Sovereign Credit Rating Mismatches

Antonio Afonso and André Albuquerque ()
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André Albuquerque: ISEG-UL

Notas Económicas, 2018, issue 46, 49-70

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.

Keywords: sovereign ratings; split ratings; panel data; random effects ordered probit. (search for similar items in EconPapers)
JEL-codes: C23 C25 E44 F34 G15 H63 (search for similar items in EconPapers)
Date: 2018
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Working Paper: Sovereign Credit Rating Mismatches (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:gmf:journl:y:2017:i:45:p:49:70

DOI: 10.14195/2183-203X_46_3

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