78455

Dante Domingo Terreno
María Eugenia Donadille

Revista Contabilidade & Finanças

O objetivo deste estudo foi analisar como a crise da COVID-19 afetou os determinantes e a previsibilidade do rating de crédito doméstico emitida pela Fitch Ratings na Argentina. Além disso, pretende-se avaliar os efeitos das agências de classificação de risco de crédito usando o método through-the-cycle (ao longo do ciclo). Dada a natureza subjetiva da categorização dos ratings de crédito, os pesquisadores desenvolveram modelos para explicar e prever esses ratings. Essa subjetividade é significativa durante eventos econômicos. Portanto, é importante investigar se os fatores que determinam e preveem os ratings de crédito permaneceram consistentes antes e durante a crise da COVID-19. Este artigo contribui significativamente para a compreensão de como a aplicação do método through-the-cycle afeta os determinantes e a previsibilidade dos ratings de crédito em crises econômicas. A aplicação do método through-the-cycle pelas agências de classificação de risco de crédito como um critério durante a crise da COVID-19 resultou em uma quebra da correlação usual entre os determinantes e os ratings de crédito. Entender se as variáveis são componentes permanentes ou transitórios é fundamental para que os investidores e tomadores de empréstimos antecipem as mudanças nos ratings de crédito durante as recessões econômicas. As variáveis dependentes são as categorias de rating de crédito doméstico de longo prazo. As variáveis independentes são derivadas da metodologia de rating de crédito da Fitch Ratings e da literatura, que inclui variáveis quantitativas e qualitativas. Os métodos estatísticos utilizados são a regressão logística ordinal, a regressão logística ordinal generalizada e as máquinas de vetores de suporte. A crise da COVID-19 foi considerada um evento transitório devido à aplicação da abordagem through-the-cycle pelas agências de classificação de risco de crédito. Durante a pandemia, os determinantes específicos dos ratings de crédito não são considerados devido à sua natureza transitória. O estudo identifica o índice de cobertura de juros e a posição competitiva como componentes transitórios. Essa abordagem levou a uma menor previsibilidade, mas a um rating de crédito mais estável.

abordagem through-the-cycle, COVID-19, informações financeiras, rating de crédito

TERRENO, D. D.; DONADILLE, M. E. Impacto do surto de COVID-19 nos ratings de crédito: aplicação da abordagem through-the-cycle. Revista Contabilidade & Finanças, v. 35, n. 95, p. 0-0, 2024.

Terreno, D. D., & Donadille, M. E. (2024). Impacto do surto de COVID-19 nos ratings de crédito: aplicação da abordagem through-the-cycle. Revista Contabilidade & Finanças, 35(95), 0-0.

https://www.spell.org.br/documentos/ver/78455/impacto-do-surto-de-covid-19-nos-ratings-de-credito--aplicacao-da-abordagem-through-the-cycle/i/pt-br

Artigo

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