Understanding sovereign credit ratings

text-based evidence from the credit rating reports

Ursula Slapnik (Avtor), Igor Lončarski (Avtor)

Povzetek

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.

Ključne besede

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

Podatki

Jezik:	Angleški jezik
Leto izida:	2023
Tipologija:	1.01 - Izvirni znanstveni članek
Organizacija:	UL EF - Ekonomska fakulteta
UDK:	336
COBISS:	165323523
ISSN:	1042-4431
Št. ogledov:	16
Št. prenosov:	4
Ocena:	0 (0 glasov)
Metapodatki:

Ostali podatki

Sekundarni jezik:	Slovenski jezik
Sekundarne ključne besede:	finančni trgi;finančni instrumenti;investicije;politika cen;modeli;
Vrsta dela (COBISS):	Članek v reviji
Strani:	29 str.
Letnik:	ǂVol. ǂ88
Zvezek:	ǂarticle no. ǂ101838
Čas izdaje:	Oct. 2023
DOI:	10.1016/j.intfin.2023.101838
ID:	21681971