Template-type: ReDif-Paper 1.0
Author-Name: Freitag L. 
Author-workplace-name: GSBE
Title: Procyclicality and path dependence of sovereign credit ratings: The example of Europe
Abstract: This paper investigates empirically the behavior of Credit Rating Agencies CRAs when assessingsovereign solvency for European countries. Using Probit regressions I find that even after controllingfor macroeconomic factors, CRAs take the business cycle into account. Also, there is a clear case ofpath dependence in sovereign ratings. Additionally, it turns out that there seems to be a discrepancybetween upgrades and downgrades. These results are robust to a number of different specifications.
Keywords: International Financial Markets; Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies; 
Classification-JEL: G15; G24; .
Series:  Research Memorandum
Creation-Date: 2014
Number: 020
File-URL: http://pub.maastrichtuniversity.nl/743fc7ac-b0bb-4405-9ef0-a27d78551694
File-Format: application/pdf
File-Size: 483800
Handle: RePEc:unm:umagsb:2014020