Chang Chong-Chuo, Wong Wing-Keung, Lo Shih-Tse, Liao Yu-Hsuan
Department of Banking and Finance, College of Management, National Chi Nan University, Taiwan.
Department of Finance, Fintech & Blockchain Research Center, and Big Data Research Center, Asia University, Taiwan.
Heliyon. 2023 Sep 26;9(10):e20444. doi: 10.1016/j.heliyon.2023.e20444. eCollection 2023 Oct.
Sovereign credit ratings, extensively studied for their influence on macroeconomics and country risk, have been less explored in the context of their impact on individual firms. This research delves into the effects of sovereign credit rating changes on firm risk. Our findings suggest that an upgrade in sovereign credit ratings decreases firm risk, while a downgrade amplifies it. Furthermore, the magnitude of a country's rating shift positively correlates with changes in firm risk. We also discern a contagion effect between trade-dependent countries: an elevated rating in one country diminishes the firm risk in its trading partner, and vice versa. When categorizing our data into developed and developing markets, we observe that firm risk in developed markets reacts more acutely to rating upgrades. Conversely, rating downgrades, whether domestic or in trade-associated countries, intensify firm risk in developing markets. A robustness check, which evaluates sovereign credit rating fluctuations outside of financial crises, corroborates our core findings.
主权信用评级因其对宏观经济和国家风险的影响而得到广泛研究，但在其对单个公司的影响方面却鲜有探讨。本研究深入探讨主权信用评级变化对公司风险的影响。我们的研究结果表明，主权信用评级的上调会降低公司风险，而评级下调则会加剧公司风险。此外，一个国家评级变动的幅度与公司风险的变化呈正相关。我们还发现贸易依存型国家之间存在传染效应：一个国家评级的提高会降低其贸易伙伴的公司风险，反之亦然。当我们将数据分为发达市场和发展中市场时，我们观察到发达市场的公司风险对评级上调的反应更为敏锐。相反，无论是国内还是贸易相关国家的评级下调，都会加剧发展中市场的公司风险。一项评估金融危机之外主权信用评级波动的稳健性检验证实了我们的核心发现。
