Variations in sovereign credit quality assessments across rating agencies

Hill, P., Brooks, R. and Faff, R. (2010) Variations in sovereign credit quality assessments across rating agencies. Journal of Banking and Finance, 34 6: 1327-1343. doi:10.1016/j.jbankfin.2009.11.028

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Author Hill, P.
Brooks, R.
Faff, R.
Title Variations in sovereign credit quality assessments across rating agencies
Journal name Journal of Banking and Finance   Check publisher's open access policy
ISSN 0378-4266
Publication date 2010-06
Year available 2009
Sub-type Article (original research)
DOI 10.1016/j.jbankfin.2009.11.028
Volume 34
Issue 6
Start page 1327
End page 1343
Total pages 17
Editor I. Mathur
Place of publication The Netherlands
Publisher Elsevier BV, North Holland
Collection year 2011
Language eng
Subject 150201 Finance
900101 Finance Services
Formatted abstract
We investigate agency variation in credit quality assessment (Standard and Poor’s vs. Moody’s vs. Fitch) employing sovereign ratings data for 129 countries, spanning the period 1990–2006. While we find that the credit rating agencies often disagree about credit quality, it is usually confined to one or two notches on the finer scale. We find that several variables have varying importance in explaining ratings across agencies which leads us to conclude that material heterogeneity exists between them. Also, while watch and outlook procedures are generally strong predictors of rating changes relative to other public data, additional significant variables suggest that it might be possible to augment these agency data to provide better forecasts of future rating changes.

Keyword Credit rating
Rating transition
Information content
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ
Additional Notes Available online 4 December 2009

Document type: Journal Article
Sub-type: Article (original research)
Collections: Faculty of Business, Economics and Law -- Publications
Official 2011 Collection
UQ Business School Publications
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 31 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 37 times in Scopus Article | Citations
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Created: Sun, 30 May 2010, 00:03:50 EST