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
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Web page: http://22.214.171.124
Sovereign Risk; Boom-Bust-Cycles; Financial Crises; VAR System;
Other versions of this item:
- Roman Kraeussl, 2003. "Sovereign Credit Ratings and Their Impact on Recent Financial Crises," Working Papers 0313, University of Crete, Department of Economics.
- Kräussl, Roman, 2000. "Sovereign credit ratings and their impact on recent financial crises," CFS Working Paper Series 2000/04, 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
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.:
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