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Title: Sovereign credit rating mismatches
Authors: Afonso, António
Albuquerque, André
Keywords: Sovereign ratings;split ratings;panel data;random effects ordered probit
Issue Date: 2018
Publisher: Imprensa da Universidade de Coimbra
Abstract: 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.
ISSN: 2183-203X (PDF)
DOI: 10.14195/2183-203X_46_3
Rights: open access
Appears in Collections:Notas Económicas

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