Publication detail

Interconnectivity among Assessments from Rating Agencies: Using Cluster and Correlation Analysis

KREJČÍŘ, J. DOSTÁL, P. DOUBRAVSKÝ, K.

Original Title

Interconnectivity among Assessments from Rating Agencies: Using Cluster and Correlation Analysis

Czech Title

Provázanost mezi hodnoceních ratingových agentur: Použití shlukové a korelační analýza

English Title

Interconnectivity among Assessments from Rating Agencies: Using Cluster and Correlation Analysis

Type

journal article

Language

en

Original 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.

Czech abstract

Cílem této práce je zjistit, zda existuje závislost mezi hodnocením předních ratingových agentur. Ratingové agentury jsou důležitou součástí globální ekonomiky. Od roku 2007, kdy došlo k celosvětové finanční krizi, byla věnována velká pozornost činnosti těchto agentur. Jako jedna z hlavních příčin finanční krize byly identifikovány ratingové agentury. Tato práce je zaměřena na zjištění, zda existuje vzájemná propojenost mezi hodnocením tří hlavních ratingových agentur. Postup zjištění existence vzájemné provázanosti ja založen na metodách shlukové analýzy, následné korelační analýzy a testu nezávislosti. Pro stanovení této vzájemné propojenosti byla vybrána ratingová hodnocení Řecka a Španělska, jelikož tyto země patří v současnosti k nejvíce diskutovanými zemím eurozóny. Byla prokázána významná závislost mezi hodnocením ratingových agentur.

English 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.

Keywords

credit rating assessments; credit rating agencies; cluster analysis; correlation coefficient; test independence

RIV year

2014

Released

30.09.2014

Location

Latvia

Pages from

269

Pages to

278

Pages count

9