Do credit rating agencies add to the dynamics of emerging market crises?
AbstractThe experience in the period during and after the Asian crisis of 1997-98 has provoked an extensive debate about the credit rating agenciesâ evaluation of sovereign risk in emerging markets lending. This study analyzes the role of credit rating agencies in international financial markets, particularly whether sovereign credit ratings have an impact on the financial stability in emerging market economies. The event study and panel regression results indicate that credit rating agencies have substantial influence on the size and volatility of emerging markets lending. The empirical results are signifiÂ¬cantly stronger in the case of governmentâs downgrades and negative imminent soverÂ¬eign credit rating actions such as credit watches and rating outlooks than positive adÂ¬justments by the credit rating agencies while by the market participantsâ anticipated sovereign credit rating changes have a smaller impact on financial markets in emergÂ¬ing economies.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Financial Stability.
Volume (Year): 1 (2005)
Issue (Month): 3 (April)
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Web page: http://www.elsevier.com/locate/jfstabil
Other versions of this item:
- Roman Kraeussl, . "Do Credit Rating Agencies Add to the Dynamics of Emerging Market Crises," Working Papers 0304, University of Crete, Department of Economics.
- Kraeussl, Roman, 2003. "Do Credit Rating Agencies Add to the Dynamics of Emerging Market Crises?," CFS Working Paper Series 2003/18, Center for Financial Studies (CFS).
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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