کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5063501 1372241 2006 25 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Statistical properties of country credit ratings
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
Statistical properties of country credit ratings
چکیده انگلیسی

The country credit rating is a key covariate of the cost and availability of international financing for an economy. This paper models ratings as a function of expected repayment capacity, derives empirical implications, and tests them using the most comprehensive consistent series of sovereign credit ratings. These are the Institutional Investor ratings which have been widely used in the international finance literature. We report several stylized facts: volatility clustering, asymmetric adjustments, and serial correlation in credit revisions, especially in Emerging countries. These features are consistent with rational behavior of credit rating teams and have important implications in assessing the long term risk of international investments.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Emerging Markets Review - Volume 7, Issue 1, March 2006, Pages 27-51
نویسندگان
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