Time series properties of corporate credit rating transitions by regions and rating agencies

被引：0
|
作者：
Han, Gyu-Sik [1 ]
Kim, Young Kyu [2 ]
机构：
[1] Jeonbuk Natl Univ, Dept Business Adm, Jeonju, South Korea
[2] Natl Pens Serv Investment Management, Jeonju, South Korea
来源：
APPLIED ECONOMICS LETTERS | 2024年
关键词：
credit ratings; credit ratings transition matrix; time series; time-homogeneous Markov Chain; unit root test; PANEL-DATA; UNIT-ROOT;
D O I：
10.1080/13504851.2024.2368263
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The study confirms the time series properties of the credit rating transitions and finds commonalities and differences across regions and rating agencies. Significant differences were found between regions but not between rating agencies.
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页数：7
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