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Statistical properties of country credit ratings

  • Cruces, Juan J.
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    File URL: http://www.sciencedirect.com/science/article/B6W69-4J2W0K1-1/2/7979f75b2dd3d27bca89f6661f4c4d54
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    Article provided by Elsevier in its journal Emerging Markets Review.

    Volume (Year): 7 (2006)
    Issue (Month): 1 (March)
    Pages: 27-51

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    Handle: RePEc:eee:ememar:v:7:y:2006:i:1:p:27-51
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620356

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    1. Lee, Suk Hun, 1993. "Are the credit ratings assigned by bankers based on the willingness of LDC borrowers to repay?," Journal of Development Economics, Elsevier, vol. 40(2), pages 349-359, April.
    2. Reinhart, Carmen & Calvo, Guillermo & Leiderman, Leonardo, 1993. "“Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors," MPRA Paper 7125, University Library of Munich, Germany.
    3. International Monetary Fund, 1996. "The Economic Content of Indicators of Developing Country Creditworthiness," IMF Working Papers 96/9, International Monetary Fund.
    4. Feder, Gershon & Uy, Lily V., 1985. "The determinants of international creditworthiness and their policy implications," Journal of Policy Modeling, Elsevier, vol. 7(1), pages 133-156.
    5. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
    6. Merrick Jr., John J., 2001. "Crisis dynamics of implied default recovery ratios: Evidence from Russia and Argentina," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1921-1939, October.
    7. Richard Cantor & Frank Packer, 1996. "Determinants and impacts of sovereign credit ratings," Research Paper 9608, Federal Reserve Bank of New York.
    8. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-70, May.
    9. Feder, Gershon & Ross, Knud Z, 1982. " Risk Assessments and Risk Premiums in the Eurodollar Market," Journal of Finance, American Finance Association, vol. 37(3), pages 679-91, June.
    10. 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.).
    11. Geert Bekaert & Campbell R. Harvey & Robin L. Lumsdaine, 1999. "The Dynamics of Emerging Market Equity Flows," NBER Working Papers 7219, National Bureau of Economic Research, Inc.
    12. Suhejla Hoti & Michael McAleer, 2004. "An Empirical Assessment of Country Risk Ratings and Associated Models," Journal of Economic Surveys, Wiley Blackwell, vol. 18(4), pages 539-588, 09.
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