Template-type: ReDif-Paper 1.0
Author-Name: Freitag, L.
Author-workplace-name: Macro, International & Labour Economics
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 assessing<br/>sovereign solvency for European countries. Using Probit regressions I find that even after controlling<br/>for macroeconomic factors, CRAs take the business cycle into account. Also, there is a clear case of<br/>path dependence in sovereign ratings. Additionally, it turns out that there seems to be a discrepancy<br/>between upgrades and downgrades. These results are robust to a number of different specifications.
Series: GSBE Research Memoranda
Creation-Date: 20140101
Number: 020
File-URL: https://cris.maastrichtuniversity.nl/ws/files/816157/guid-743fc7ac-b0bb-4405-9ef0-a27d78551694-ASSET1.0.pdf
File-Format: application/pdf
File-Size: 482838
Handle: Repec:unm:umagsb:2014020
DOI: 10.26481/umagsb.2014020