Rating Change Probabilities: An Empirical Analysis of Sovereign Ratings

Download or read book Rating Change Probabilities: An Empirical Analysis of Sovereign Ratings written by Alex Bergen and published by Anchor Academic Publishing (aap_verlag). This book was released on 2014-02-01 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study analyzes the determinants of rating changes and the variables' marginal effects on rating change probabilities. Based on the results, it presents transition matrices by computing transition probabilities. Furthermore, this study analyzes subsamples of the data set, conditional on the business cycle and the economic strength of a country, by using interaction effects. The Author of this study thereby verifies whether or how the transition matrices change by including interaction effects. He applies a latent variable approach, using an ordered probit model, to calculate the effects of different variables on the probabilities of rating changes.