What Is the Value of Sovereign Ratings?

Norbert Gaillard

German Economic Review, 2014, vol. 15, issue 1, 208-224

Abstract: This article gives a fresh analysis of sovereign ratings, including the recent default of Greece. Section 1 studies the evolution of the sovereign rating business, and Section 2 explains how credit ratings are assigned. Section 3 focuses on sovereign rating methodologies and identifies the key determinants of sovereign ratings. Section 4 measures the accuracy of these ratings between 1 January 2001 and 1 January 2013. Section 5 compares credit ratings to market-based indicators, and Section 6 concludes.

Keywords: Credit rating agencies; sovereign debt; default; financial markets (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1111/geer.12018

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