Transmissão do risco soberano para a classificação de risco de crédito corporativo: a influência da heterogeneidade das firmas

Abstract

This study investigates how firm-level heterogeneity among publicly traded Brazilian companies influences the transmission of sovereign risk to corporate credit ratings. Using a panel dataset covering the 2014–2023 period, the analysis begins with the construction of transition probability matrices across rating categories. These matrices are used to generate time series that capture the aggregate probability of firms being assigned to each credit risk level, revealing a higher likelihood of remaining in lower categories during periods of elevated sovereign risk. Subsequently, ordered probit panel models are estimated to assess how firm-specific characteristics shape the likelihood of rating upgrades or downgrades under different levels of sovereign risk. The findings, supported by a range of robustness checks, indicate that firms with greater liquidity face a lower probability of downgrades when sovereign risk increases. Furthermore, liquidity emerges as an even more critical factor in shielding firms from deterioration in creditworthiness in the post-COVID-19 period.