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Sovereign credit ratings

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  • Eliasson, Ann-Charlotte
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    Abstract

    This paper describes sovereign credit ratings in emerging markets both for a specific year and over time, using quantitative explanatory variables. It turns out that rating adjustments have been worse than what economic fundamentals justify for some countries and also more frequently altered, questioning the long-term properties of sovereign ratings. The results support the view that rating changes during the Asian crisis have been procyclical rather than counter-cyclical. Omitted variables, such as soundness of banking sector, social and political factors, can be one reason for this misalignment but cannot explain all. --

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    Bibliographic Info

    Paper provided by Deutsche Bank Research in its series Research Notes with number 02-1.

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    Date of creation: 2002
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    Handle: RePEc:zbw:dbrrns:021

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    Related research

    Keywords: Dynamic model; panel data; sovereign credit ratings; emerging markets;

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    Cited by:
    1. Afonso, António & Gomes, Pedro & Rother, Philipp, 2007. "What “hides” behind sovereign debt ratings?," Working Paper Series 0711, European Central Bank.

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