The Impact of Sovereign Ceilings on Corporate Credit Ratings in Russian Federation

In emerging market economies, a government debt may influence a national economy through a vast array of mechanisms, the effect of which could be unobvious, but significant. One of the least studied channels is the impact of the sovereign “ceiling” rule on a company’s credit rating, which characterizes its creditworthiness. The study aims to assess how the sovereign “ceiling” policy affects on a corporate sector of an economy. In this research work, a comprehensive statistical analysis of the problem in Russia has been carried out for the first time. The study is based on 19 non-financial companies that operate in the leading Russian industry – metallurgical, oil and gas, chemical and energy – for a five-year period, from 2014 to 2018. The analysis has been conducted using the following econometric models: FE – model, a system of simultaneous equations in a general form, Hausman – Taylor model, dynamic model based on panel data, VAR – model.