Understanding sovereign credit ratings : text-based evidence from the credit rating reports

Slapnik, Ursula (avtor), Lončarski, Igor (avtor)

We apply a novel approach to identifying the qualitative judgment of the rating committee in sovereign credit ratings by extending the traditional regression with new measures – sentiment and subjectivity scores – obtained by textual sentiment analysis methods. Using an ordered logit with random effects for 98 countries from 1995 to 2018, we find evidence that the subjectivity score provides additional information not captured by previously identified determinants of sovereign credit ratings, even after controlling for political risk, institutional strength, and potential bias. The results from the bivariate and multivariate analysis confirm differences in textual sentiment and subjectivity between emerging markets and advanced economies, as well as before and after the 2008 global financial crisis.

• Jezik: Angleški jezik
• Ključne besede: financial markets, financial instruments, investments, price policy, models, sovereign credit ratings, sovereign credit rating reports, textual sentiment analysis, soft information, bias, subjectivity
• Vrsta gradiva: Članek v reviji
• Tipologija: 1.01 - Izvirni znanstveni članek
• Organizacija: EF - Ekonomska fakulteta
• Status publikacije: Objavljeno
• Različica publikacije: Objavljena publikacija
• Leto izida: 2023
• Št. strani: 29 str.
• Številčenje: Vol. 88, art. 101838
• PID: 20.500.12556/RUL-152975
• UDK: 336
• ISSN pri članku: 1042-4431
• DOI: 10.1016/j.intfin.2023.101838
• COBISS.SI-ID: 165323523
• Datum objave v RUL: 13.12.2023

Gradivo je del revije

• Naslov: Journal of international financial markets, institutions & money
• Založnik: Elsevier
• ISSN: 1042-4431
• COBISS.SI-ID: 2234908

Licence

• Licenca: CC BY-NC 4.0, Creative Commons Priznanje avtorstva-Nekomercialno 4.0 Mednarodna
• Povezava: http://creativecommons.org/licenses/by-nc/4.0/deed.sl
• Opis: Licenca Creative Commons, ki prepoveduje komercialno uporabo, vendar uporabniki ne rabijo upravljati materialnih avtorskih pravic na izpeljanih delih z enako licenco.

Sekundarni jezik

• Jezik: Slovenski jezik
• Ključne besede: finančni trgi, finančni instrumenti, investicije, politika cen, modeli