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Sovereign Ceilings “Lite”? The Impact of Sovereign Ratings on Corporate Ratings in Emerging Market Economies, Eduardo Borensztein, Patricio Valenzuela, Kevin Cowan

Although credit rating agencies have gradually moved away from a policy of never rating a private borrower above the sovereign (the "sovereign ceiling") it appears that sovereign ratings remain a significant determinant of the credit rating assigned to corporations. We examine this link using data for advanced and emerging economies over the past decade and conclude that the sovereign ratings have a significant and robust effect on private ratings even after controlling for country specific macroeconomic conditions and firm-level performance indicators. This suggests that public debt management affects the private sector through a channel that had not been previously recognized
Table Of Contents
Contents; I. Introduction; II. Private Credit Ratings and the Sovereign Ceiling; III. Framework; IV. Sample; V. Results; A. Financial and Sector Variables Determinants of Corporate Rating; B. Impact of Sovereign Ratings on Corporate Ratings; C. Tradable Sector vs. Non-Tradable Sector; D. Asymmetries; VI. Conclusions; Figures; 1. Bond Spread by Credit Rating; 2. Credit Ratings, 1995-1996; 3. Credit Ratings, 1997-2004; 4. Credit Ratings in Emerging Economies; 5. Credit Ratings in Advanced Economies; 6. Sovereign Ceiling; Tables; 1. Foreign Currency Sovereign Credit Ratings before Defaults
Literary Form
non fiction
Description based upon print version of record
Physical Description
1 online resource (34 p.)
Specific Material Designation
Form Of Item

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