Credit Ratings And Sovereign Debt
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Credit Ratings And Sovereign Debt
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Author : B. Paudyn
language : en
Publisher: Springer
Release Date : 2014-06-19
Credit Ratings And Sovereign Debt written by B. Paudyn and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-19 with Political Science categories.
Bartholomew Paudyn investigates how governments across the globe struggle to constitute the authoritative knowledge underpinning the political economy of creditworthiness and what the (neoliberal) 'fiscal normality' means for democratic governance.
The Nonlinear Relationship Between Public Debt And Sovereign Credit Ratings
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Author : Metodij Hadzi-Vaskov
language : en
Publisher: International Monetary Fund
Release Date : 2019-07-26
The Nonlinear Relationship Between Public Debt And Sovereign Credit Ratings written by Metodij Hadzi-Vaskov and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-07-26 with Business & Economics categories.
This study investigates the nonlinear relationship between public debt and sovereign credit ratings, using a wide sample of over one hundred advanced, emerging, and developing economies. It finds that: i) higher public debt lowers the probability of being placed in a higher rating category; ii) the negative debt-ratings relationship is nonlinear and depends on the rating grade itself; and iii) the identified nonlinearity explains the differential impact of debt on ratings in advanced economies versus in emerging markets and developing economies. These results hold for both gross debt and net debt, and are robust to alternative dependent variable definitions, analytical techniques, and empirical specifications. These findings underscore the potential for fiscal consolidation in helping countries achieve a better credit rating.
Sovereign Rating News And Financial Markets Spillovers
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Author : Mr.Rabah Arezki
language : en
Publisher: International Monetary Fund
Release Date : 2011-03-01
Sovereign Rating News And Financial Markets Spillovers written by Mr.Rabah Arezki and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-01 with Business & Economics categories.
This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However, we also find evidence that downgrades to near speculative grade ratings for relatively large economies such as Greece have a systematic spillover effects across Euro zone countries. Rating-based triggers used in banking regulation, CDS contracts, and investment mandates may help explain these results.
Sovereign Debt And Rating Agency Bias
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Author : D. Tennant
language : en
Publisher: Springer
Release Date : 2017-08-15
Sovereign Debt And Rating Agency Bias written by D. Tennant and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-08-15 with Business & Economics categories.
Sovereign Debt and Credit Rating Bias rejects the notion that credit rating agencies' rigorous and transparent determination of ratings leaves no room for bias, and debunks the myth that the value CRAs place on their reputational capital precludes prolonged biases. To determine the extent of CRAs' biased actions, Tennant and Tracey apply a rigorous methodology to a well-established economic model of the determinants of sovereign debt quality. They present strong evidence of bias against poor countries and demonstrate how biased rating changes could disadvantage such countries and the companies operating therein as they seek access to international capital markets. They discuss plausible explanations for the bias and suggest remedial measures that would help ensure balance in credit rating changes. This book fills an important gap by rigorously examining a long-standing but often ignored concern about the rating practices of credit rating agencies.
Sovereign Credit Ratings Methodology
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Author : Ashok Vir Bhatia
language : en
Publisher: International Monetary Fund
Release Date : 2002-10
Sovereign Credit Ratings Methodology written by Ashok Vir Bhatia and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-10 with Business & Economics categories.
This paper describes and evaluates the sovereign credit ratings methodologies of Standard & Poor's, Moody's Investors Service, and Fitch Ratings. A simple definition of ratings failure-based on ratings stability-is proposed and tested, pointing to falling failure rates, consistent upside bias, and strong interagency correlation. Possible causes of ratings failure are separated into informational, analytical, revenue bias, and other incentive problems, each of which is discussed. The paper seeks to highlight methodological developments after the Asian crisis, particularly with regard to the estimation of contingent liabilities and the assessment of international reserves adequacy.
Sovereign Credit Ratings And Spreads In Emerging Markets
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Author : Laura Jaramillo
language : en
Publisher: International Monetary Fund
Release Date : 2011-03-01
Sovereign Credit Ratings And Spreads In Emerging Markets written by Laura Jaramillo and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-01 with Business & Economics categories.
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.
A Century Of Sovereign Ratings
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Author : Norbert Gaillard
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-09-21
A Century Of Sovereign Ratings written by Norbert Gaillard and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-09-21 with Business & Economics categories.
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.
Sovereign Credit Rating
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Author : Ahmed Naciri
language : en
Publisher: Routledge
Release Date : 2016-12-19
Sovereign Credit Rating written by Ahmed Naciri and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-12-19 with Business & Economics categories.
The current degradation of sovereign balance sheets raises very real concerns about how sovereign creditworthiness is measured by credit rating agencies. Given the disastrous economic and social effects of any downgrade, the book offers an alternative and calls for more transparency about the quantitative measures used in calibrating the rating process and how sovereign ratings are validated. It argues that oversight is required and procedures improved, including subjecting methodologies of assessing default to more standardization and monitoring. Sovereign Credit Rating explains the process of sovereign creditworthiness assessment and explores the consequences of possible inaccuracies in the process. Developing an innovative new methodology to assess ratings accuracy, it shows that the announcement of each rating action by the major credit rating agencies show alarming inconsistencies. Written by an internationally recognized author and professor, this unique book will be of interest to researchers and advanced students in corporate governance, accounting, public finance and regulation.
Sovereign Debt
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Author : Rob Quail
language : en
Publisher: John Wiley & Sons
Release Date : 2011-02-25
Sovereign Debt written by Rob Quail and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-02-25 with Business & Economics categories.
An intelligent analysis of the dangers, opportunities, and consequences of global sovereign debt Sovereign debt is growing internationally at a terrifying rate, as nations seek to prop up their collapsing economies. One only needs to look at the sovereign risk pressures faced by Greece, Spain, and Ireland to get an idea of how big this problem has become. Understanding this dilemma is now more important than ever, that's why Robert Kolb has compiled Sovereign Debt. With this book as your guide, you'll gain a better perspective on the essential issues surrounding sovereign debt and default through discussions of national defaults, systemic risk, associated costs, and much more. Historical studies are also included to provide a realistic framework of reference. Contains up-to-date research and analysis on sovereign debt from today's leading practitioners and academics Details the dangers of defaults and their associated systemic risks Explores the past, present, and future of sovereign debt The repercussions of a national default are all-encompassing as global markets are intricately interwoven in the modern world. Sovereign Debt examines what it will take to overcome the challenges of this market and how you can deal with the uncertainty surrounding it.
Essays In Sovereign Debt And Sovereign Credit Ratings
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Author : Anna Gibert Rivas
language : en
Publisher:
Release Date : 2017
Essays In Sovereign Debt And Sovereign Credit Ratings written by Anna Gibert Rivas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This thesis consists of two chapters regarding the transmission of information in the sovereign debt market. The first one looks into the signaling role of the choice of debt by the sovereign and the second one focuses on a class of intermediaries in the market of sovereign debt, the credit rating agencies, and examine the information consequences of their solicited and unsolicited ratings. In the first chapter I build a model where creditworthy countries may use fiscal austerity to communicate their ability to repay sovereign debt and show that the signaling channel is active only for high levels of asymmetric information. The model generates a negative association between the amount of public information, provided by the rating agencies, and fiscal tightness. Informed by the model predictions, I perform an empirical investigation based on a panel of 58 OECD and emerging market economies since 1980 and find evidence of this signaling channel. The second chapter aims at contributing to the debate on whether unsolicited ratings are strategically motivated. I present evidence from the sovereign debt market that strategic motivation is not necessarily behind the patterns that we see in the data and propose a model of credit ratings and ancillary services that abstracts from strategic considerations. In my model, borrowers with different unobservable characteristics select themselves into different solicitation groups. In equilibrium, the model can generate either a negative or a positive selection on unsolicited ratings, depending on the share of unsolicited ratings in a given market. The economic mechanism analyzed in this chapter implies a \natural" degree of market selection which is not associated to strategic motivation.