Article Dans Une Revue Annals of Operations Research Année : 2020

Do sovereign credit ratings matter for corporate credit ratings?

Résumé

This paper proposes a new approach for tackling the issue of the impact of sovereign rating on corporate ratings. As the policy of never rating a private issuer above its government (sovereign ceiling) has been relaxed by the major credit rating agencies, further empirical investigation is needed to identify the key factors that determine the strength of sovereigncorporate nexus. We suggest implementing a nonlinear panel smooth transition regression modelling where the sovereign effect is allowed to vary across different firm-level financial states. Our results reveal that financially healthier corporations in terms of interest and debt coverage ratios are found to be less dependent on their home country credit risk.Our empirical findings have important implications for creditmarket participants and offer a call for a better understanding of the role of firm-specific financial characteristics in the rating decisions.

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Dates et versions

hal-05071413 , version 1 (16-05-2025)

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Nidhaleddine Ben Cheikh, Oussama Ben Hmiden, Younes Ben Zaied, Sabri Boubaker. Do sovereign credit ratings matter for corporate credit ratings?. Annals of Operations Research, 2020, 297 (1-2), pp.77-114. ⟨10.1007/s10479-020-03590-z⟩. ⟨hal-05071413⟩
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