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Determinants and Impact of Sovereign Credit Ratings.pdf
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Richard Cantor and Frank Packer
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In recent years, the demand for sovereign credit ratings—the risk assessments assigned by the credit rating agencies to the obligations of central governments—has increased dramatically. More governments with greater default risk and more companies domiciled in riskier host countries are borrowing in international bond markets. Although foreign government officials generally cooperate with the agencies, rating assignments that are lower than anticipated often prompt issuers to question the consistency and rationale of sovereign ratings. How clear are the criteria underlying sovereign ratings? Moreover, how much of an impact do ratings have on borrowing costs for sovereigns? To explore these questions, we present the first systematic analysis of the determinants and impact of the sovereign credit ratings assigned by the two leading U.S. agencies, Moody’s Investors Service and Standard and Poor’s. 1 Such an analysis has only recently become possible as a result of the rapid growth in sovereign rating assignments. The wealth of data now available allows us to estimate which quantitative indicators are weighed most heavily in the determination of ratings, to evaluate the predictive power of ratings in explaining a cross-section of sovereign bond yields, and to measure whether rating announcements directly affect market yields on the day of the announcement. Our investigation suggests that, to a large extent, Moody’s and Standard and Poor’s rating assignments can be explained by a small number of well-defined criteria, which the two agencies appear to weigh similarly. We also find that the market—as gauged by sovereign debt yields—broadly shares the relative rankings of sovereign credit risks made by the two rating agencies. In addition, credit ratings appear to have some independent influence on yields over and above their correlation with other publicly available information. In particular, we find that rating announcements have immediate effects on market pricing for non-investment-grade issues.
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