Results 1 to 10 of about 57,091 (136)
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 ...
António Afonso, André Albuquerque
doaj +5 more sources
What “Hides” Behind Sovereign Debt Ratings? [PDF]
SSRN Electronic Journal, 2007 In this paper we study the determinants of sovereign debt credit ratings using rating notations from the three main international rating agencies, for the period 1995-2005. We employ panel estimation and random effects ordered probit approaches to assess
António Afonso +2 more
core +8 more sources
Shadow Sovereign Ratings [PDF]
Economic Premise, 2011 Sovereign ratings are a necessary condition for countries to fully access international capital. Even if the sovereign government is not issuing bonds, the sovereign rating often acts as a ceiling for the private sector and can influence its ...
Canuto, Otaviano +2 more
core +2 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 +6 more sources
Do fiscal imbalances deteriorate sovereign debt ratings ? [PDF]
Revue économique, 2010 We use sovereign debt rating estimations from Afonso, Gomes and Rother (2009, 2011) for Fitch, Moody’s, and Standard & Poor’s, to assess to what extent the recent fiscal imbalances are being reflected on the sovereign debt notations.
Afonso , A. +7 more
core +8 more sources
Ordered Response Models for Sovereign Debt Ratings [PDF]
SSRN Electronic Journal, 2006 Using ordered logit and probit plus random effects ordered probit approaches, we study the determinants of sovereign debt ratings. We found that the last procedure is the best for panel data as it takes into account the additional cross-section error ...
António Afonso +2 more
core +5 more sources
The shadow economy: a relevant factor for investment decisions in selected European Union countries [PDF]
Financial Theory and Practice, 2015 The estimation of sovereign risk indicators has a key role for the investment decisions. We were witnesses of inaccurate ratings before the last economic crisis, which altered significantly the results expected by many investors.
Miroslava Kostova Karaboytcheva +1 more
doaj +5 more sources
The Home Bias in Sovereign Ratings [PDF]
Journal of the European Economic Association, 2013 Credit rating agencies are frequently criticized for producing sovereign ratings that do not accurately reflect the economic and political fundamentals of rated countries. This article discusses how the home country of rating agencies could affect rating
Fuchs , Andreas, Gehring , Kai
core +14 more sources
Credit rating announcement and bond liquidity: the case of emerging bond markets [PDF]
Journal of Economics Finance and Administrative Science, 2022 Purpose – This study examines the effect of the informational content of local credit rating announcements in emerging markets on the liquidity of their bond markets.
Amir Saadaoui +2 more
doaj +1 more source
Exchange Rates and Sovereign Risk [PDF]
Management Science, 2022 An increase in a country’s sovereign risk, as measured by credit default swap spreads, is accompanied by a contemporaneous depreciation of its currency and an increase of its volatility. The relation between currency excess returns and sovereign risk is mainly driven by default expectations (rather than distress risk premia) and exposure to global ...
Pasquale Della Corte +3 more
openaire +6 more sources