1 option
Sovereign Ceilings “Lite”? The Impact of Sovereign Ratings on Corporate Ratings in Emerging Market Economies / Eduardo Borensztein, Patricio Valenzuela, Kevin Cowan.
- Format:
- Book
- Government document
- Author/Creator:
- Borensztein, Eduardo.
- Series:
- IMF Working Papers; Working Paper ; No. 2007/075
- IMF Working Papers
- Language:
- English
- Subjects (All):
- International business enterprises--Finance.
- International business enterprises.
- Country risk.
- Credit ratings--Evaluation.
- Credit ratings.
- Physical Description:
- 1 online resource (34 p.)
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2007.
- Language Note:
- English
- Summary:
- Although credit rating agencies have gradually moved away from a policy of never rating a private borrower above the sovereign (the "sovereign ceiling") it appears that sovereign ratings remain a significant determinant of the credit rating assigned to corporations. We examine this link using data for advanced and emerging economies over the past decade and conclude that the sovereign ratings have a significant and robust effect on private ratings even after controlling for country specific macroeconomic conditions and firm-level performance indicators. This suggests that public debt management affects the private sector through a channel that had not been previously recognized.
- Contents:
- Contents; I. Introduction; II. Private Credit Ratings and the Sovereign Ceiling; III. Framework; IV. Sample; V. Results; A. Financial and Sector Variables Determinants of Corporate Rating; B. Impact of Sovereign Ratings on Corporate Ratings; C. Tradable Sector vs. Non-Tradable Sector; D. Asymmetries; VI. Conclusions; Figures; 1. Bond Spread by Credit Rating; 2. Credit Ratings, 1995-1996; 3. Credit Ratings, 1997-2004; 4. Credit Ratings in Emerging Economies; 5. Credit Ratings in Advanced Economies; 6. Sovereign Ceiling; Tables; 1. Foreign Currency Sovereign Credit Ratings before Defaults
- 2. Scale of Standard and Poor's Foreign Currency Debt Rating3. Control Variables for Corporate Ratings; 4. Descriptive Statistics of the Variables Used in the Panel Regressions; 5. Determinants of Corporate Credit Ratings; 6. Impact of the Sovereign Credit Ratings on Corporate Credit Ratings; 7. Asymmetries; 8. Non-linear Specification of Sovereign Ceiling; Appendix I. Definition of Variables; References
- Notes:
- "April 2007".
- Includes bibliographical references.
- Description based on print version record.
- ISBN:
- 9786613828620
- 9781462323548
- 1462323545
- 9781452779386
- 1452779384
- 9781283516174
- 1283516179
- 9781451910926
- 1451910924
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.