Procyclicality and path dependence of sovereign credit ratings: The example of Europe

Lennart Freitag

No 20, Research Memorandum from Maastricht University, Graduate School of Business and Economics (GSBE)

Abstract: This paper investigates empirically the behavior of Credit Rating Agencies (CRAs) when assessing sovereign solvency for European countries. Using Probit regressions I find that even after controlling for macroeconomic factors, CRAs take the business cycle into account. Also, there is a clear case of path dependence in sovereign ratings. Additionally, it turns out that there seems to be a discrepancy between upgrades and downgrades. These results are robust to a number of different specifications.

Date: 2014-01-01
New Economics Papers: this item is included in nep-cba and nep-eec
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Procyclicality and Path Dependence of Sovereign Credit Ratings: The Example of Europe (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:unm:umagsb:2014020

DOI: 10.26481/umagsb.2014020

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