European versus Anglo-Saxon Credit View: Evidence from the Eurozone Sovereign Debt Crisis

44 Pages Posted: 19 Dec 2016 Last revised: 29 Apr 2018

Marc Altdörfer

University of Ulm - Department of Mathematics and Economics

Carlos De las Salas Vega

University of Ulm - Department of Mathematics and Economics

Andre Guettler

University of Ulm - Department of Mathematics and Economics; Halle Institute for Economic Research

Gunter Löffler

University of Ulm - Department of Mathematics and Economics

Date Written: April 23, 2018

Abstract

We analyze whether different intensities of country ties to Europe affected the assignment of sovereign credit ratings during the Eurozone sovereign crisis. We find that Fitch, the rating agency among the “Big Three” with significantly stronger ties to Europe, was more reluctant than its two more US-tied peers to downgrade Eurozone countries during the crisis. The rating actions of Fitch were, however, largely ignored by the bond market. Our results thus cast doubt on the benefits of an often-suggested independent European credit rating agency.

Keywords: Credit rating agencies, sovereign debt crisis, Eurozone, home bias

JEL Classification: F65, G01, G14, G18, G24

Suggested Citation

Altdörfer, Marc and De las Salas Vega, Carlos and Guettler, Andre and Löffler, Gunter, European versus Anglo-Saxon Credit View: Evidence from the Eurozone Sovereign Debt Crisis (April 23, 2018). Available at SSRN: https://ssrn.com/abstract=2887287 or http://dx.doi.org/10.2139/ssrn.2887287

Marc Altdörfer (Contact Author)

University of Ulm - Department of Mathematics and Economics ( email )

Helmholzstrasse
Ulm, D-89081
Germany

Carlos De las Salas Vega

University of Ulm - Department of Mathematics and Economics ( email )

Albert-Einstein-Alee 11
Ulm, D-89081
Germany

Andre Guettler

University of Ulm - Department of Mathematics and Economics ( email )

Helmholzstrasse
Ulm, D-89081
Germany

Halle Institute for Economic Research ( email )

P.O. Box 11 03 61
Kleine Maerkerstrasse 8
D-06017 Halle, 06108
Germany

Gunter Löffler

University of Ulm - Department of Mathematics and Economics ( email )

Helmholzstrasse
Ulm, D-89081
Germany
+49 731 50 23598 (Phone)
+49 731 50 23950 (Fax)

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