Sovereign Credit Ratings and Their Impact on Recent Financial Crises
AbstractThis paper discusses the role of the credit rating agencies during the recent financial crises. In particular, it examines whether the agencies can add to the dynamics of emerging market crises. Academics and investors often argue that sovereign credit ratings are responsible for pronounced boom-bust cycles in emerging markets lending. Using a vector autoregressive system this paper examines how US dollar bond yield spreads and the short-term international liquidity position react to an unexpected sovereign credit rating change. Contrary to common belief and previous studies, the empirical results suggest that an abrupt downgrade does not necessarily intensify a financial crisis.
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Bibliographic InfoPaper provided by EconWPA in its series International Finance with number 0311013.
Length: 24 pages
Date of creation: 25 Nov 2003
Date of revision:
Note: Type of Document - ; pages: 24
Contact details of provider:
Web page: http://220.127.116.11
Sovereign Risk; Boom-Bust-Cycles; Financial Crises; VAR System;
Other versions of this item:
- Kräussl, Roman, 2000. "Sovereign credit ratings and their impact on recent financial crises," CFS Working Paper Series 2000/04, Center for Financial Studies (CFS).
- Roman Kraeussl, 2003. "Sovereign Credit Ratings and Their Impact on Recent Financial Crises," Working Papers 0313, University of Crete, Department of Economics.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-11-30 (All new papers)
- NEP-FIN-2003-11-30 (Finance)
- NEP-IFN-2003-11-30 (International Finance)
- NEP-RMG-2003-11-30 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Graciela L. Kaminsky & Sergio L. Schmukler, 1999.
"What triggers market jitters: a chronicle of the Asian crisis,"
International Finance Discussion Papers
634, Board of Governors of the Federal Reserve System (U.S.).
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- Kaminsky, Graciela L. & Schmukler, Sergio L., 1999. "What triggers market jitters? A chronicle of the Asian crisis," Policy Research Working Paper Series 2094, The World Bank.
- Reisen, Helmut & von Maltzan, Julia, 1999.
"Boom and Bust and Sovereign Ratings,"
Wiley Blackwell, vol. 2(2), pages 273-93, July.
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- Galina Hale, 2005.
"Courage to Capital? A Model of the Effects of Rating Agencies on Sovereign Debt Roll–over,"
The Institute for International Integration Studies Discussion Paper Series
- Mark A. Carlson & Galina B. Hale, 2005. "Courage to Capital? A Model of the Effects of Rating Agencies on Sovereign Debt Role-over," Cowles Foundation Discussion Papers 1506, Cowles Foundation for Research in Economics, Yale University.
- Koopman, Siem Jan & Kräussl, Roman & Lucas, André, 2006.
"Credit cycles and macro fundamentals,"
CFS Working Paper Series
2006/33, Center for Financial Studies (CFS).
- repec:cfs:cfswop:wp200633 is not listed on IDEAS
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