 2001–2016.
Yasir Riaz +2 more
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Access to Credit by Firms and Sovereign Credit Rating Stability
SSRN Electronic Journal, 2019This paper studies the impact of the number of sovereign credit rating and outlook changes on the access to credit by firms. The data sample consists of 127,000 firms from 139 countries surveyed by World Bank over the period, 2006 to 2016. An ordered logit model is used as a primary tool for empirical analysis.
Yasir Riaz +2 more
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Credit Rating Agencies: The Importance of Fundamentals in the Assessment of Sovereign Ratings [PDF]
Economic Analysis and Policy, 2013 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.
Vanja Bozic, COSIMO MAGAZZINO
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Are China’s sovereign credit ratings underestimated?
Journal of Economic Policy Reform, 2011We use a comprehensive database of sovereign credit ratings (SCRs) from Moody’s, Standard and Poor’s and Fitch for a cross-section of 120 countries from 1986–2009. Using panel data, we find that GDP per capita, the GDP growth rate and the degree of industrialization positively affect ratings, while the government cash flow deficit, the current account ...
Ke Chen, Cheng Cheng, Shenggang Yang
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1995
Sovereign ratings are gaining importance as more governments with greater default risk borrow in international bond markets. But while the ratings have proved useful to governments seeking market access, the difficulty of assessing sovereign risk has led to agency disagreements and public controversy over specific rating assignments.
Richard Cantor, Frank Packer
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Sovereign ratings are gaining importance as more governments with greater default risk borrow in international bond markets. But while the ratings have proved useful to governments seeking market access, the difficulty of assessing sovereign risk has led to agency disagreements and public controversy over specific rating assignments.
Richard Cantor, Frank Packer
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Institutional Environment and Sovereign Credit Ratings
SSRN Electronic Journal, 2006We use a sample of 86 counties to examine the cross-sectional determinants of sovereign credit ratings. We find that the quality of a country's legal and political institutions plays a vital role in determining these ratings. A one-standard-deviation increase in our legal environment index results in an average credit rating increase of 0.466 standard ...
Alexander W. Butler, Larry Fauver
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The Procyclicality of African Sovereign Credit Ratings
2017Credit rating agencies are supposed to have a long-term outlook when assigning credit ratings to sovereign states. It is unwarranted to assign high (low) ratings to sovereigns that are experiencing momentary successes (impediments). Ratings should therefore be assigned without taking the business cycle into account.
Marinda Pretorius, Ilsé Botha
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Statistical Properties of Sovereign Credit Ratings
SSRN Electronic Journal, 2001The sovereign credit rating is a key determinant of the cost and availability of international financing for an economy. This paper models ratings as a function of expected repayment capacity, derives testable hypotheses, and conducts a statistical analysis based of the ratings awarded by Institutional Investor.
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Determinants of sovereign credit rating and credit rating agencies faults
Sarajevo business and economics review, 2014Credit rating agencies are prominent actors on world financial market, as they make decisions on country’s credit rating which determines general investment climate and influences economic progress and general economic stability of a country. The aim of this paper is to determine key factors in defining country’s credit rating in the period before ...
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