Resumo do evento
This paper investigates the role of reputation by looking at the length of time sovereigns are in speculative and/or investment-grade rating phases and its market determinants. It relies on sovereign ratings data from Fitch, Moody’s and Standard & Poor’s for a panel of 130 countries over the last three decades and an extension of a continuous-time Weibull duration model to test for the presence of change-points in the duration dependence dynamics. The results show that both speculative- and investment-grade rating phases are more likely to end as they grow older, but only until a certain duration: for spells longer than a specific threshold, duration dependence is no longer present. Hence, as sovereigns acquire the reputation of speculative- or investment-grade, the likelihood of losing it will mainly be driven by other factors, such as economic growth, fiscal stance and quality of governance. From an operational viewpoint, our work produces relevant insights to market players about the timing of changes and the transition across different sovereign rating risk classes.