tailieunhanh - Determinants and Impact of Sovereign Credit Ratings

The wealth of data now available allows us to estimate which quantitative indicators are weighed most heavily in the determination of ratings, to evaluate the predictive power of ratings in explaining a cross-section of sovereign bond yields, and to measure whether rating announcements directly affect market yields on the day of the announcement. Our investigation suggests that, to a large extent, Moody’s and Standard and Poor’s rating assignments can be explained by a small number of well-defined criteria, which the two agencies appear to weigh similarly. We also find that the market—as gauged by sovereign debt yields—broadly shares the relative rankings of sovereign credit risks made by the two rating agencies. In addition, credit. | Determinants and Impact of Sovereign Credit Ratings Richard Cantor and Frank Packer In recent years the demand for sovereign credit ratings 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 agencies rating assignments that are lower than anticipated often prompt issuers to question the consistency and rationale of sovereign ratings. How clear are the criteria underlying sovereign ratings Moreover how much of an impact do ratings have on borrowing costs for sovereigns To explore these questions we present the first systematic analysis of the determinants and impact of the sovereign credit ratings assigned by the two leading . agencies Moody s Investors Service and Standard and Poor Such an analysis has only recently become possible as a result of the rapid growth in sovereign rating assign ments. The wealth of data now available allows us to estimate which quantitative indicators are weighed most heavily in the determination of ratings to evaluate the predictive power of ratings in explaining a cross-section of sovereign bond yields and to measure whether rating announcements directly affect market yields on the day of the announcement. Our investigation suggests that to a large extent Moody s and Standard and Poor s rating assignments can be explained by a small number of well-defined criteria which the two agencies appear to weigh similarly. We also find that the market as gauged by sovereign debt yields broadly shares the relative rankings of sovereign credit risks made by the two rating agencies. In addition credit ratings appear to have some independent influence on yields over and above their correlation with other publicly available information. In particular we find

• Ngân hàng - Tín dụng
• patient agrees
• families and carers
• information and support
• standard methodology
• prices and availability
• Eastern Mediterranean
• Ice Temperature
• Storage Technology
• Maillard Reaction