Publication:
Impacts of Sovereign Rating on Sub-Sovereign Bond Ratings in Emerging and Developing Economies

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dc.contributor.authorMohapatra, Sanket
dc.contributor.authorNose, Manabu
dc.contributor.authorRatha, Dilip
dc.date.accessioned2016-04-26T17:06:06Z
dc.date.available2016-04-26T17:06:06Z
dc.date.issued2016-03
dc.description.abstractThis paper explores bond-level, issuer-level, and macro-level conditions that affect the distance between sovereign credit rating and sub-sovereign debt ratings. Over three-quarters of rated foreign-currency sub-sovereign bonds issued during 1990–2013 in 47 emerging and developing countries were rated at or below the corresponding sovereign rating, thus confirming the prevalence of a sovereign ceiling. For bonds rated below the sovereign ceiling, a Tobit regression shows strong sovereign-corporate links for financial firms, publicly-owned firms, and local government entities. International bonds tend to be rated closer to the sovereign rating during riskier global financial conditions. Well-developed domestic financial markets also tend to be related to a smaller distance, likely because of stronger macro-financial links for financial issuers. About 11 to 26 percent of the bonds had ratings higher than the sovereign rating, which was achieved mainly through securitization structures. This observation is confirmed using a double-hurdle estimation that accounts for bond and firm characteristics and macroeconomic conditions. The sovereign-corporate rating relationship became significantly stronger at the peak period of the 2008-09 global financial crisis, and appears to have weakened in the subsequent years.en
dc.identifierhttp://documents.worldbank.org/curated/en/2016/03/26149694/impacts-sovereign-rating-sub-sovereign-bond-ratings-emerging-developing-economies
dc.identifier.doi10.1596/1813-9450-7618
dc.identifier.urihttps://hdl.handle.net/10986/24160
dc.languageEnglish
dc.language.isoen_US
dc.publisherWorld Bank, Washington, DC
dc.relation.ispartofseriesPolicy Research Working Paper;No. 7618
dc.rightsCC BY 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo/
dc.subjectDOMESTIC FINANCIAL MARKETS
dc.subjectGLOBAL FINANCIAL CONDITIONS
dc.subjectINTERNATIONAL BONDS
dc.subjectMACRO-FINANCIAL LINKS
dc.subjectSOVEREIGN-CORPORATE LINKS
dc.subjectSOVEREIGN CREDIT RATING
dc.subjectSUB-SOVEREIGN DEBT RATING
dc.subjectTOBIT REGRESSION RATING
dc.titleImpacts of Sovereign Rating on Sub-Sovereign Bond Ratings in Emerging and Developing Economiesen
dc.typeWorking Paperen
dc.typeDocument de travailfr
dc.typeDocumento de trabajoes
dspace.entity.typePublication
okr.crossref.titleImpacts of Sovereign Rating on Sub-Sovereign Bond Ratings in Emerging and Developing Economies
okr.date.disclosure2016-03-30
okr.doctypePublications & Research
okr.doctypePublications & Research::Policy Research Working Paper
okr.docurlhttp://documents.worldbank.org/curated/en/2016/03/26149694/impacts-sovereign-rating-sub-sovereign-bond-ratings-emerging-developing-economies
okr.guid841091467995047270
okr.identifier.doi10.1596/1813-9450-7618
okr.identifier.externaldocumentum090224b084d8ffaa_2_0
okr.identifier.internaldocumentum26149694
okr.identifier.reportWPS7618
okr.importedtrue
okr.language.supporteden
okr.pdfurlhttp://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2016/03/30/090224b08424898b/1_0/Rendered/PDF/Impacts0of0sov0developing0economies.pdfen
okr.topicFinance and Financial Sector Development::Debt Markets
okr.topicPrivate Sector Development::Emerging Markets
okr.topicFinance and Financial Sector Development::Strategic Debt Management
okr.topicFinance and Financial Sector Development::Access to Finance
okr.unitGlobal Indicators Group, Development Economics
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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