scholarly journals Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis

2013 ◽  
Author(s):  
Christopher F. Baum ◽  
Margarita Karpava ◽  
Dorothea Schaefer ◽  
Andreas Stephan
Keyword(s):  
Sovereign Debt ◽  
Credit Rating ◽  
Debt Crisis ◽  
Sovereign Debt Crisis ◽  
Credit Rating Agency ◽  
Rating Agency

Assessing sovereign risk: the case of rich countries

2014 ◽  
Vol 6 (3) ◽  
pp. 212-225 ◽  
Author(s):  
Norbert Gaillard
Keyword(s):  
Sovereign Debt ◽  
Credit Rating ◽  
Debt Crisis ◽  
Sovereign Debt Crisis ◽  
Bond Yields ◽  
Content Type ◽  
The Great Recession ◽  
Market Participants ◽  
Investment Grade ◽  
Rich Countries

Purpose – This paper aims to shed new light on the inability of credit rating agencies (CRAs) to forecast the recent defaults and so-called quasi-defaults of rich countries. It also describes how Moody’s sovereign rating methodology has been modified – and could be further improved – to solve this problem. Design/methodology/approach – After converting bond yields into yield-implied ratings, accuracy ratios are computed to compare the respective performances of CRAs and market participants. Then Iceland’s and Greece’s ratings at the beginning of the Great Recession are estimated while accounting for the parameters included in the new methodology implemented by Moody’s in 2013. Findings – Market participants outperformed Moody’s and Standard & Poor’s in terms of anticipating the sovereign debt crisis that hit several European countries starting in 2008. However, the new methodology implemented by Moody’s should lead to more conservative and accurate sovereign ratings. Originality/value – The chronic inability of CRAs to anticipate public debt crises in rich countries is dangerous because the countries affected – which are generally rated in the investment-grade category – are substantially downgraded, amplifying the sovereign debt crisis. This study is the first to demonstrate that Moody’s has learned from its recent failures. In addition, it recommends ways to detect serious threats to the creditworthiness of high-income countries.

scholarly journals Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises

2014 ◽  
Author(s):  
Christopher F. Baum ◽  
Margarita Karpava ◽  
Dorothea Schhfer ◽  
Stephan Andreas
Keyword(s):  
Sovereign Debt ◽  
Credit Rating ◽  
Credit Rating Agency ◽  
Rating Agency ◽  
Debt Crises

scholarly journals Credit rating agency downgrades and the Eurozone sovereign debt crises

2016 ◽  
Vol 24 ◽  
pp. 117-131 ◽  
Author(s):  
Christopher F. Baum ◽  
Dorothea Schäfer ◽  
Andreas Stephan
Keyword(s):  
Sovereign Debt ◽  
Credit Rating ◽  
Credit Rating Agency ◽  
Rating Agency ◽  
Debt Crises

The case for a European rating agency: Evidence from the Eurozone sovereign debt crisis

2019 ◽  
Vol 58 ◽  
pp. 1-18 ◽  
Author(s):  
Marc Altdörfer ◽  
Carlos A. De las Salas Vega ◽  
Andre Guettler ◽  
Gunter Löffler
Keyword(s):  
Sovereign Debt ◽  
Debt Crisis ◽  
Sovereign Debt Crisis ◽  
Rating Agency

scholarly journals Sovereign Credit_Rating Disclose and Bond Liquidity under Sovereign Debt Crisis

2019 ◽  
Vol 8 (2) ◽  
pp. 1
Author(s):  
Amir Saadaoui ◽  
Mohamed Kriaa
Keyword(s):  
Sovereign Debt ◽  
Credit Rating ◽  
Debt Crisis ◽  
Bond Markets ◽  
Sovereign Debt Crisis ◽  
Rating Agencies ◽  
Sovereign Bonds ◽  
Daily Data ◽  
Before And After ◽  
Bond Liquidity

This study examines the effect of the informational content of local credit rating announcements in emerging markets on the liquidity of their bond markets. We analyze the bond liquidity markets across five countries such as Poland, Greece, Spain, Hungary and Turkey. The sample includes daily data about sovereign bonds over the period ranging from July 2009 to January 2014.We mainly focus on the period before and after the sovereign debt crisis. We note that the bond liquidity is affected due to the sign of the rating granted by the rating agencies for each country.

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