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Heterogeneity of sovereign rating migrations in emerging countries

  • Al-Sakka, Rasha
  • ap Gwilym, Owain

This is a unique study of the relationship between emerging sovereign rating migrations and the sources of rating heterogeneity. It employs data from six international rating agencies and 90 emerging countries. Rating momentum is present, and we are the first to document that multiple-notch rating changes have greater impact on the probability of subsequent rating actions. Watchlist status is influential on migration probabilities, and dominates rating momentum in some cases. Rating duration, existing rating and issuer's domicile region are useful determinants in modelling the migration process. Notably, considerable inter-agency differences are revealed, suggestive of different rating processes being employed.

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File URL: http://www.sciencedirect.com/science/article/B6W69-4V42J8X-1/2/98bcddd133e83a356c5b6691b872b92c
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Article provided by Elsevier in its journal Emerging Markets Review.

Volume (Year): 10 (2009)
Issue (Month): 2 (June)
Pages: 151-165

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Handle: RePEc:eee:ememar:v:10:y:2009:i:2:p:151-165
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620356

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