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Split sovereign ratings and rating migrations in emerging economies

  • Al-Sakka, Rasha
  • ap Gwilym, Owain

This 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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File URL: http://www.sciencedirect.com/science/article/B6W69-4XVC4RB-1/2/c399d72371ca922e662faf463a076c1f
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Article provided by Elsevier in its journal Emerging Markets Review.

Volume (Year): 11 (2010)
Issue (Month): 2 (June)
Pages: 79-97

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Handle: RePEc:eee:ememar:v:11:y:2010:i:2:p:79-97
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620356

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