Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7242751 | Journal of Economic Behavior & Organization | 2016 | 19 Pages |
Abstract
The evolution of sovereign ratings is strongly asymmetric, as downgrades tend to be deeper and faster than upgrades. In other words, once a country loses its initial status it takes a long time to recover it. Using S&P data, we characterize “rating cycles” in terms of their duration and amplitude. Then, we study whether the reaction of this agency to new domestic economic and financial information is also different during upgrade and downgrade phases. Our results indicate that favorable fundamentals could be helpful in terms of smoothing and slowing down rating downgrades, whereas they do not seem to accelerate rating upgrades.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Carmen Broto, Luis Molina,