Dimitrakopoulos, S and Kolossiatis, M (2016) State Dependence and Stickiness of Sovereign Credit Ratings: Evidence from a Panel of Countries. Journal of Applied Econometrics, 31 (6). pp. 1065-1082. ISSN 0883-7252
Abstract
Using data from Moody's, we examine three sources of sovereign credit ratings persistence: true state dependence, spurious state dependence and serial error correlation. Accounting for ratings persistence, we also examine whether ratings were sticky or procyclical for two major crises: the European debt crisis and the East Asian crisis. We set up a dynamic panel ordered probit model with autocorrelated disturbances and nonparametrically distributed random effects. An efficient Markov chain Monte Carlo algorithm is designed for model estimation. We find evidence of stickiness of ratings and of the three sources of ratings persistence, with the true state dependence being weak. Copyright © 2015 John Wiley & Sons, Ltd.
Metadata
Item Type: | Article |
---|---|
Authors/Creators: |
|
Copyright, Publisher and Additional Information: | Copyright © 2015 John Wiley & Sons, Ltd. This is the peer reviewed version of the following article: Dimitrakopoulos, S and Kolossiatis, M (2016) State Dependence and Stickiness of Sovereign Credit Ratings: Evidence from a Panel of Countries. Journal of Applied Econometrics, 31 (6). pp. 1065-1082. ISSN 0883-7252, which has been published in final form at https://doi.org/10.1002/jae.2479. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. |
Dates: |
|
Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Economics Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 07 Mar 2019 13:29 |
Last Modified: | 07 Mar 2019 13:30 |
Status: | Published |
Publisher: | Wiley |
Identification Number: | 10.1002/jae.2479 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:141641 |