State Dependence and Stickiness of Sovereign Credit Ratings: Evidence from a Panel of Countries
利用穆迪数据，研究主权信用评级持续性的三个来源（真实状态依赖、虚假状态依赖和序列误差相关），并检验欧洲债务危机和东亚危机期间评级是否具有粘性或顺周期性。
Summary Using data from Moody's, we examine three sources of sovereign credit ratings persistence: true state dependence, spurious state dependence and serial error correlation. Accounting for ratings persistence, we also examine whether ratings were sticky or procyclical for two major crises: the European debt crisis and the East Asian crisis. We set up a dynamic panel ordered probit model with autocorrelated disturbances and nonparametrically distributed random effects. An efficient Markov chain Monte Carlo algorithm is designed for model estimation. We find evidence of stickiness of ratings and of the three sources of ratings persistence, with the true state dependence being weak. Copyright © 2015 John Wiley & Sons, Ltd.