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2016, Palgrave pivot, ISBN 9781137397102, ix, 125
Sovereign Debt and Credit Rating Bias investigates rating agencies' assignments of sovereign debt upgrades and downgrades to examine the pervasive allegations... 
Rating agencies (Finance) | Evaluation | Ratings and rankings | Debts, Public | Credit ratings
Book
Journal of Banking and Finance, ISSN 0378-4266, 02/2013, Volume 37, Issue 2, pp. 563 - 577
► The effect of sovereign rating actions on the credit ratings of emerging market banks. ► A unique study of the link between sovereign ratings and bank... 
Bank ratings | Sovereign watch | Sovereign upgrades/downgrades | Sovereign ceiling | Emerging markets | CREDIT DEFAULT SWAP | BUSINESS, FINANCE | ASSESSMENTS | ECONOMICS
Journal Article
Computational Statistics and Data Analysis, ISSN 0167-9473, 08/2014, Volume 76, pp. 20 - 33
The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel... 
Yields | Sovereign ratings | Volatility | Optimal portfolio | Stock market returns | Risk management | EGARCH | Financial gain | Value-at-risk | SPILLOVERS | STATISTICS & PROBABILITY | COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS | DEFAULT SWAP | CONDITIONAL HETEROSKEDASTICITY | NEWS | LINKAGES | Evaluation | Financial markets | Government securities | Credit ratings | Risk | Markets | Raw materials | Statistics | Bonding | Gain | Ratings
Journal Article
Finance Research Letters, ISSN 1544-6123, 2010, Volume 7, Issue 3, pp. 140 - 147
Employing a random effects ordered probit model, this paper examines the sources of heterogeneity in sovereign credit ratings in emerging economies. The... 
Random effects ordered probit model | Rating momentum | Rating Watchlist | Emerging sovereign ratings | Rating duration | BUSINESS, FINANCE | CREDIT RATINGS | DYNAMICS | TRANSITIONS | Random effects ordered probit model Emerging sovereign ratings Rating momentum Rating Watchlist Rating duration
Journal Article
Economic Systems, ISSN 0939-3625, 2008, Volume 32, Issue 2, pp. 142 - 166
The purpose of this paper is to examine the impact of sovereign rating changes on international financial markets using a comprehensive database of 42... 
Country risk | Ratings outlook | Sovereign ratings | Stock markets | Evaluation | Financial markets | Stocks | Financial analysis | Foreign exchange | Studies | Sovereignty | Economic theory | Manycountries | Securities markets | International
Journal Article
Journal of banking and finance, ISSN 0378-4266, 03/2016, Volume 64, pp. 90 - 90
A country's economic growth exhibits a significant response to sovereign rating changes: a one-notch upgrade (downgrade) causes an increase (decline) of about... 
Studies | Sovereign debt | Bond ratings
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 03/2016, Volume 64, pp. 90 - 100
A country’s economic growth exhibits a significant response to sovereign rating changes: a one-notch upgrade (downgrade) causes an increase (decline) of about... 
Economic growth | Capital flows | Sovereign credit rating revision | FINANCIAL-MARKETS | RISK | DEBT | CAPITAL-ACCOUNT LIBERALIZATION | BUSINESS, FINANCE | IMPACT | PANEL-DATA | NEWS | CRISIS | ECONOMICS | EMERGING EQUITY MARKETS | DEFAULT | Economic aspects | Evaluation | Government securities | Credit ratings
Journal Article
Journal of Banking & Finance, ISSN 0378-4266, 03/2016, Volume 64, p. 90
  A country's economic growth exhibits a significant response to sovereign rating changes: a one-notch upgrade (downgrade) causes an increase (decline) of... 
Studies | Economic growth | Sovereign debt | Bond ratings | Capital movement | Interest rates
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 2010, Volume 34, Issue 11, pp. 2614 - 2626
Journal Article
Journal of International Money and Finance, ISSN 0261-5606, 05/2016, Volume 63, p. 48
  This research examines how a sovereign rating revision of one country influences the economic growth rates of other countries. Rating revisions have... 
Studies | Growth rate | Economic growth | Credit ratings | Output | Revisions | Sovereign debt
Journal Article
Journal of International Money and Finance, ISSN 0261-5606, 05/2016, Volume 63, pp. 48 - 63
This research examines how a sovereign rating revision of one country influences the economic growth rates of other countries. Rating revisions have... 
Economic growth | Sovereign credit rating revision | Output spillover | FINANCIAL-MARKETS | TRADE | COUNTRIES | CONTAGION | CORRUPTION | DEBT | EMERGING ECONOMIES | BUSINESS, FINANCE | CRISIS | ECONOMIC-GROWTH | DEFAULT | Credit ratings
Journal Article
Journal of International Money and Finance, ISSN 0261-5606, 04/2012, Volume 31, Issue 3, pp. 606 - 638
We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of government yield spreads before and after... 
Rating agencies | Sovereign yields | Credit ratings | BUSINESS, FINANCE | DEFAULT SWAP | DETERMINANTS | NEWS | Rating agencies (Securities) | Computer services industry | Financial markets
Journal Article
Journal of Banking & Finance, ISSN 0378-4266, 11/2010, Volume 34, Issue 11, p. 2614
  This paper analyses lead-lag relationships in sovereign ratings across five agencies, and finds evidence of interdependence in rating actions. Upgrade... 
Studies | Rating services | Credit ratings | Interdependence | Sovereign debt
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 04/2017, Volume 77, pp. 108 - 121
Journal Article
Journal of Economic Behavior and Organization, ISSN 0167-2681, 01/2013, Volume 85, Issue 1, pp. 144 - 162
The ongoing financial crisis has drawn considerable attention to the role of credit rating agencies in the financial system. We examine how the foreign... 
Spillover effect | Foreign exchange market | European sovereign debt crisis | Agencies’ signals | Credit outlook/watch | Agencies' signals | RISK | ECONOMICS | Rating agencies (Securities) | Financial markets | Public debts | Foreign exchange | Credit ratings | Studies | Rating services | Foreign exchange markets | Sovereign debt | Economic crisis | Impact analysis
Journal Article
Journal of International Money and Finance, ISSN 0261-5606, 12/2014, Volume 49, pp. 235 - 257
We investigate the rating channel for the transmission of changes in sovereign risk to the banking sector, analysing data from Moody's, S&P and Fitch before... 
Rating policy | European sovereign debt crisis | Sovereign rating | Credit rating agencies | Bank rating | SPILLOVERS | QUALITY | MARKETS | RISK | BUSINESS, FINANCE | IMPACT | CREDIT RATINGS | NEWS | Evaluation | Public debts | Financial analysis | Banks (Finance) | Television programs
Journal Article
Economics Letters, ISSN 0165-1765, 05/2019, Volume 178, pp. 37 - 45
We study the short-term impact of sovereign rating and outlook changes on daily portfolio flows of active and passive mutual funds to emerging market... 
Passive funds | Event study | Sovereign ratings | Portfolio flows | Emerging markets | SPILLOVERS | ECONOMICS | UNCONVENTIONAL MONETARY-POLICY | CAPITAL FLOWS | Evaluation | Bond funds | Credit ratings | Portfolio management | Mutual funds | Bonds
Journal Article
Applied Economics, ISSN 0003-6846, 03/2019, Volume 51, Issue 15, pp. 1588 - 1601
This article examines the effect of changes in sovereign credit ratings and their outlook on the stock market returns of European countries at different phases... 
F30 | Sovereign ratings | E44 | G24 | business cycle | G15 | stock returns | asset pricing | DEFAULT SWAP SPREADS | QUALITY | DETERMINANTS | SIGNALS | RISK | AGENCIES | IMPACT | CREDIT RATINGS | EMERGING MARKETS | ECONOMICS | VOLATILITY | Business cycles | Stock exchanges | Securities markets
Journal Article
International Journal of Finance & Economics, ISSN 1076-9307, 01/2011, Volume 16, Issue 1, pp. 1 - 15
We study the determinants of sovereign debt ratings from the three main rating agencies, for the period 1995–2005. Using linear and ordered response models, we... 
rating agencies | random effects ordered probit | Credit ratings | sovereign debt | Rating agencies | Random effects ordered probit | Sovereign debt | BUSINESS, FINANCE | Economics | Governments | Reserves | Specifications | Finance | Determinants | Mathematical models | Ratings
Journal Article
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