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State dependence and stickiness of sovereign credit ratings: evidence from a panel of countries

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State dependence and stickiness of sovereign credit ratings: evidence from a panel of countries. / Dimitrakopoulos, Stefanos; Kolossiatis, Michalis.
In: Journal of Applied Econometrics, Vol. 31, No. 6, 09.2016, p. 1065-1082.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Dimitrakopoulos, S & Kolossiatis, M 2016, 'State dependence and stickiness of sovereign credit ratings: evidence from a panel of countries', Journal of Applied Econometrics, vol. 31, no. 6, pp. 1065-1082. https://doi.org/10.1002/jae.2479

APA

Dimitrakopoulos, S., & Kolossiatis, M. (2016). State dependence and stickiness of sovereign credit ratings: evidence from a panel of countries. Journal of Applied Econometrics, 31(6), 1065-1082. https://doi.org/10.1002/jae.2479

Vancouver

Dimitrakopoulos S, Kolossiatis M. State dependence and stickiness of sovereign credit ratings: evidence from a panel of countries. Journal of Applied Econometrics. 2016 Sept;31(6):1065-1082. Epub 2015 Jul 23. doi: 10.1002/jae.2479

Author

Dimitrakopoulos, Stefanos ; Kolossiatis, Michalis. / State dependence and stickiness of sovereign credit ratings : evidence from a panel of countries. In: Journal of Applied Econometrics. 2016 ; Vol. 31, No. 6. pp. 1065-1082.

Bibtex

@article{edde7b9b1c9a46e48f3163d19e658dbb,
title = "State dependence and stickiness of sovereign credit ratings: evidence from a panel of countries",
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.",
author = "Stefanos Dimitrakopoulos and Michalis Kolossiatis",
year = "2016",
month = sep,
doi = "10.1002/jae.2479",
language = "English",
volume = "31",
pages = "1065--1082",
journal = "Journal of Applied Econometrics",
issn = "1099-1255",
publisher = "John Wiley and Sons Ltd",
number = "6",

}

RIS

TY - JOUR

T1 - State dependence and stickiness of sovereign credit ratings

T2 - evidence from a panel of countries

AU - Dimitrakopoulos, Stefanos

AU - Kolossiatis, Michalis

PY - 2016/9

Y1 - 2016/9

N2 - 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.

AB - 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.

U2 - 10.1002/jae.2479

DO - 10.1002/jae.2479

M3 - Journal article

VL - 31

SP - 1065

EP - 1082

JO - Journal of Applied Econometrics

JF - Journal of Applied Econometrics

SN - 1099-1255

IS - 6

ER -