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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. 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.
    2. 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.).
    3. Konrad O. Stahl & Roland Strausz, 2011. "Who Should Pay for Certification?," CESifo Working Paper Series 3365, CESifo Group Munich.
    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.
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    20. 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.
    21. 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.
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