| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9512 |
| DP9512 A Rating Agency for Europe ? A good idea? | |
| Beatrice Weder di Mauro; Bernhard Bartels | |
| 发表日期 | 2013-06-16 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | This paper compares the sovereign rating performance of a large European based rating agency with the Big Three. Using monthly ratings for 56 advanced and emerging economies from June 1999 to October 2012, we explore if Feri behaves differently with respect to rating levels, propensity of down- or upgrade and volatility. In addition, we test for herding behaviour among agencies and "neighbourhood bias" using a gravity model. We find that Feri tends to have a negative "neighbourhood bias", i.e it was tougher on European countries than its anglo-saxon competitors before the crisis and downgraded them more swiftly and aggressively during the crisis. Also, Feri's sovereign ratings tend to be more volatile than the ones of the Big Three though less prone to herding. |
| 主题 | International Macroeconomics |
| 关键词 | Credit rating agencies European rating agency Sovereign risk |
| URL | https://cepr.org/publications/dp9512 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538348 |
| 推荐引用方式 GB/T 7714 | Beatrice Weder di Mauro,Bernhard Bartels. DP9512 A Rating Agency for Europe ? A good idea?. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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