Sovereign Credit Rating Mismatches
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 v...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Coimbra University Press
2018-07-01
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| Series: | Notas Económicas |
| Subjects: | |
| Online Access: | https://impactum-journals.uc.pt/notaseconomicas/article/view/5961 |
| _version_ | 1828495750541082624 |
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| author | António Afonso André Albuquerque |
| author_facet | António Afonso André Albuquerque |
| author_sort | António Afonso |
| collection | DOAJ |
| description | 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. In addition, the level of net debt, budget balances, GDP per capita and the existence of a default in the last five years were found to be the most relevant variables for rating mismatches across agencies. For speculative‑‑grade ratings, a default in the last two or five years decreases the rating difference between S&P and Fitch. For the positive rating difference between S&P and Moody’s, and for investment‑‑grade ratings, an increase in external debt leads to a smaller rating gap between the two agencies. |
| first_indexed | 2024-12-11T12:18:15Z |
| format | Article |
| id | doaj.art-9386198a0290470a93cadc8f37b22f3d |
| institution | Directory Open Access Journal |
| issn | 0872-4733 2183-203X |
| language | English |
| last_indexed | 2024-12-11T12:18:15Z |
| publishDate | 2018-07-01 |
| publisher | Coimbra University Press |
| record_format | Article |
| series | Notas Económicas |
| spelling | doaj.art-9386198a0290470a93cadc8f37b22f3d2022-12-22T01:07:36ZengCoimbra University PressNotas Económicas0872-47332183-203X2018-07-014610.14195/2183-203X_46_3Sovereign Credit Rating MismatchesAntónio Afonso0André Albuquerque1ISEG - UL, Universidade de Lisboa REM - Research in Economics and Mathematics UECE - Research Unit on Complexity and EconomicsISEG - UL, Universidade de LisboaWe 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. In addition, the level of net debt, budget balances, GDP per capita and the existence of a default in the last five years were found to be the most relevant variables for rating mismatches across agencies. For speculative‑‑grade ratings, a default in the last two or five years decreases the rating difference between S&P and Fitch. For the positive rating difference between S&P and Moody’s, and for investment‑‑grade ratings, an increase in external debt leads to a smaller rating gap between the two agencies.https://impactum-journals.uc.pt/notaseconomicas/article/view/5961Sovereign ratingssplit ratingspanel datarandom effects ordered probit |
| spellingShingle | António Afonso André Albuquerque Sovereign Credit Rating Mismatches Notas Económicas Sovereign ratings split ratings panel data random effects ordered probit |
| title | Sovereign Credit Rating Mismatches |
| title_full | Sovereign Credit Rating Mismatches |
| title_fullStr | Sovereign Credit Rating Mismatches |
| title_full_unstemmed | Sovereign Credit Rating Mismatches |
| title_short | Sovereign Credit Rating Mismatches |
| title_sort | sovereign credit rating mismatches |
| topic | Sovereign ratings split ratings panel data random effects ordered probit |
| url | https://impactum-journals.uc.pt/notaseconomicas/article/view/5961 |
| work_keys_str_mv | AT antonioafonso sovereigncreditratingmismatches AT andrealbuquerque sovereigncreditratingmismatches |