Please use this identifier to cite or link to this item: http://hdl.handle.net/11718/19810
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dc.contributor.authorMohapatra, Sanket
dc.contributor.authorNose, Manabu
dc.contributor.authorRatha, Dilip
dc.date.accessioned2017-09-04T08:59:39Z
dc.date.available2017-09-04T08:59:39Z
dc.date.issued2017-07-05
dc.identifier.citationApplied Economics, Volume 50, Issue 9, 2018.
dc.identifier.urihttp://hdl.handle.net/11718/19810
dc.description.abstractThis article explores factors that affect the distance between sovereign credit ratings and the ratings assigned to new foreign-currency bonds issued by sub-sovereign entities (such as private non-financial corporations, financial firms, and public sector enterprises) in 47 emerging markets and developing economies. Censored and double-hurdle regression models are used to estimate the relative contributions of bond-level, issuer-level, and macroeconomic factors that determine this distance, separately for those rated at or below the sovereign rating and those rated above. For the three quarters or more of sub-sovereign bond ratings that are constrained by the sovereign rating ceiling, a Tobit regression model shows a smaller distance suggesting stronger sovereign corporate linkages for public sector enterprises and financial firms relative to other firms. Riskier global financial conditions are also associated with sub-sovereign bonds being rated closer to the sovereign rating. For the small number of sub-sovereign bonds rated higher than the sovereign rating, a double-hurdle model shows that certain debt features such as bonds backed by future-flow receivables or other collateral or structured as Special Purpose Vehicles (SPV) significantly raise the likelihood of piercing the sovereign rating ceiling and also increase the distance above the sovereign ceiling.
dc.publisherTaylor & Francis Groupen_US
dc.subjectSub-sovereign rating; international debt markets; spillover effect; sovereign ceilingen_US
dc.titleDeterminants of the distance between sovereign credit ratings and sub-sovereign bond ratings: evidence from emerging markets and developing economiesen_US
dc.typeArticleen_US
Appears in Collections:Journal Articles



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