The purpose of this paper is to examine the determinants of credit ratings, sovereign spreads and real interest rates for emerging market economies. Using panel data on a sample of 18 emerging markets for the period 1998 to 2008, the cross-sectional and time series dimensions of sovereign...

We consider 1927 borrowers from 54 countries who had a credit rating by both Moodys and S&P as of the end of 1998, and their subsequent default history up to the end of 2002. Viewing bond ratings as predicted probabilities of default, we show that it is unlikely that both agencies are well...

Group-specific estimations can significantly improve the predictive power of accountingbased rating models. This is shown using a binary logistic regression model applied to the Deutsche Bundesbank's USTAN dataset, which contains 300,000 financial statements provided by German companies for the...

Purpose – This paper attempts to identify the areas for further research related to regulating credit-rating agencies (CRAs), in order to assess whether the prerequisite for a “complete change” is present so to achieve a genuine paradigm shift on the matter. Design/methodology/approach –...

Purpose – This paper seeks to examine whether the market values the monitoring activity undertaken by a quality bank in the presence of a credit rating agency. Specifically, the question is asked whether the quality of a lead lending bank influences a market reaction to adverse rating...

This paper studies the spillover effects both within the bond markets for individual U.S. states and between the latter and the market for U.S. Treasury securities. We perform the Forbes and Rigobon (2002) spillover test using daily bond yield data over the period 2005 to 2011. Results are...

Article proposes comparative studies of credit ratings of the leading Russian and international rating agencies. We analyze approaches and the possibility of comparison of agencies’ rating scales. Purpose of this analysis is to propose method and describe the criteria for comparison of rating...