Split sovereign ratings and rating migrations in emerging economies
AbstractThis paper presents evidence on sovereign rating heterogeneity in emerging economies. Split rated sovereigns are prone to be upgraded (downgraded) by the agency from whom a lower (higher) rating exists. The harsher the split ratings between two agencies, the greater the effect on probabilities of future rating changes. Split ratings among Moody's, S&P and Fitch are influential on their rating migrations. The rating dynamics of Capital Intelligence, Japan Credit Rating Agency and Japan Rating & Investment Information are affected by their rating disagreements with the larger agencies. Only Moody's upgrade decisions are influenced by rating differentials with the smaller agencies.
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Bibliographic InfoArticle provided by Elsevier in its journal Emerging Markets Review.
Volume (Year): 11 (2010)
Issue (Month): 2 (June)
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Web page: http://www.elsevier.com/locate/inca/620356
Split ratings Emerging sovereign ratings Rating migrations Marginal effects;
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