Why Rating Agencies Disagree on Sovereign Ratings

Bernd Bartels ()
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Bernd Bartels: Department of Economics, Johannes Gutenberg-Universitaet Mainz, Germany

No 1416, Working Papers from Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz

Abstract: We empirically analyze why rating agencies disagree on countries' default risk. Specifically, we explore the sovereign ratings of four agencies and their interaction. Our results indicate that the frequency of split ratings and their lopsidedness is not related to their home region. We nevertheless nd that rating agencies treat world regions differently. The Big Three rating agencies tend to follow each other predominantly in times of crises. The smaller European agency seems to b e more independent but also more volatile in its rating behaviour.

Keywords: Sovereign Risk; European Rating Agency; Rating Agencies (search for similar items in EconPapers)
JEL-codes: E62 F34 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2014-12-02, Revised 2014-12-02
New Economics Papers: this item is included in nep-mac and nep-rmg
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https://download.uni-mainz.de/RePEc/pdf/Discussion_Paper_1416.pdf First version, 2014 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:jgu:wpaper:1416

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