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首页> 外文期刊>Annals of Operations Research >Do sovereign credit ratings matter for corporate credit ratings?
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Do sovereign credit ratings matter for corporate credit ratings?

机译：主权信用评级是否有企业信用评级？

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摘要

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 sovereign-corporate 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 credit market participants and offer a call for a better understanding of the role of firm-specific financial characteristics in the rating decisions.
机译：本文提出了一种解决主权评级对企业评级的影响的新方法。由于从未评估其政府（主权天花板）的私人发行人的政策受到主要信用评级机构的放宽，因此需要进一步的实证调查来确定决定主权公司Nexus实力的关键因素。我们建议实施非线性面板平滑过渡回归建模，允许主权效应在不同的企业级金融国家之间变化。我们的研究结果表明，在归属国信用风险的情况下，发现有利息和债务覆盖率的财务更健康的公司。我们的实证调查结果对信贷市场参与者具有重要意义，并提出了更好地了解公司特定财务特征在评级决策中的作用。

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