Local vs. foreign currency ratings: what determines sovereign transfer risk?
Local vs. foreign currency ratings: what determines sovereign transfer risk?
We examine the statistical determinants of transfer risk using probit estimation and an extensive data set of over 300 sovereign ratings given by the leading rating agencies between 1992-1997. Both macroeconomic and balance-sheet variables are found to be important, and regional and rating agency biases are present. The models both within and out-of-sample perform well and a close relationship with the variables predicting currency crises is found.
University of Southampton
Trevino, L.
71065fa4-c0cd-47c4-b6ae-c3741bd111e2
Thomas, S.
0f83004b-179e-4b71-8374-25345d0e9dad
2000
Trevino, L.
71065fa4-c0cd-47c4-b6ae-c3741bd111e2
Thomas, S.
0f83004b-179e-4b71-8374-25345d0e9dad
Trevino, L. and Thomas, S.
(2000)
Local vs. foreign currency ratings: what determines sovereign transfer risk?
(Discussion Papers in Accounting and Management Science, 00-160)
Southampton, UK.
University of Southampton
27pp.
Record type:
Monograph
(Working Paper)
Abstract
We examine the statistical determinants of transfer risk using probit estimation and an extensive data set of over 300 sovereign ratings given by the leading rating agencies between 1992-1997. Both macroeconomic and balance-sheet variables are found to be important, and regional and rating agency biases are present. The models both within and out-of-sample perform well and a close relationship with the variables predicting currency crises is found.
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Published date: 2000
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Local EPrints ID: 36104
URI: http://eprints.soton.ac.uk/id/eprint/36104
ISSN: 1356-3548
PURE UUID: c114b80e-917f-4443-92ce-5156d6785391
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Date deposited: 27 Jul 2006
Last modified: 23 May 2024 16:47
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Contributors
Author:
L. Trevino
Author:
S. Thomas
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