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

IWH Discussion Papers No. 34/2016

44 Pages Posted: 19 Dec 2016  

Marc Altdörfer

University of Ulm - Department of Mathematics and Economics

Carlos A. De las Salas

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

Ulm University

Date Written: December 05, 2016

Abstract

We analyse whether different levels of country ties to Europe among the rating agencies Moody’s, S&P, and Fitch affect the assignment of sovereign credit ratings, using the Eurozone sovereign debt crisis of 2009-12 as a natural laboratory. We find that Fitch, the rating agency among the “Big Three” with significantly stronger ties to Europe compared to its two more US tied peers, assigned on average more favourable ratings to Eurozone issuers during the crisis. However, Fitch’s better ratings for Eurozone issuers seem to be neglected by investors as they rather follow the rating actions of Moody’s and S&P. Our results thus doubt the often proposed need for an independent European credit rating agency.

Keywords: Credit rating agencies, sovereign debt crisis, rating splits, Eurozone

JEL Classification: F65, G01, G14, G18, G24, H12

Suggested Citation

Altdörfer, Marc and De las Salas, Carlos A. and Guettler, Andre and Löffler, Gunter, European Versus Anglo-Saxon Credit View: Evidence from the Eurozone Sovereign Debt Crisis (December 05, 2016). IWH Discussion Papers No. 34/2016. Available at SSRN: https://ssrn.com/abstract=2887287

Marc Altdörfer (Contact Author)

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

Helmholzstrasse
Ulm, D-89081
Germany

Carlos De las Salas

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

Helmholzstrasse
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

Ulm University ( email )

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

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