Quo Vadis, Raters? A frontier approach to identify overratings and underratings in sovereign credit risk
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Título
Quo Vadis, Raters? A frontier approach to identify overratings and underratings in sovereign credit riskFecha de publicación
2020-04-03Editor
Taylor & FrancisCita bibliográfica
OZTÜRK, Hüseyin; TORTOSA-AUSINA, Emili; DUYGUN, Meryem; SHABAN, Mohamed (2020). Quo Vadis, Raters? A frontier approach to identify overratings and underratings in sovereign credit risk. European Journal of Finance, online 3/4/2020Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
https://www.tandfonline.com/doi/abs/10.1080/1351847X.2020.1748678?journalCode=rejf20Versión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
This study analyses overratings and underratings in sovereign credit risk. The analysis uses partial frontier methods, a technique rarely applied in this literature. By combining a robust variant of the free disposal ... [+]
This study analyses overratings and underratings in sovereign credit risk. The analysis uses partial frontier methods, a technique rarely applied in this literature. By combining a robust variant of the free disposal hull (FDH) estimator, we measure both underratings and overratings for individual countries and groups of countries. Particular attention is paid to comparing pre-crisis and crisis years in order to assess possible changes in the magnitude of the deviations. Our findings indicate a remarkable degree of both overratings and underratings during the analysed period (1999–2010), which partially vanish during the last years of the sample (2008–2010)—corresponding to the financial crisis—when many downgrades took place, especially in Eurozone countries. The results allow us to emphasize the importance of monitoring these deviations for sustainable financial stability. Our results also show the potential benefits of using partial frontier methods for measuring both underratings and overratings. [-]
Publicado en
European Journal of Finance, online 3/4/2020Proyecto de investigación
1) Ministerio de Economía y Competitividad (ECO2017-85746-P); 2) Generalitat Valenciana (PROMETEO 2018/102) and 3) Universitat Jaume I (UJI-B2017-33).Derechos de acceso
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
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