sovereign ratings
Determinants of Sovereign Ratings in Emerging Countries with Panel Probit Analysis
... the sovereign ratings with panel probit model for all ...the sovereign rates changement all the scoring leves that we calculated with panel ordered probit ...
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Currency crisis contagion, capital flows, and sovereign ratings: empirical studies of emerging markets
... 5 Contagion Factor in Credit Rating Agencies' Assessmentof Sovereign Ratings; Evidence from the East Asian Countries 5.1 Introduction 5.2 The Credit Rating Process 5.2.1 Sovereign Rating[r] ...
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Determinants of Sovereign Ratings in Emerging Countries: Qualitative Dependent Variables Panel Data Analysis
... estimated sovereign ratings of unrated countries with linear regression ...affect sovereign ratings. Some studies checked the impact of sovereign ratings on the selected ...
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Revisiting sovereign ratings, capital flows and financial contagion in emerging markets
... between sovereign ratings, capital flows, and ...in sovereign ratings affected the types of capital flows ...in sovereign ratings in different ...in ratings affect capital ...
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Do fiscal imbalances deteriorate sovereign debt ratings ?
... on sovereign ratings, determining roughly the rating ladder: the level of per capita GDP, real GDP growth, the public debt level and the government budget ...
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Country Debt Default Probabilities in Emerging Markets: Were Credit Rating Agencies Wrong?
... credit ratings and their associated default probabilities have historically been used by leading international banks for determining their capital allocation in a particular country, pricing of sovereign ...
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La metodología de rating “through the cycle”: aplicación para la estimación de ratings soberanos
... In this paper we have analyzed the determinants of sovereign ratings, using data from the two main agencies for the period 1997 2007. We have found three main indicators of TTC characteristic. First, ...
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Sovereign Credit Ratings Before and After Financial Crises
... Tables 9 and 10 present several results from the analysis of the II and Moody’s sovereign ratings, respectively. We report a variety of statistics that are meant to capture the various manifestations of the ...
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The Correlation of Sovereign Rating and Bonds’ Interest Rate in EU Member States
... consideration sovereign rat- ings which were established by rating agencies Moody’s and Standard & Poor’s, that a rating model should include: (i) variables of the real sector (economic growth lev- el, GDP per ...
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Short and long run determinants of sovereign debt credit ratings
... credit ratings are a condensed assessment of a government’s ability and willingness to repay its public debt on ...First, sovereign ratings are a key determinant of the interest rates a country faces ...
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Sovereign credit ratings and financial markets linkages: application to European data
... iii) sovereign yield spreads respond negatively (and weakly) to positive events in the EMU countries, but not in the non-EMU country sub-sample, while the response to negative events is this case is quantitatively ...
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Sovereign rescheduling probabilities in emerging markets: A comparison with credit rating agencies' ratings
... underestimate sovereign default risk over one year ...market sovereign bonds usually trade at much higher yield spreads than similarly rated US corporate bonds 14 ...agencies' sovereign ...
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Rating the United Kingdom: the British government’s sovereign credit ratings, 1976 1978
... Claims of a one-sided arrangement are nevertheless simplistic. Exaggerating the United Kingdom’s chances of securing a ‘triple-A’ rating could potentially damage Morgan Stanley’s reputation and a poorly performing bond ...
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A Note on Causality between Debt and Sovereign Credit Ratings using Panel Tests
... Given that the variables were stationary in levels the panel regression equations were estimated in levels using the pooled ordinary least square (OLS) model and the fixed effects (LSDV) model. The pooled model assumes ...
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State Dependence and Stickiness of Sovereign Credit Ratings: Evidence from a Panel of Countries
... of sovereign credit ratings: linear regression mod- els (Cantor and Parker, 1996, Celasun and Harms, 2011) and ordered probit (logit) models (Bissoondoyal-Bheenick et ...as ratings are, by nature, a ...
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Novel Approaches on Sovereign Credit Ratings
... credit ratings play a major role in the economic development and progress of ...credit ratings and their role in financial markets have been examined [3, 4, 9, 12, 22, 28, ...credit ratings led to ...
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Non Standard Securitizations: Their Economic and Financial Applications Potential
... lic and private sector entities in these developing coun- tries were able to raise funds in formerly hard-to-reach capital markets and obtain higher credit ratings than their own governments. By establishing ...
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Essays on Bayesian semiparametric ordinal response models
... previous ratings have a positive effect on the probability of Moody’s opting for A, Aa and Aaa (in the current period) and a negative effect on the probability of Moody’s assigning Baa as well as ratings ...
163
Why Is Sovereign Debt Restructuring a Challenge? The Case of Greece. Bruges European Economic Policy (BEEP) Briefing 24/2012
... In their widely quoted paper, Bulow and Rogoff (1989) argued that participants in financial markets are characterised by a very short memory when it comes to sovereign debt defaults or debt restructuring. “Debts ...
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Rating agencies and sovereign credit risk assessment. Bruegel Policy Contribution 2011/17, 15 December 2011
... publish sovereign credit ratings, it is likely that they would be considered by market investors very differently from those assigned by private-sector CRAs, if only because both institu- tions are at least ...
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