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Sovereign rating: a comparison among different rating agencies

Author

Listed:
  • Massimo Regalli

    (Università di Parma)

  • Maria Gaia Soana

    (Università di Parma)

  • Emanuele Testi

    (Università di Parma)

Abstract

Our research compares sovereign ratings assigned by the American S&P, Fitch and Moody’s, and the most important Chinese credit rating agency, Dagong. Differences in sovereign ratings appear rather small among US agencies, while significant between the «Big Three» and the Chinese Dagong. The four rating agencies seem to use the same macroeconomic variables in order to assign credit rating to countries. Furthermore, these variables are not able to explain the sovereign rating differences among the four credit rating agencies

Suggested Citation

  • Massimo Regalli & Maria Gaia Soana & Emanuele Testi, 2017. "Sovereign rating: a comparison among different rating agencies," BANCARIA, Bancaria Editrice, vol. 10, pages 12-29, October.
    • Handle: RePEc:ban:bancar:v:10:y:2017:m:october:p:12-29
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    More about this item

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • G2 - Financial Economics - - Financial Institutions and Services

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