Although there is a wide consensus that rating agencies have frequently failed to predict major crises, the literature on sovereign ratings has so far mostly focused on explaining the rating level rather than explaining the timing of the rating decision. In this paper we aim to fill this gap in...

It is a matter of debate in how far credit ratings contribute to allocative efficiency or to excessive volatility of asset prices and cross-border capital flows. Yet it is generally taken for granted that ratings play a significant role in the transnationalization of financial relations. This...

This paper examines whether the Big Three credit rating agencies actually played as active a role in the Euro Crisis as previously asserted. On the basis of panel data methods for a set of 11 EMU countries, the analysis reveals significant evidence for an arbitrary markup on the GIPS group of...

It is a matter of debate in how far credit ratings contribute to allocative efficiency or to excessive volatility of asset prices and cross-border capital flows. Yet it is generally taken for granted that ratings play a significant role in the transnationalization of financial relations. This...

This paper studies the impact of sovereign credit rating and outlook changes on the shape of sovereign yield curve. The data sample consists of five peripheral European countries known as GIIPS (Greece, Ireland, Italy, Portugal and Spain) over the period of 01 January 2001 to 30 June 2016. We...

This study investigates how credit ratings affect firm innovation. By exploiting sovereign downgrades as an exogenous shock to corporate credit ratings, we show that a sovereign downgrade leads to significant reductions in innovation among firms that have a rating at the sovereign bound ex ante....

It is a matter of debate in how far credit ratings contribute to allocative efficiency or to excessive volatility of asset prices and cross-border capital flows. Yet it is generally taken for granted that ratings play a significant role in the transnationalization of financial relations. That...

We analyze the impact of sovereign rating changes on European corporate loan spreads. We demonstrate that sovereign downgrades lead to significant increases in the spread of loans to domestic firms. We find evidence that the negative effects of a sovereign downgrade are widespread across all...

In this paper we apply a novel approach to identifying the qualitative judgement of the rating committee in sovereign credit ratings. We extend the traditional regression with new measures - sentiment and subjectivity scores - obtained by textual sentiment analysis methods. By using an ordered...

This paper compares the importance of different sovereign credit rating determinants over time, using a sample of 90 countries for the years 2002-2015. Applying the composite marginal likelihood approach, we estimate a multi-year ordered probit model for each of the three major credit rating...