Split sovereign ratings and rating migrations in emerging economies

Rasha Al-Sakka and Owain ap Gwilym
Authors registered in the RePEc Author Service: Rasha Alsakka

Emerging Markets Review, 2010, vol. 11, issue 2, 79-97

Abstract: This paper presents evidence on sovereign rating heterogeneity in emerging economies. Split rated sovereigns are prone to be upgraded (downgraded) by the agency from whom a lower (higher) rating exists. The harsher the split ratings between two agencies, the greater the effect on probabilities of future rating changes. Split ratings among Moody's, S&P and Fitch are influential on their rating migrations. The rating dynamics of Capital Intelligence, Japan Credit Rating Agency and Japan Rating & Investment Information are affected by their rating disagreements with the larger agencies. Only Moody's upgrade decisions are influenced by rating differentials with the smaller agencies.

Keywords: Split; ratings; Emerging; sovereign; ratings; Rating; migrations; Marginal; effects (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1566-0141(09)00054-5
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:11:y:2010:i:2:p:79-97

Access Statistics for this article

Emerging Markets Review is currently edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Bibliographic data for series maintained by Catherine Liu ().