Rating de crédito e governança nacional : um estudo dos países do BRICS

Abstract

The present dissertation had the general objective of analyzing the effect of Sovereign Rating and National Governance on Credit Rating in emerging countries. The institutional context in which a company is located influences the rating of the firm. The sample was composed of companies from the BRICS (Brazil, Russia, India, China and South Africa) in the period from 2010 to 2018. The method used was Ordinal Probit to test the model of the determinants of rating and the country's effect on the Credit Rating. The main results show that the economic and financial variables that determine the Credit Rating are significant and of the same sign expected by the literature. In addition, the Sovereign Rating has a positive effect on corporate ratings, however there is a sovereign ceiling effect that when firms are rated higher than their country, they tend to have lower ratings in the following years, which means that there is then a negative effect. Furthermore, National Governance has a positive effect on the corporate ratings on the BRICS. Additionally, the Sovereign Rating and National Governance variables improve the quality of the models when applied as a moderating effect. This research contributes to the test of economic and financial variables relevant to the determination of the corporate rating in BRICS by Standard and Poor's, Moody's and Fitch, in addition to demonstrate the impact of country risk and institutional quality on the credit rating received by companies. As well it is relevant for investors, banks, researchers and financial professionals and others interested in the topic of credit risk and emerging countries.