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Author: Jack Chao Yang Publisher: ISBN: Category : Languages : en Pages :
Book Description
The study aims to quantitatively assess the extent to which sovereign ratings could be explained by a set of economic variables. A wide variety of factors could potentially bias a credit rating agency s decision. The analysis begins with replicating the results found in a seminal analysis by Cantor and Packer (1996). This analysis expanded by including more countries, dynamic over time and time lags. Multiple complementary statistical models and a Random Forest model are explored in this study. To ensure robustness of the model, out-sample-testing is applied. The results show that GNI per capita, GDP growth, total debt to GDP, inflation rate, default amount, default indicator, HDI, change in HDI and IMF indicator are statistically significant. It is observed that current account to GDP, GDP growth and inflation rate have a time-lagged effect on sovereign ratings. A further analysis by separating between developing and developed countries using the IMF indicator suggests that there is a discrepancy between developing countries ratings and developed country ratings. The model results also support the existence of subjective decisions or adjustments in sovereign risk assessment.
Author: Jack Chao Yang Publisher: ISBN: Category : Languages : en Pages :
Book Description
The study aims to quantitatively assess the extent to which sovereign ratings could be explained by a set of economic variables. A wide variety of factors could potentially bias a credit rating agency s decision. The analysis begins with replicating the results found in a seminal analysis by Cantor and Packer (1996). This analysis expanded by including more countries, dynamic over time and time lags. Multiple complementary statistical models and a Random Forest model are explored in this study. To ensure robustness of the model, out-sample-testing is applied. The results show that GNI per capita, GDP growth, total debt to GDP, inflation rate, default amount, default indicator, HDI, change in HDI and IMF indicator are statistically significant. It is observed that current account to GDP, GDP growth and inflation rate have a time-lagged effect on sovereign ratings. A further analysis by separating between developing and developed countries using the IMF indicator suggests that there is a discrepancy between developing countries ratings and developed country ratings. The model results also support the existence of subjective decisions or adjustments in sovereign risk assessment.
Author: António Afonso Publisher: ISBN: Category : Languages : en Pages :
Book Description
An analysis of the possible determinants of sovereign credit ratings assigned by the two leading credit rating agencies, Moody's and Standard and Poor's, is conducted in this paper by using linear, logistic, and exponential transformations of the rating scales. Of the large number of variables that can be used, the set of explanatory variables selected in this study is significant in explaining the credit ratings. Namely, six variables appear to be the most relevant to determining a country's credit rating: GDP per capita, external debt, level of economic development, default history, real growth rate, and inflation rate.
Author: Richard Cantor Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
The authors conduct the first systematic analysis of the determinants and impact of the sovereign credit ratings assigned by the two leading U.S. agencies, Moody's Investor Services and Standard and Poor's. Of the large number of criteria used by the two agencies, six factors appear to play an important role in determining a country's credit rating: per capita income, GDP growth, inflation, external debt, level of economic development, and default history. In addition, the authors find that sovereign ratings influence market yields - particularly those on non-investment-grade issues - independently of any correlation with publicly available information.
Author: António Afonso Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
I conduct an analysis of the possible determinants of sovereign credit ratings assigned by the two leading credit rating agencies, Moody's and Standard and Poor's, by using both a linear and a logistic transformation of the rating scales. Of the large number of variables that can be used, the set of explanatory variables selected in this study is significant in explaining the credit ratings. Namely, six variables appear to be the most relevant to determine a country's credit rating: GDP per capita, external debt, level of economic development, default history, real growth rate and inflation rate.
Author: Yves Croissant Publisher: John Wiley & Sons ISBN: 1118949188 Category : Mathematics Languages : en Pages : 435
Book Description
Panel Data Econometrics with R provides a tutorial for using R in the field of panel data econometrics. Illustrated throughout with examples in econometrics, political science, agriculture and epidemiology, this book presents classic methodology and applications as well as more advanced topics and recent developments in this field including error component models, spatial panels and dynamic models. They have developed the software programming in R and host replicable material on the book’s accompanying website.
Author: Zsófia Barta Publisher: Oxford University Press ISBN: 0198878176 Category : Languages : en Pages : 225
Book Description
How do countries' political and policy choices affect the credit ratings they receive? Sovereign ratings influence countries' cost of funding, and observers have long worried that rating agencies - these unelected, unappointed, unaccountable, for-profit organizations - can interfere with democratic sovereignty if they assign lower ratings to certain political and policy choices. The questions of whether, how, and why ratings react to policy and politics, however, remain unexplored. Rating Politics opens the black box of sovereign ratings to uncover the logic that drives rating responses to political and policy factors. Relying on statistical analysis of rating scores, interviews with sovereign rating analysts, and a close reading of the official communications of rating agencies about their decisions, Zsófia Barta and Alison Johnston show that ratings penalize center-left governments and many (though not all) policies associated with the center-left agenda. The motivation for such penalties is not rooted in assumptions about how those political and policy features affect growth and debt servicing capacity. Instead, ratings are lower in the presence of those features because they are expected to make a country more vulnerable to market panics whenever the economy is hit by unforeseen shocks, as they signal insufficient willingness and/or ability to engage in determined austerity for the sake of reassuring markets. Since market panics and the resulting "sudden stops" of funding lead to humiliating collapses of ratings, rating agencies attempt to insure themselves against "rating failures" by pre-emptively assigning lower ratings to countries with the "wrong" political and policy mix.
Author: Norbert Gaillard Publisher: Springer Science & Business Media ISBN: 1461405238 Category : Business & Economics Languages : en Pages : 200
Book Description
The financial difficulties experienced by Greece since 2009 serve as a reminder that countries (i.e., sovereigns) may default on their debt. Many observers considered the financial turmoil was behind us because major advanced countries had adopted stimulus packages to prevent banks from going bankrupt. However, there are rising doubts about the creditworthiness of several advanced countries that participated in the bailouts. In this uncertain context, it is particularly crucial to be knowledgeable about sovereign ratings. This book provides the necessary broad overview, which will be of interest to both economists and investors alike. Chapter 1 presents the main issues that are addressed in this book. Chapters 2, 3, and 4 provide the key notions to understand sovereign ratings. Chapter 2 presents an overview of sovereign rating activity since the first such ratings were assigned in 1918. Chapter 3 analyzes the meaning of sovereign ratings and the significance of rating scales; it also describes the refinement of credit rating policies and tools. Chapter 4 focuses on the sovereign rating process. Chapters 5 and 6 open the black box of sovereign ratings. Chapter 5 compares sovereign rating methodologies in the interwar years with those in the modern era. After examining how rating agencies have amended their methodologies since the 1990s, Chapter 6 scrutinizes rating disagreements between credit rating agencies (CRAs). Chapters 7 and 8 measure the performances of sovereign ratings by computing default rates and accuracy ratios: Chapter 7 looks at the interwar years and Chapter 8 at the modern era. The two chapters assess which CRA assigns the most accurate ratings during the respective periods. Chapters 9 and 10 compare the perception of sovereign risk by the CRAs and market participants. Chapter 9 focuses on the relation between JP Morgan Emerging Markets Bond Index Global spreads and emerging countries’ sovereign ratings for the period 1993–2007. Chapter 10 compares the eurozone members’ sovereign ratings with Credit Default Swap-Implied Ratings (CDS-IRs) during the Greek debt crisis of November 2009–May 2010.
Author: Laura Jaramillo Publisher: International Monetary Fund ISBN: 1455218987 Category : Business & Economics Languages : en Pages : 19
Book Description
Sovereign investment grade status is often associated with lower spreads in international markets. Using a panel framework for 35 emerging markets between 1997 and 2010, thispaper finds that investment grade status reduces spreads by 36 percent, above and beyond what is implied by macroeconomic fundamentals. This compares to a 5-10 percent reduction in spreads following upgrades within the investment grade asset class, and no impact formovements within the speculative grade asset class, ceteris paribus. While global financial conditions play a central role in determining spreads, market sentiment improves with lower external public debt to GDP levels and higher domestic growth rates.
Author: Jack Chao Yang
Author: Jack Chao Yang
Author: Zvezda L. Chan
Author: António Afonso
Author: Richard Cantor
Author: António Afonso
Author: Yves Croissant
Author: Zsófia Barta
Author: Norbert Gaillard
Author: Laura Jaramillo
Author: Peter Rowland