Journal of
Italian
Banking
Association

year 100
 

Archive » February 2022 » Sovereign credit ratings during the pandemic crisis

Sovereign credit ratings during the pandemic crisis

Gianluca Mattarocci
February 2022 - n. 2
Keywords: Pandemia, rating, titoli di Stato
Jel codes: G24, G14, G12

Covid-19 has been an unforeseen shock for the world economy and States were obliged to adapt their monetary and economic policy for managing the health crisis and reduce the medium-long term negative effects. Sovereign rating may be affected by the pandemic due to the higher debt assumed by the States for covering the expenses related to the emergency and the slowdown of the economy related to the anti-contagion measures adopted by each Government. The article evaluates rating dynamics during the pandemic period by considering both large and small players in the industry. Results show that the approach adopted for the rating judgments was conservative because the number of downgrades is not significantly increased, the monitoring frequency of outstanding ratings is almost the same with respect to the pre-crisis period and the herding is less relevant with respect to the standard market conditions.

Interested in this paper?
Buy the issue