IDEAS home Printed from https://ideas.repec.org/p/ecr/col093/34380.html
   My bibliography  Save this paper

Emerging market risk and sovereign credit ratings

Author

Listed:
  • Reisen, Helmut
  • Von Maltzan, Julia
  • Larraín, Guillermo

Abstract

In principle, the sovereign credit rating industry could help mitigate the congestion externalities common to world capital markets that arise from the failure of market participants to internalise the social cost of external borrowings. This would require that modifications in ratings on government bonds convey new information to market participants, with changes in credit ratings leading to changes in country risk premia. Using panel data analysis and event studies this paper presents econometric evidence that changes in credit rating have a significant impact on international financial markets. In line with earlier studies, our event study finds a highly significant announcement effect when emerging-market sovereign bonds are put on review with negative outlook. Our findings imply that the sovereign rating industry has the potential to help dampen excessive private capital inflows into the emerging markets with negative rating announcements ... En principe, l’existence d’agences d’évaluation financière (the sovereign credit rating industry) pourrait contribuer à limiter les externalités dues à l’afflux de capitaux étrangers et communes à tous les marchés des capitaux du fait de l’incapacité des acteurs du marché à internaliser le coût social des emprunts extérieurs. Toute nouvelle cotation des obligations d’État devrait transmettre de nouvelles informations aux intervenants sur le marché et les changements dans les évaluations financières devraient se répercuter sur l’évolution du risque pays. Ce document technique repose sur une analyse en données de panel et sur des études de cas ; il ressort de l’analyse économétrique que les changements dans les cotations ont des répercussions importantes sur les marchés financiers internationaux. Notre analyse, qui s’inscrit dans le prolongement des travaux précédents, met en évidence un effet d’annonce très significatif quand les perspectives d’évolution des obligations d’État sur ...
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Reisen, Helmut & Von Maltzan, Julia & Larraín, Guillermo, 1998. "Emerging market risk and sovereign credit ratings," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 34380, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
  • Handle: RePEc:ecr:col093:34380
    as

    Download full text from publisher

    File URL: https://repositorio.cepal.org/handle/11362/34380
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Oates, Wallace E, 1985. "Searching for Leviathan: An Empirical Study," American Economic Review, American Economic Association, vol. 75(4), pages 748-757, September.
    2. Grossman, Gene M & Helpman, Elhanan, 1994. "Protection for Sale," American Economic Review, American Economic Association, vol. 84(4), pages 833-850, September.
    3. Zax, Jeffrey S, 1989. "Is There a Leviathan in Your Neighborhood?," American Economic Review, American Economic Association, vol. 79(3), pages 560-567, June.
    4. Wildasin, David E., 1997. "Externalities and bailouts : hard and soft budget constraints in intergovernmental fiscal relations," Policy Research Working Paper Series 1843, The World Bank.
    5. Philip Grossman, 1989. "Fiscal decentralization and government size: An extension," Public Choice, Springer, vol. 62(1), pages 63-69, July.
    6. von Hagen, Jurgen & Harden, Ian J., 1995. "Budget processes and commitment to fiscal discipline," European Economic Review, Elsevier, vol. 39(3-4), pages 771-779, April.
    7. von Hagen, Jurgen & Eichengreen, Barry, 1996. "Federalism, Fiscal Restraints, and European Monetary Union," American Economic Review, American Economic Association, vol. 86(2), pages 134-138, May.
    8. Forbes, Kevin F & Zampelli, Ernest M, 1989. "Is Leviathan a Mythical Beast?," American Economic Review, American Economic Association, vol. 79(3), pages 568-577, June.
    9. Weingast, Barry R & Shepsle, Kenneth A & Johnsen, Christopher, 1981. "The Political Economy of Benefits and Costs: A Neoclassical Approach to Distributive Politics," Journal of Political Economy, University of Chicago Press, vol. 89(4), pages 642-664, August.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Russo, Massimo, 1998. "Policy coordination in the European Union (from the EMS to EMU)," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 34386, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    2. Toro C., Jorge H. & Fernández Delgado, Eduardo, 1998. "Contratos de concesión y asignación de riesgos: ejemplo para el caso colombiano," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 34379, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    3. Castilla Domingo, Manuel, 1998. "Mejores prácticas y futuro de las aduanas," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 34374, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    4. Tanzi, Vito, 1998. "Principal-agent problems and fiscal policy," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 34369, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    5. Mello, Luiz R. de, 1998. "Intergovernmental fiscal relations: co-ordination failures and fiscal outcomes," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 34389, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    6. Tanzi, Vito, 1998. "Corruption in the public finances," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 34371, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    7. Ter-Minassian, Teresa, 1998. "Selected issues in public debt management," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 34382, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    8. Ernesto Stein, 1999. "Fiscal Decentralization and Government Size in Latin America," Journal of Applied Economics, Universidad del CEMA, vol. 2, pages 357-391, November.
    9. Irwin, Timothy, et al, 1998. "Managing contingent public liabilities in infrastructure privatization," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 34375, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    10. Eduardo Engel & Ronald Fischer & Alexander Galetovic, 1998. "Infraestructure Franchising and Government Guarantees," Documentos de Trabajo 29, Centro de Economía Aplicada, Universidad de Chile.
    11. Johnson, Simon & Kaufmann, Daniel & Zoido-Lobatón, Pablo, 1998. "Corruption, public finances and the unofficial economy," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 34372, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    12. Giambiagi, Fabio, 1998. "Coordinación de políticas macroeconómicas: notas pra la profundización de la integración en los países del MERCOSUR," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 34385, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    13. Blejer, Mario I., 1998. "Macroeconomic policy coordination in a more integrated world," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 34388, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    14. Cosulich Ayala, Jorge, 1998. "Reforma de las administraciones tributarias en los países miembros del CIAT de América Latina y el Caribe: lecciones aprendidas y temas pendientes," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 34373, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    15. Kiguel, Miguel A, 1998. "Debt management: the Argentine case," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 34383, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    16. -, 1998. "X Seminario Regional de Política Fiscal: compendio de documentos," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 34368, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    17. Barbosa, Fabio Oliveira, 1998. "Public debt management after stabilization: the recent Brazilian experience," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 34381, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    18. Uthoff, Andras & Bravo, Jorge Horacio, 1998. "Deuda previsional y privatización de los sistemas de pensiones," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 34377, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    19. Boamah, Daniel O., 1998. "Barbados' public debt and its management," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 34384, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    20. Rains, Luisa & Febres, Jorge, 1998. "La corrupción en el ámbito de la administración tributaria," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 34370, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecr:col093:34380. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: https://edirc.repec.org/data/eclaccl.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Biblioteca CEPAL (email available below). General contact details of provider: https://edirc.repec.org/data/eclaccl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.