Autore
Freitag, Lennart

Titolo
Procyclicality and path dependence of sovereign credit ratings: the example of Europe
Periodico
Economic notes
Anno: 2015 - Volume: 44 - Fascicolo: 2 - Pagina iniziale: 309 - Pagina finale: 332

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.



SICI: 0391-5026(2015)44:2<309:PAPDOS>2.0.ZU;2-1

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