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Sovereign ratings of advanced and emerging economies after the crisis

Listed author(s):
  • Marlene Amstad
  • Frank Packer

The three major credit rating agencies have reassessed sovereign credit risks in the light of the Great Financial Crisis, increasing the transparency of their methodologies. This has resulted in material shifts in the rank-ordering of risks. Simple statistical models explain the lion's share of ratings differentials and capture some, but not all, of the methodological changes. Support is not found for the hypothesis of bias against emerging market economies (EMEs). Some rating agencies other than the big three offer alternative risk rankings that are more favourable to EMEs. However, these tend to be less closely aligned with the rankings provided by market prices and institutional investors.

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Article provided by Bank for International Settlements in its journal BIS Quarterly Review.

Volume (Year): (2015)
Issue (Month): (December)
Pages:

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Handle: RePEc:bis:bisqtr:1512h
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  1. John Kiff & Sylwia Nowak & Liliana B Schumacher, 2012. "Are Rating Agencies Powerful? An Investigation Into the Impact and Accuracy of Sovereign Ratings," IMF Working Papers 12/23, International Monetary Fund.
  2. Hill, Paula & Brooks, Robert & Faff, Robert, 2010. "Variations in sovereign credit quality assessments across rating agencies," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1327-1343, June.
  3. Richard Cantor & Frank Packer, 1996. "Determinants and impact of sovereign credit ratings," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 37-53.
  4. Claudio Borio & Frank Packer, 2004. "Assessing new perspectives on country risk," BIS Quarterly Review, Bank for International Settlements, December.
  5. Flandreau, Marc & Gaillard, Norbert & Packer, Frank, 2011. "To err is human: US rating agencies and the interwar foreign government debt crisis," European Review of Economic History, Cambridge University Press, vol. 15(03), pages 495-538, December.
  6. Christian Dembiermont & Michela Scatigna & Robert Szemere & Bruno Tissot, 2015. "A new database on general government debt," BIS Quarterly Review, Bank for International Settlements, September.
  7. Frank Packer & Nikola Tarashev, 2011. "Rating methodologies for banks," BIS Quarterly Review, Bank for International Settlements, June.
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