Comparative Analysis of Sovereign Credit Ratings. Statics
https://doi.org/10.26794/2308-944X-2018-6-2-50-76
Abstract
Country risk has become a topic of major concern for the international financial community over the last two decades. The importance of country ratings is underscored by the existence of several major country risk rating agencies, namely the Standard and Poor’s, Moody’s, Fitch. Previous research has analyzed the ratings provided by S&P and Moody’s and found quite close interrelationships and dependencies between them. This paper extends earlier our research by comparing the ratings of Standard and Poor’s, Moody’s, and Fitch. Initially, the paper was aiming to examine extensive database with daily observations of sovereign credit rating across 143 countries over a 70-year time period (from 1949 up to 2017) basing on the sovereign credit rating data obtained from such sources like Bloomberg, IMF, and the World Bank. However, due to a large volume of missing data, the data sample was shrunk up to 25 years (from 1992 up to 2017). The analysis focuses on comparing rating levels, rating changes, and the impact of sovereign credit debt on credit rating.
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Review
For citations:
Ivkin A. Comparative Analysis of Sovereign Credit Ratings. Statics. Review of Business and Economics Studies. 2018;6(2):50-76. (In Russ.) https://doi.org/10.26794/2308-944X-2018-6-2-50-76
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