State dependence and stickiness of sovereign credit ratings:evidence from a panel of countries

摘要: Using data from Moody's, we examine three sources of sovereign credit ratings persistence: true state dependence, spurious dependence and serial error correlation. Accounting for persistence, also whether were sticky or procyclical two major crises: the European debt crisis East Asian crisis. We set up a dynamic panel ordered probit model with autocorrelated disturbances nonparametrically distributed random effects. An efficient Markov chain Monte Carlo algorithm is designed estimation. find evidence stickiness being weak.