کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7356679 | 1478287 | 2018 | 50 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Subjectivity in sovereign credit ratings
ترجمه فارسی عنوان
سوقگیری در اعتبارات اعتباری مستقل
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
A sovereign creditrating is a function of hard and soft information that should reflect the creditworthiness and the probability of default of a country. We propose an alternative characterisation for the subjective component of a sovereign credit rating - the parts related to the ratee's lobbying effort or its familiarity from a United States point of view - and apply it to S&P, Moody's and Fitch ratings, using both traditional ordered-logit panel models and machine learning techniques. This subjective component turns out to be large, especially for the low-rated countries. Countries that are rated as investment grade tend to be positively influenced by it, and vice versa. Subjective judgment in credit ratings does have predictive value: it helps in identifying chances of sovereign defaults in the short-term. Still, the impact of subjectivity in sovereign ratings on borrowing costs is very limited on average.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 88, March 2018, Pages 366-392
Journal: Journal of Banking & Finance - Volume 88, March 2018, Pages 366-392
نویسندگان
Lieven De Moor, Prabesh Luitel, Piet Sercu, Rosanne Vanpée,