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Rating Agencies: Originator, Accelerant or Simply Dragged Into the Sovereign Debt Crisis?

Listed author(s):
  • Thomas Url

    (WIFO)

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    Rating agencies transform data on the political, economic and financial situation of a country into a simple signal for investors. In doing so, they facilitate primarily cross-border investment. Some empirical studies have pinpointed ratings as a cause for the widening interest gap compared to a country that offers safe investment opportunities. Other empirical studies, on the other hand, found a non-linear link between fundamental data on the fiscal position of a country and its interest rate gap vis-à-vis a country with safe investment opportunities.

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    Article provided by WIFO in its journal WIFO-Monatsberichte.

    Volume (Year): 84 (2011)
    Issue (Month): 12 (December)
    Pages: 811-825

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    Handle: RePEc:wfo:monber:y:2011:i:12:p:811-825
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    1. Andrew Powell & Juan Francisco Martínez, 2008. "On Emerging Economy Sovereign Spreads and Ratings," IDB Publications (Working Papers) 6735, Inter-American Development Bank.
    2. Konrad O. Stahl & Roland Strausz, 2011. "Who Should Pay for Certification?," CESifo Working Paper Series 3365, CESifo Group Munich.
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    4. Perry, Guillermo & Serven, Luis, 2003. "The anatomy of a multiple crisis : why was Argentina special and what can we learn from it?," Policy Research Working Paper Series 3081, The World Bank.
    5. James M. Poterba & Kim S. Rueben, 1997. "State Fiscal Institutions and the U.S. Municipal Bond Market," NBER Working Papers 6237, National Bureau of Economic Research, Inc.
    6. Lorenzo Codogno & Carlo Favero & Alessandro Missale, 2003. "Yield spreads on EMU government bonds," Economic Policy, CEPR;CES;MSH, vol. 18(37), pages 503-532, October.
    7. repec:kap:iaecre:v:17:y:2011:i:3:p:288-299 is not listed on IDEAS
    8. James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc.
    9. Kaminsky, Graciela & Schmukler, Sergio, 2001. "Emerging markets instability: do sovereign ratings affect country risk and stock returns?," Policy Research Working Paper Series 2678, The World Bank.
    10. Ferri, Giovanni & Liu, Li-Gang & Majnoni, Giovanni, 2001. "The role of rating agency assessments in less developed countries: Impact of the proposed Basel guidelines," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 115-148, January.
    11. Carmen M. Reinhart & Kenneth S. Rogoff, 2011. "A Decade of Debt," NBER Working Papers 16827, National Bureau of Economic Research, Inc.
    12. Barry Eichengreen & Ashoka Mody, 1998. "What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment?," NBER Working Papers 6408, National Bureau of Economic Research, Inc.
    13. Simone Manganelli & Guido Wolswijk, 2009. "What drives spreads in the euro area government bond market?," Economic Policy, CEPR;CES;MSH, vol. 24, pages 191-240, 04.
    14. Richard Cantor & Frank Packer, 1996. "Determinants and impact of sovereign credit ratings," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 37-53.
    15. Reisen, Helmut & von Maltzan, Julia, 1998. "Sovereign credit ratings, emerging market risk and financial market volatility," HWWA Discussion Papers 55, Hamburg Institute of International Economics (HWWA).
    16. Hallerberg, Mark & Wolff, Guntram B., 2006. "Fiscal institutions, fiscal policy and sovereign risk premia," Discussion Paper Series 1: Economic Studies 2006,35, Deutsche Bundesbank, Research Centre.
    17. Riccardo Faini, 2006. "Fiscal policy and interest rates in Europe," Economic Policy, CEPR;CES;MSH, vol. 21(47), pages 443-489, 07.
    18. Manfred Gärtner & Björn Griesbach & Florian Jung, 2011. "PIGS or Lambs? The European Sovereign Debt Crisis and the Role of Rating Agencies," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 17(3), pages 288-299, August.
    19. Thomas Laubach, 2003. "New evidence on the interest rate effects of budget deficits and debt," Finance and Economics Discussion Series 2003-12, Board of Governors of the Federal Reserve System (U.S.).
    20. Gärtner, Manfred & Griesbach, Bjoern & Jung, Florian, 2011. "PIGS or Lambs? The European Sovereign Debt Crisis and the Role of Rating Agencies," Economics Working Paper Series 1106, University of St. Gallen, School of Economics and Political Science.
    21. Helmut Reisen & Julia Maltzan, 1998. "Sovereign credit ratings, emerging market risk and financial market volatility," Intereconomics: Review of European Economic Policy, Springer;German National Library of Economics;Centre for European Policy Studies (CEPS), vol. 33(2), pages 73-82, March.
    22. G. Ferri & L.-G. Liu & J. E. Stiglitz, 1999. "The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 28(3), pages 335-355, November.
    23. Calvo, Guillermo A, 1988. "Servicing the Public Debt: The Role of Expectations," American Economic Review, American Economic Association, vol. 78(4), pages 647-661, September.
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