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Sovereign Ratings in the Post-Crisis World : An Analysis of Actual, Shadow and Relative Risk Ratings

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dc.contributor.authorBasu, Kaushik
dc.contributor.authorDe, Supriyo
dc.contributor.authorRatha, Dilip
dc.contributor.authorTimmer, Hans
dc.date.accessioned2014-02-04T16:43:23Z
dc.date.available2014-02-04T16:43:23Z
dc.date.issued2013-10
dc.description.abstractThis paper analyzes the evolution of sovereign credit ratings in the wake of the global financial crisis by studying changes in actual, shadow, and relative ratings between 2008 and 2012. For countries that do not have a rating from the major rating agencies, shadow ratings are estimated as a function of macroeconomic, structural, and governance variables. The shadow rating exercise confirms earlier findings in the literature that even after the financial crisis, many unrated countries appear to be more creditworthy than previously believed and can access international capital markets. The paper also develops a new rating scale called the "relative risk rating," which ranks countries according to their actual or shadow ratings after controlling for changes in the world weighted average rating. When relative ratings in 2012 are compared with the first half of 2008, the world average rating is found to be weaker because of the financial crisis. The relative rating improved in developing economies such as Azerbaijan, Ethiopia, Kazakhstan, Indonesia, and the Philippines, whereas it deteriorated in crisis-affected high-income countries such as Cyprus, Greece, Spain, Portugal, Ireland, and Egypt. Interestingly, India, Jordan, Poland, and the United Kingdom had their rating outlook downgraded by the rating agencies, but their relative rating actually improved as other countries suffered even worse downgrades. A regression model is used to analyze the relative contributions of different variables to rating changes during 2008-2012, a helpful feature for policy makers interested in improving sovereign ratings.en
dc.identifierhttp://documents.worldbank.org/curated/en/2013/10/18360008/sovereign-ratings-post-crisis-world-analysis-actual-shadow-relative-risk-ratings
dc.identifier.doi10.1596/1813-9450-6641
dc.identifier.urihttps://hdl.handle.net/10986/16859
dc.languageEnglish
dc.language.isoen_US
dc.publisherWorld Bank, Washington, DC
dc.relation.ispartofseriesPolicy Research Working Paper;No. 6641
dc.rightsCC BY 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo/
dc.subjectACCOUNTING
dc.subjectADVANCED ECONOMIES
dc.subjectBANK POLICY
dc.subjectBANKS
dc.subjectBENCHMARK
dc.subjectBENCHMARKS
dc.subjectBOND RATINGS
dc.subjectBOND YIELDS
dc.subjectBORROWING COSTS
dc.subjectCAPITAL ACCOUNT
dc.subjectCAPITAL ACCOUNT LIBERALIZATION
dc.subjectCAPITAL FLOWS
dc.subjectCAPITAL INFLOWS
dc.subjectCAPITAL MOBILITY
dc.subjectCDS
dc.subjectCONFLICT OF INTEREST
dc.subjectCORPORATE FINANCE
dc.subjectCOUNTRY RISK
dc.subjectCREDIT DEFAULT
dc.subjectCREDIT DEFAULT SWAPS
dc.subjectCREDIT QUALITY
dc.subjectCREDIT RATING
dc.subjectCREDIT RATING AGENCIES
dc.subjectCREDIT RATINGS
dc.subjectCREDIT RISK
dc.subjectCREDITWORTHINESS
dc.subjectCURRENCY
dc.subjectCURRENCY CRISES
dc.subjectCYCLICAL FACTORS
dc.subjectDATA AVAILABILITY
dc.subjectDEBT
dc.subjectDEBT CRISIS
dc.subjectDEBT RATINGS
dc.subjectDEBT RATIO
dc.subjectDEBT RELIEF
dc.subjectDEBT STOCKS
dc.subjectDEFAULT RISK
dc.subjectDEFAULTS
dc.subjectDEPENDENT VARIABLE
dc.subjectDEVELOPING COUNTRIES
dc.subjectDEVELOPING ECONOMIES
dc.subjectDEVELOPMENT ECONOMICS
dc.subjectDEVELOPMENT FINANCE
dc.subjectDEVELOPMENT POLICY
dc.subjectDEVELOPMENT PROJECTS
dc.subjectDOMESTIC FINANCIAL SECTOR
dc.subjectECONOMETRIC ANALYSIS
dc.subjectECONOMETRIC MODEL
dc.subjectECONOMIC CIRCUMSTANCES
dc.subjectECONOMIC DEVELOPMENT
dc.subjectECONOMIC OUTLOOK
dc.subjectECONOMIC PERFORMANCE
dc.subjectECONOMIC POLICY
dc.subjectECONOMIC STABILITY
dc.subjectECONOMIC STRENGTH
dc.subjectEMERGING MARKET
dc.subjectEMERGING MARKET ECONOMIES
dc.subjectEMERGING MARKETS
dc.subjectEXCHANGE RATE
dc.subjectEXCHANGE RATES
dc.subjectEXPLANATORY VARIABLES
dc.subjectEXPORTS
dc.subjectEXTERNAL DEBT
dc.subjectFEDERAL RESERVE
dc.subjectFEDERAL RESERVE BANK
dc.subjectFEDERAL RESERVE BANK OF NEW YORK
dc.subjectFINANCIAL ANALYSIS
dc.subjectFINANCIAL CRISIS
dc.subjectFINANCIAL INTERMEDIARY
dc.subjectFINANCIAL MARKETS
dc.subjectFINANCIAL SECTOR
dc.subjectFINANCIAL SECTOR DEVELOPMENT
dc.subjectFINANCIAL STABILITY
dc.subjectFOREIGN CURRENCY
dc.subjectFOREIGN EXCHANGE
dc.subjectFOREIGN EXCHANGE MARKETS
dc.subjectFUTURE RESEARCH
dc.subjectGDP
dc.subjectGLOBAL CAPITAL
dc.subjectGLOBAL CAPITAL MARKETS
dc.subjectGLOBAL FINANCE
dc.subjectGOLD
dc.subjectGOVERNANCE INDICATORS
dc.subjectGOVERNMENT BOND
dc.subjectGOVERNMENT BOND YIELD
dc.subjectGOVERNMENT DEBT
dc.subjectGROSS DEBT
dc.subjectGROSS NATIONAL INCOME
dc.subjectGROWTH RATE
dc.subjectHIGH-INCOME COUNTRIES
dc.subjectIMPORT
dc.subjectIMPORTS
dc.subjectINCOME
dc.subjectINDEBTEDNESS
dc.subjectINDEX NUMBERS
dc.subjectINFLATION
dc.subjectINTERNATIONAL BANK
dc.subjectINTERNATIONAL CAPITAL
dc.subjectINTERNATIONAL CAPITAL MARKETS
dc.subjectINTERNATIONAL DEBT
dc.subjectINTERNATIONAL DEBT SECURITIES
dc.subjectINTERNATIONAL MONEY
dc.subjectINTERNATIONAL SETTLEMENTS
dc.subjectINVESTMENT FLOWS
dc.subjectLESS DEVELOPED COUNTRIES
dc.subjectLIQUIDITY
dc.subjectLOCAL CURRENCY
dc.subjectMACRO-STABILITY
dc.subjectMACROECONOMIC INSTABILITY
dc.subjectMARKET INFORMATION
dc.subjectMARKET PRICES
dc.subjectMATHEMATICAL ECONOMICS
dc.subjectMATURITIES
dc.subjectMATURITY
dc.subjectMIGRATION
dc.subjectMISALIGNMENT
dc.subjectMONETARY FUND
dc.subjectNATIONAL INCOME
dc.subjectPOLICY CREDIBILITY
dc.subjectPOLITICAL DISTURBANCES
dc.subjectPORTFOLIO
dc.subjectPOSITIVE EFFECTS
dc.subjectPOST-CRISIS PERIOD
dc.subjectPRIVATE ENTITIES
dc.subjectPUBLIC POLICY
dc.subjectREMITTANCES
dc.subjectREPUTATION
dc.subjectRESERVE
dc.subjectRESERVES
dc.subjectRULE OF LAW
dc.subjectSHADOW VALUES
dc.subjectSHORT TERM DEBT
dc.subjectSHORT-TERM DEBT
dc.subjectSHORT-TERM EXTERNAL DEBT
dc.subjectSOLVENCY
dc.subjectSOVEREIGN BOND
dc.subjectSOVEREIGN DEBT
dc.subjectSOVEREIGN DEFAULT
dc.subjectSOVEREIGN ENTITIES
dc.subjectSOVEREIGN RATING
dc.subjectSOVEREIGN RATINGS
dc.subjectSOVEREIGN RISK
dc.subjectSTANDARD DEVIATION
dc.subjectSUB-NATIONAL ENTITIES
dc.subjectSUM OF IMPORTS
dc.subjectSUSTAINABLE FINANCE
dc.subjectTOTAL EXTERNAL DEBT
dc.subjectTOTAL RESERVES
dc.subjectTREASURY
dc.subjectVOLATILITY
dc.subjectWEIGHTS
dc.subjectWELFARE ECONOMICS
dc.subjectWORLD DEVELOPMENT INDICATORS
dc.subjectWORLD ECONOMY
dc.subjectYIELD SPREADS
dc.titleSovereign Ratings in the Post-Crisis World : An Analysis of Actual, Shadow and Relative Risk Ratingsen
dspace.entity.typePublication
okr.crossref.titleSovereign Ratings in the Post-Crisis World: An Analysis of Actual, Shadow and Relative Risk Ratings
okr.date.disclosure2013-10-01
okr.date.doiregistration2025-04-10T09:25:19.885736Z
okr.doctypePublications & Research::Policy Research Working Paper
okr.doctypePublications & Research
okr.docurlhttp://documents.worldbank.org/curated/en/2013/10/18360008/sovereign-ratings-post-crisis-world-analysis-actual-shadow-relative-risk-ratings
okr.globalpracticeMacroeconomics and Fiscal Management
okr.globalpracticeFinance and Markets
okr.globalpracticeTrade and Competitiveness
okr.guid555591468204894873
okr.identifier.doi10.1596/1813-9450-6641
okr.identifier.externaldocumentum000158349_20131007143604
okr.identifier.internaldocumentum18360008
okr.identifier.reportWPS6641
okr.language.supporteden
okr.pdfurlhttp://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2013/10/07/000158349_20131007143604/Rendered/PDF/WPS6641.pdfen
okr.region.administrativeAfrica
okr.region.administrativeEast Asia and Pacific
okr.region.administrativeEurope and Central Asia
okr.topicBanks and Banking Reform
okr.topicFinance and Financial Sector Development::Currencies and Exchange Rates
okr.topicEconomic Theory and Research
okr.topicPrivate Sector Development::Emerging Markets
okr.topicFinance and Financial Sector Development::Debt Markets
okr.topicMacroeconomics and Economic Growth
okr.unitOffice of the Chief Economist, Development Economics Vice Presidency
okr.volume1 of 1
relation.isAuthorOfPublication979327ad-ac79-5a52-98ad-ee91fca9734d
relation.isAuthorOfPublication.latestForDiscovery979327ad-ac79-5a52-98ad-ee91fca9734d
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
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