Table 13 (Cont.) - Ordered Probit (robust standard errors)
|
__________Moody’s__________ |
__________S&P_________ |
________________Fitch_______________ | ||||
|
(1) |
(2) |
(3) |
(4) |
(5) |
(6) | |
|
Constant |
3.97 |
3.63 |
5.08 |
2.93 |
4.12 |
6.76 |
|
Cut1 |
1.00 |
1.00 |
1.00 |
1.00 |
1.00 |
1.00 |
|
Cut2 |
1.79 |
1.77 |
1.73 |
1.74 |
2.14 |
2.12 |
|
Cut3 |
2.66 |
2.63 |
2.65 |
2.69 |
2.87 |
2.85 |
|
Cut4 |
3.49 |
3.43 |
3.21 |
3.28 |
3.72 |
3.68 |
|
Cut5 |
3.99 |
3.89 |
3.92 |
4.00 |
4.27 |
4.23 |
|
Cut6 |
4.60 |
4.49 |
4.91 |
4.98 |
5.22 |
5.17 |
|
Cut7 |
5.47 |
5.39 |
5.72 |
5.78 |
6.30 |
6.17 |
|
Cut8 |
6.78 |
6.63 |
6.90 |
6.99 |
7.51 |
7.30 |
|
Cut9 |
7.50 |
7.35 |
7.80 |
7.89 |
8.32 |
8.06 |
|
Cut10 |
8.27 |
8.08 |
8.33 |
8.42 |
9.00 |
8.76 |
|
Cut11 |
9.04 |
8.81 |
9.61 |
9.69 |
10.50 |
10.30 |
|
Cut12 |
9.61 |
9.36 |
10.60 |
10.58 |
11.39 |
11.15 |
|
Cut13 |
10.18 |
9.90 |
11.18 |
11.07 |
11.45 |
11.19 |
|
Cut14 |
10.72 |
10.39 |
11.46 |
11.32 |
12.26 |
11.93 |
|
Cut15 |
11.50 |
11.12 |
12.22 |
11.99 |
13.24 |
12.89 |
|
Cut16______________ |
_______12.07 |
11.68 |
13.32 |
13.02 |
13.82 |
13.46 |
|
LogPseudoLik |
-704.56 |
-727.14 |
-743.14 |
-755.25 |
-602.85 |
-614.66 |
|
Pseudo R2 |
0.500 |
0.490 |
0.495 |
0.488 |
0.504 |
0.495 |
|
Countries |
66 |
66 |
65 |
65 |
58 |
58 |
|
Observations________ |
________551 |
557 |
564 |
565 |
480 |
481 |
|
Equal differences$ Jump& |
12.97 (0.529) |
13.21 (0.510) |
32.22 (0.004) 14.31 (0.352) |
38.33 (0.001) 15.32 (0.288) |
139.81 (0.000) |
182.87 (0.000) |
Notes: The t statistics are in parentheses. *, **, *** - statistically significant at the 10, 5, and 1 per cent $The null is that the differences
between categories is equal for all categories. The test statistic is to be compared to a Qui-Square with 14 degrees of freedom. & The null is
that the differences between categories is equal for all categories except for the identified jump. The test statistic is to be compared to a Qui-
Square with 13 degrees of freedom. The p-value is in brackets.
The correspondence between the ratings, R, and the cut-off points is specified below:
|
' BBB + |
if |
c10 >Rit >c9 | ||
|
BBB |
if |
c >R*>c | ||
|
' AAA if Rit * > c16 |
9it 8 * | |||
|
AA + if C16 > Rtt * > C15 |
BBB- |
if |
c8>Rit >c7 | |
|
AA if C15 > Rtt * > C14 |
BB + |
if |
c7>Rit >c6 | |
|
R., = ■ |
AA - if C14 > Rt, * > C13 p Rif = ^ |
BB |
if |
c6> Rit* >c5 |
|
it |
A + if C13 > R, > C12 it |
BB - |
if |
c5> Rit* >c4 |
|
A if C12 > Rtt * > C11 |
B+ |
if |
c4> Rit* >c2 | |
|
A - if C11 > Rit * > C10 |
B |
if |
c3> Rit* >c2 | |
|
I |
B - |
if |
c2>Rit * >c1 | |
|
< CCC + |
.if |
c1 >Rit * | ||
46