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Сравнительный анализ суверенных кредитных рейтингов. Статика // Comparative Analysis of Sovereign Credit Ratings. Statics

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  • A. Ivkin

    (Financial University)

  • А. Ивкин

    (Финансовый университет)

Abstract

Country risk has become a topic of major concern for the international financial community over the last two decades. The importance of country ratings is underscored by the existence of several major country risk rating agencies, namely the Standard and Poor’s, Moody’s, Fitch. Previous research has analyzed the ratings provided by S&P and Moody’s and found quite close interrelationships and dependencies between them. This paper extends earlier our research by comparing the ratings of Standard and Poor’s, Moody’s, and Fitch. Initially, the paper was aiming to examine extensive database with daily observations of sovereign credit rating across 143 countries over a 70-year time period (from 1949 up to 2017) basing on the sovereign credit rating data obtained from such sources like Bloomberg, IMF, and the World Bank. However, due to a large volume of missing data, the data sample was shrunk up to 25 years (from 1992 up to 2017). The analysis focuses on comparing rating levels, rating changes, and the impact of sovereign credit debt on credit rating. За прошедшие два десятилетия страновой риск стал вопросом первостепенного значения в международных финансовых кругах. Свидетельством важности создания рейтингов стран является существование нескольких крупных рейтинговых агентств, работающих именно в этой области. Среди них Standard and Poor’s, Moody’s, Fitch. Ранее уже были проведены исследования, посвященные анализу рейтингов S&P и Moody’s, продемонстрировавших наличие тесной взаимосвязи и зависимости между ними. Работа, по которой написана настоящая научная статья, проделана в том же направлении, но поле изучения значительно расширено: сравнительный анализ охватывает, помимо S&P и Moody’s, еще и рейтинги агентства Fitch. Изначально планировалось исследовать обширный объем данных, включающих в себя суверенные кредитные рейтинги, составленные по 143 странам на каждый день в течение 70-летнего периода (1949-2017 гг.). Эта информация была получена из таких источников, как Bloomberg, IMF и World Bank. Однако в связи с обнаружением значительных пробелов в данных рейтингах выборка данных для анализа была сокращена до 25 лет (с 1992 до 2017 г.). Анализ сфокусирован на сравнении уровней рейтинга, изменениях в них и влиянии суверенного кредитного долга на кредитный рейтинг.

Suggested Citation

  • A. Ivkin & А. Ивкин, 2018. "Сравнительный анализ суверенных кредитных рейтингов. Статика // Comparative Analysis of Sovereign Credit Ratings. Statics," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 6(2), pages 50-76.
  • Handle: RePEc:scn:00rbes:y:2018:i:2:p:50-76
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    References listed on IDEAS

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