Chuỗi hội thảo nghiên cứu trong lĩnh vực Ngân hàng – Tài chính – Kinh tế (SOBSR#17)


Date/ Time






Nov. 25, 2016

  10h00 –11h30


Research paper

The Ratings Agencies and Herding During the Global Financial Crisis

Prof. Roman Matousek, Kent Business School

Room A205,

59C Nguyen Dinh Chieu,Dist. 3, HCMC



Research Paper:

The Ratings Agencies and Herding During the Global Financial Crisis


 Author(s):        Professor Roman Matousek1,

Kent Business School, University of Kent, United Kingdom

Presenter: Professor Roman Matousek   

Language: English   



We assess the presence of herding by considering the lead-lag relationship of sovereign ratings assigned by the three main rating agencies at the individual country level. Given that different rating agencies may have different levels of expertise (reputation) for different countries it is not obvious that such homogeneity holds. We, therefore, conduct probability tests within this context to assess this assumption and find evidence of heterogeneity. This leads us to conduct country-by-country time-series tests, allowing all slope coefficients to vary across countries, to assess the lead-lag relationship among agencies. To our knowledge, we are the first to do this and thereby extend the literature on herding among rating agencies’ sovereign assignments. We also consider changes in the lead-lag relationship through time by splitting the sample into pre-crisis and crisis periods to assess the extent to which any herding is intentional and our results indicate some degree of heterogeneity through time. To the extent that there is herding we find that it is generally towards Standard and Poor’s ratings confirming our expectations given that this agency is regarded as possessing the greatest reputational capital. However, our results do not support the expectation that Fitch is a follower for more (a leader for less) countries than Moody’s.





Prof. Roman Matousek is a Professor in Banking and Finance at the University of Kent, Kent Business School. Roman also served as Director of the Research Centre for EMEA Banking, Finance, and Economics. Before he joined academia, he worked for public and private financial institutions that include the Czech National Bank, where he held different senior positions – Head of Research and Senior Adviser to Deputy Governor and Chief Executive Director. He also worked as Senior Economist in Citicorp, New York, USA. In CreditAnstalt in Vienna, Austria, he was responsible for Sovereign Risk analyses. Roman’s research has been predominantly focused on theoretical and empirical issues in bank efficiency, microeconomics of banking, financial crises, monetary policy and international finance. Roman serves as an Associate Editor of highly rated academic journals – Journal of International Financial Markets, Institutions, and Money; Journal of Banking and Finance and Managing Editor of International Journal of Monetary Economics and Finance.