Are sovereign ratings by CRAs consistent?
This study is an attempt to compare and contrast the credit ratings granted by prominent agencies, the so-called Big Three namely S&P, Moody’s and Fitch, that dominate the market. The sovereign ratings are proven to motivate the CDS figures of countries empirically, and low ratings are...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Economists' Association of Vojvodina
2018-01-01
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| Series: | Panoeconomicus |
| Subjects: | |
| Online Access: | http://www.doiserbia.nb.rs/img/doi/1452-595X/2018/1452-595X1600002S.pdf |
| Summary: | This study is an attempt to compare and contrast the credit ratings granted
by prominent agencies, the so-called Big Three namely S&P, Moody’s and
Fitch, that dominate the market. The sovereign ratings are proven to
motivate the CDS figures of countries empirically, and low ratings are known
to increase the interest paid to liabilities by these countries. We employ
the historical data over 1994-2014 on the sovereign ratings of 117 countries
to test for whether the ratings assigned by CRAs are significantly different
or not, with the help of paired-t and ANOVA tests. Hypothesis test results
reveal that such differences are significant for many countries and country
groups, suggesting that the ratings by CRAs are not consistent with each
other. This is true for BRIC, OECD, and emerging market countries. Extra
ANOVA tests that we conducted support our findings. |
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| ISSN: | 1452-595X 2217-2386 |