Sovereign Credit Rating Determinants of the EU Countries: The Role of the Euro Area Crisis and Its Legacy

Stawasz‐Grabowska, Ewa

doi:10.15678/eber.2020.080203

Cited by 3 publications

(1 citation statement)

References 36 publications

(52 reference statements)

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“…In countries with lower ratings, unemployment rate, regulatory quality and JFEP 14,3 competitiveness are rating determinants; on the other hand, GDP per capita is one of the main determinants for countries with high ratings (Boumparis et al, 2017). Moreover, being a Eurozone member impacts negatively on the sovereign ratings during the 2007 crisis and positively after the crisis (Stawasz-Grabowska, 2020).…”

Section: Literature Reviewmentioning

confidence: 99%

Determinants of sovereign debt ratings in clusters of European countries – effects of the crisis

Proença

Neves

Dias

et al. 2021

JFEP

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Purpose This paper aims to study the determinants of the sovereign debt ratings provided by the 3 main rating agencies for 32 European countries. It verifies the clusters of countries existing for each of the agencies, considering regional bias, and then analyzes whether the determinants were different before and after the global financial crisis. It also aims to explain how the determinants are taken into account for rich and developing countries, using a sample for the period between 2001 and 2008 and the period between 2009 and 2016. Design/methodology/approach To this purpose, this paper performs panel data estimation using an ordered Probit approach. Findings This method shows that for developing countries after the crisis, the relevant explanatory variables are the unemployment rate and the presence in the Eurozone. For rich countries, the inflation rate is pivotal after the crisis period. Originality/value This paper is the first to use a clustering methodology within sovereign debt rating literature, grouping the countries into cohesive clusters according to their sovereign debt ratings along with the proposed time frame. Moreover, it explains, which countries belong to strong or weak groups, according to the rating agencies under discussion; and, in these groups, it identifies the sovereign rating determinants.

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Section: Literature Reviewmentioning

confidence: 99%

Determinants of sovereign debt ratings in clusters of European countries – effects of the crisis

Proença

Neves

Dias

et al. 2021

JFEP

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Determinants of Credit Ratings of Russia’s Regions

Mikhaylova

Тимушев

2021

REGIONOLOGY

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Introduction. A credit rating reflects the degree of debt sustainability of the region, but the issue of its factors at the regional level has been under-researched. The article is based on the conducted study and reveals the major factors that influenced the assignment of credit ratings by Russian and international rating agencies to the regions of Russia. Materials and Methods. The methodology of both Russian (ACRA and Expert RA) and foreign (Fitch Ratings, S&P Global Ratings, and Moody's Investors Service) rating agencies were analyzed. Factor and correlation analysis was used to group the factors; their quantitative indicators were selected. Ordinal and multinomial logistic regressions (logits) were used to test the explanatory power of the factors. Results. The negative impact on the rating of the factors of debt, deficit, and the size of the public sector, as well as the positive impact of the size and dynamics of the region’s economy has been corroborated. The negative impact of poverty, as well as the positive impact of life expectancy and the size of capital budget expenditures has been highlighted. Differences in using the indicator of the region’s dependence on subsidies have been revealed: it has been regarded as an insignificant factor by international agencies, but as a negative one by Russian agencies. Discussion and Conclusion. The authors have established that Russian agencies give priority to quantitative budget indicators, while international ones give priority to traditional economic indicators. The identified significance of the indicators of life expectancy and poverty has become a particularly valuable result as it indicates a direct dependence of the credit rating on the quality of life in the region. The results obtained make it possible to formulate regional budget policy measures aimed at reducing credit risk, expanding debt financing, and increasing the effectiveness of budget policy. The results of the study will be useful not only in the practice of public administration, but also in further scientific research, as they open the way to the analysis of the interdependence between the credit rating and countercyclical fiscal policy measures, as well as to clarify the role of other factors in creditworthiness, especially those of an institutional nature.

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Development of a Shadow Rating Model

Estran¹,

Fabritus²,

Souchaud³

2023

Finance

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Dans cet article, nous avons couvert l’essentiel des étapes du développement d’un modèle de Shadow Rating pour les grandes entreprises. Après une analyse univariée du pouvoir prédictif de 20 variables financières (18 ratios, la taille et le secteur) sur un échantillon de 1101 notes de crédit émises par les quatre agences S&P, Moody’s, Fitch et DBRS, nous avons sélectionné un ratio par famille de risque pour estimer le modèle multifactoriel. Avec des taux de réplication à un cran près sur l’échantillon d’apprentissage de 89,5%,et sur l’échantillon de test de 87,3%,ce modèle semble largement capable d’expliquer et prédire la note des grandes entreprises à partir de leurs états financiers et de leurs secteurs. Les solutions que nous proposons viennent compléter la littérature en proposant un modèle de Shadow Rating conforme aux exigences actuelles de la CRR et à celles de Bâle III finalisé (BCBS, 2017) qui seront applicables à partir du 1er janvier 2023. Notre article est également un appel et une première pierre pour des dialogues plus transparents et des débats scientifiquement robustes entre agences de notation, banques et chercheurs en modèles de notation.

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Sovereign Credit Rating Determinants of the EU Countries: The Role of the Euro Area Crisis and Its Legacy

Cited by 3 publications

References 36 publications

Determinants of sovereign debt ratings in clusters of European countries – effects of the crisis

Determinants of sovereign debt ratings in clusters of European countries – effects of the crisis

Determinants of Credit Ratings of Russia’s Regions

Development of a Shadow Rating Model

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