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Leads and lags in sovereign credit ratings

Listed author(s):
  • Alsakka, Rasha
  • ap Gwilym, Owain

This paper analyses lead-lag relationships in sovereign ratings across five agencies, and finds evidence of interdependence in rating actions. Upgrade (downgrade) probabilities are much higher, and downgrade (upgrade) probabilities are much lower for a sovereign issuer with a recent upgrade (downgrade) by another agency. S&P tends to demonstrate the least dependence on other agencies, and Moody's tends to be the first mover in upgrades. Rating actions by Japanese agencies tend to lag those of the larger agencies, although there is some evidence that they lead Moody's downgrades.

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File URL: http://www.sciencedirect.com/science/article/pii/S0378-4266(10)00178-0
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 34 (2010)
Issue (Month): 11 (November)
Pages: 2614-2626

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Handle: RePEc:eee:jbfina:v:34:y:2010:i:11:p:2614-2626
Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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