Abstract
The aim of this paper is to determine whether there is a dependency among leading rating agencies assessments. Rating agencies are important part of global economy. Great attention has been paid to activities of rating agencies since 2007, when there was a financial crisis. One of the main causes of this crisis was identified credit rating agencies. This paper is focused on an existence of mutual interconnectivity among assessments from three leading rating agencies. The method used for this determines is based on cluster analysis and subsequently correlation analysis and the test of independence. Credit rating assessments of Greece and Spain were chosen to the determination of this mutual interconnectivity due to the fact that these countries are most talked euroarea countries. The significant dependence of the assessment from different rating agencies has been demonstrated.
Highlights
The majority of developed economies worldwide have been going through varying periods of economic recession since 2007
Cluster ID had assigned to rating agency assessments and these results entered into the correlation analysis
External rating assessments by rating agencies have been getting increasingly regulated in recent years
Summary
The majority of developed economies worldwide have been going through varying periods of economic recession since 2007. One of the main villains of the crisis, which predated the recession, was identified as large credit rating agen cies (Alsakka, Gwilym 2010; Furfine, Amato 2003). Research problem of this paper is mutual interconnectivity of credit rating agency assessments. The aim of this paper is to determine whether there is a dependency among leading rating agencies assessments. Most signifi cant agencies are Standard & Poor’s (from S&P), Moody’s Investors Service (from Moody’s) and Fitch Ratings (from Fitch). Particular agencies have their own system of denomination for their evaluations. The structure of credit rating agencies is elaborated on in (Crouhy et al 2001; Jeon, Lovo 2013)
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