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Do Credit Rating Agencies Add to the Dynamics of Emerging Market Crises? Author info | Abstract | Publisher info | Download info | Related research | Statistics Roman Kraeussl () (Vrije Universiteit Amsterdam)
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The experience in the period during and after the Asian crisis of 1997-98 has provoked an extensive debate about the credit rating agencies’ 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 significantly stronger in the case of government’s downgrades and negative imminent sovereign credit rating actions such as credit watches and rating outlooks than positive adjustments by the credit rating agencies while by the market participants’ anticipated sovereign credit rating changes have a smaller impact on financial markets in emerging economies.
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Paper provided by Center for Financial Studies in its series CFS Working Paper Series with number
2003/18.
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Length: 50 pages
Date of creation: 18 Jan 2003Date of revision:
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Keywords: Sovereign Risk Credit Ratings Financial Crises Other versions of this item:
Find related papers by JEL classification: 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 G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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Roman Kraeussl, 2003.
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2003/22, Center for Financial Studies.
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