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How dimensions of national culture and institutional characteristics influence sovereign rating migration dynamics

Author

Listed:
  • Huong Dang

    (University of Canterbury, Department of Economics and Finance & ZenTra)

Abstract
This study examines the effects of national culture and institutional characteristics on the rating migration dynamics of countries rated by Standard & Poor’s (S&P) during the period January 1985 - October 2011. The study finds that national culture and institutional charac-teristics have significant effects, particularly on the probability of a downgrade. The effects of culture are robust to various controls and samples. There is also evidence that S&P’s past rating behaviours and Moody’s recent rating impact on S&P’s subsequent rating re-grades; however, the effect of Moody’s rating and Watchlist is not as strong as the impact of other control variables.

Suggested Citation

  • Huong Dang, 2014. "How dimensions of national culture and institutional characteristics influence sovereign rating migration dynamics," ZenTra Working Papers in Transnational Studies 42 / 2014, ZenTra - Center for Transnational Studies.
    • Handle: RePEc:zen:wpaper:42
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    More about this item

    Keywords

    sovereign rating; national culture; institutional characteristics; hazard model; time-varying covariates;
    All these keywords.

    JEL classification:

    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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