Understanding sovereign credit ratings

text-based evidence from the credit rating reports

Ursula Slapnik (Author), Igor Lončarski (Author)

Abstract

We apply a novel approach to identifying the qualitative judgment of the rating committee in sovereign credit ratings by extending the traditional regression with new measures - sentiment and subjectivity scores - obtained by textual sentiment analysis methods. Using an ordered logit with random effects for 98 countries from 1995 to 2018, we find evidence that the subjectivity score provides additional information not captured by previously identified determinants of sovereign credit ratings, even after controlling for political risk, institutional strength, and potential bias. The results from the bivariate and multivariate analysis confirm differences in textual sentiment and subjectivity between emerging markets and advanced economies, as well as before and after the 2008 global financial crisis.

Keywords

finančni trg;finančni instrumenti;investicije;politika cen;modeli;financial market;financial instruments;investments;price policy;models;

Data

Language:	English
Year of publishing:	2023
Typology:	1.01 - Original Scientific Article
Organization:	UL EF - Faculty of Economics
UDC:	336
COBISS:	165323523
ISSN:	1042-4431
Views:	16
Downloads:	4
Average score:	0 (0 votes)
Metadata:

Other data

Secondary language:	Slovenian
Secondary keywords:	finančni trgi;finančni instrumenti;investicije;politika cen;modeli;
Type (COBISS):	Article
Pages:	29 str.
Volume:	ǂVol. ǂ88
Issue:	ǂarticle no. ǂ101838
Chronology:	Oct. 2023
DOI:	10.1016/j.intfin.2023.101838
ID:	21681971