Determinants and Impact of Sovereign Credit Ratings
نویسندگان
چکیده
منابع مشابه
Determinants and Impact of Sovereign Credit Ratings
n recent years, the demand for sovereign credit rat-ings—the risk assessments assigned by the credit rating agencies to the obligations of central govern-ments—has increased dramatically. More governments with greater default risk and more companies domiciled in riskier host countries are borrowing in international bond markets. Although foreign government officials generally cooperate with the...
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The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are defined using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility, but downgrades increase stock ...
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We show that sovereign debt impairments can have a significant impact on financial markets and real economies through a credit ratings channel. Specifically, we find that firms reduce their investment and reliance on credit markets due to a rising cost of debt capital following a sovereign rating downgrade. We identify these effects by exploiting exogenous variation on corporate ratings due to ...
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In this paper, I develop a theoretical model to analyze the optimal choice between bank loans and bond finance for a sovereign debtor. The model describes a market that is subject to moral hazard and adverse selection. I model the choice between the two debt instruments allowing for debt renegotiation in the event of financial distress, with the possibility of default. The model incorporates pr...
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The respective study covers three aspects; factors determining credit rating, credit rating impact on performance of entities and the relation between stock returns and credit rating. The study focuses on the firms listed in Taiwan Stock Exchange (TSE) of Taiwan. The empirical analysis uses the data of 50 firms rated by Taiwan Ratings Corporation (TRC) for the period 2010-2015. Two estimation t...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 1996
ISSN: 1556-5068
DOI: 10.2139/ssrn.1028774