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Determinants of the Distance between Sovereign Credit Ratings and Sub-Sovereign Bond Ratings: Evidence from Emerging Markets and Developing Economies

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dc.contributor.authorMohapatra, Sanket
dc.contributor.authorNose, Manabu
dc.contributor.authorRatha, Dilip
dc.date.accessioned2018-01-03T17:30:14Z
dc.date.available2018-01-03T17:30:14Z
dc.date.issued2017-07-05
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.en
dc.identifier.citationApplied Economics
dc.identifier.doi10.1596/29117
dc.identifier.issn0003-6846
dc.identifier.urihttps://hdl.handle.net/10986/29117
dc.publisherTaylor and Francis
dc.rightsCC BY-NC-ND 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/igo
dc.subjectSOVEREIGN CREDIT RATINGS
dc.subjectSUB-SOVEREIGN RATING
dc.subjectINTERNATIONAL DEBT MARKETS
dc.subjectSPILLOVER EFFECT
dc.subjectSOVEREIGN CEILING
dc.subjectBONDS
dc.subjectEMERGING MARKET ECONOMIES
dc.titleDeterminants of the Distance between Sovereign Credit Ratings and Sub-Sovereign Bond Ratingsen
dc.title.subtitleEvidence from Emerging Markets and Developing Economiesen
dc.typeJournal Articleen
dc.typeArticle de journalfr
dc.typeArtículo de revistaes
dspace.entity.typePublication
okr.associatedcontenthttp://www.tandfonline.com/doi/full/10.1080/00036846.2017.1346364 Journal website (version of record)en
okr.crossref.titleDeterminants of the Distance between Sovereign Credit Ratings and Sub-Sovereign Bond Ratings: Evidence from Emerging Markets and Developing Economies
okr.date.disclosure2019-01-05
okr.doctypePublications & Research::Journal Article
okr.doctypePublications & Research
okr.externalcontentExternal Content
okr.identifier.doi10.1080/00036846.2017.1346364
okr.identifier.doi10.1596/29117
okr.identifier.report122580
okr.journal.nbpages934-56
okr.language.supporteden
okr.peerreviewAcademic Peer Review
okr.topicFinance and Financial Sector Development::Capital Markets and Capital Flows
okr.topicFinance and Financial Sector Development::Debt Markets
okr.topicFinance and Financial Sector Development::International Financial Markets
okr.volume50(9)
relation.isAuthorOfPublication979327ad-ac79-5a52-98ad-ee91fca9734d
relation.isAuthorOfPublication.latestForDiscovery979327ad-ac79-5a52-98ad-ee91fca9734d
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