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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Date of creation: 2000
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Risk Management; Value at Risk; Density Forecasting; Predictive Likelihood;
Other versions of this item:
- Roman Kraeussl, 2003. "Sovereign Credit Ratings and Their Impact on Recent Financial Crises," International Finance 0311013, EconWPA.
- Roman Kraeussl, 2003. "Sovereign Credit Ratings and Their Impact on Recent Financial Crises," Working Papers 0313, University of Crete, Department of Economics.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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