The nice list of free online data sources What data sources are available online? does not mention any data from ratings agencies.
Are historical time series available for sovereign credit ratings (other than as proprietary datasets)?
I realise that the ratings agencies probably would claim their ratings of sovereign debt as proprietary data, yet due to the way this information is disseminated and used it appears to be in the public interest for it to be available freely, and it also appears possible to recover some parts of the time series from the public domain. However, I cannot locate any free sources.
The Guardian made available a snapshot in July 2010, but I would like to analyse how the ratings have changed over time. I would be happy with a subset where nontrivial changes have taken place: for instance, a series for just Greece and Japan would be of interest. I can of course deduce some of the few unchanging series myself.
Answer
Fitch should be available right here: Sovereign Ratings History
With Moody's it's not so easy, I don't know if there's a complete source available free of charge. But Sovereign Default and Recovery Rates, 1983-2007 has some data in the appendix III, though not so up to date and in a not that convenient format.
Same goes about S&P, Sovereign Ratings History Since 1975.
UPDATE: That link no longer works. Start page for all S&P ratings is here: http://www.standardandpoors.com/ratings/en/ap/ You can see latest ratings only. Clicking a country name requires a (free) login, but still only shows the latest data (though it does then have links to methodology, background articles, etc.)
Maybe someone will be able to come up with more edible formats though.
No comments:
Post a Comment