Variations in Sovereign Credit Quality Assessments across Rating Agencies

Posted: 2 Feb 2009

See all articles by Paula Hill

Paula Hill

University of Bristol

Robert D. Brooks

Monash University; Financial Research Network (FIRN)

Robert W. Faff

University of Queensland

Date Written: January 29, 2009


We investigate agency variation in credit quality assessment (Standard and Poor's vs. Moody's vs. Fitch) employing sovereign ratings data for 129 countries, spanning the period 1990 to 2006. While we find that the credit rating agencies often disagree about credit quality, it is usually confined to one or two notches on the finer scale. Given we find that several variables have varying importance in explaining ratings across agencies leads us to conclude that material heterogeneity exists between them. Also, while watch and outlook procedures are generally strong predictors of rating changes relative to other public data, additional significant variables suggest that it might be possible to augment these agency data to provide better forecasts of future rating changes.

Keywords: Credit rating, rating transition, prediction, information content, sovereign

JEL Classification: G32

Suggested Citation

Hill, Paula and Brooks, Robert Darren and Faff, Robert W., Variations in Sovereign Credit Quality Assessments across Rating Agencies (January 29, 2009). Available at SSRN:

Paula Hill (Contact Author)

University of Bristol ( email )

University of Bristol,
Senate House, Tyndall Avenue
Bristol, BS8 ITH
United Kingdom

Robert Darren Brooks

Monash University ( email )

Wellington Road
Clayton, Victoria 3168

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane

Robert W. Faff

University of Queensland ( email )

St Lucia
Brisbane, Queensland 4072

Register to save articles to
your library


Paper statistics

Abstract Views
PlumX Metrics

Under construction: SSRN citations while be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information