Speculative-Grade sovereign rating Cycles: Sovereign debt Defaults, restructurings and resolution

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2025-07-09 DOI:10.1016/j.intfin.2025.102197

Luca Agnello , Vítor Castro , Ricardo M. Sousa

引用次数: 0

Abstract

We analyse how defaults, debt restructurings and resolution affect the duration of low sovereign rating cycles in a change-point Weibull duration model setup. Using a large panel of sovereign ratings data issued by the three largest credit rating agencies, we show that sovereigns implementing nominal debt relief during defaults or with an history of debt restructurings (including those supported by multilateral institutions) or (long) exits from international capital markets hardly escape the ’curse’ of protracted speculative-grade spells. Governments also tend to discriminate between domestic and foreign agents, ’prioritising’ foreign currency defaults.

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投机级主权评级周期：主权债务违约、重组和解决

我们分析了违约、债务重组和解决如何影响低主权评级周期的持续时间，在一个变点威布尔持续时间模型设置。利用三大信用评级机构发布的大量主权评级数据，我们表明，在违约期间或有债务重组历史（包括多边机构支持的债务重组）或（长期）退出国际资本市场的主权国家几乎无法逃脱长期投机级咒语的“诅咒”。政府还倾向于区别对待国内和外国代理人，“优先考虑”外币违约。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

CiteScore

6.60

自引率

10.00%

发文量

142

期刊介绍： International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.