IDEAS home Printed from https://ideas.repec.org/p/oec/devaaa/148-en.html
   My bibliography  Save this paper

Boom and Bust and Sovereign Ratings

Author

Listed:
  • Helmut Reisen
  • Julia von Maltzan

Abstract

The 1990s have witnessed pronounced boom-bust cycles in emerging-markets lending, culminating in the Asian financial and currency crisis of 1997-98. By examining the links between sovereign credit ratings and dollar bond yield spreads over 1989-97, this paper aims at broad empirical content for judging whether the three leading rating agencies — Moody’s, Standard ' Poor’s and Fitch IBCA — can intensify or attenuate boom-bust cycles in emerging-market lending. First, an event study exploring the market response for 30 trading days before and after rating announcements finds a significant impact of imminent upgrades and implemented downgrades for a combination of ratings by the three leading agencies, despite strong anticipation of rating events. Second, a Granger causality test, by correcting for joint determinants of ratings and yield spreads, finds that changes in sovereign ratings are mutually interdependent with changes in bond yields. These findings are based on many more ... Les années 90 ont été marquées par une succession de cycles d’expansion-contraction de grande ampleur dans les opérations de prêts destinés aux marchés émergents. Cette volatilité a culminé avec la crise monétaire et financière qui a atteint l’Asie en 1997-98. La relation entre les notations de crédit souverain et les écarts de rendement des obligations en dollar sur la période 1989-97 est examinée dans ce document. Sur la base de ces données empiriques, les auteurs visent à évaluer si les trois principales agences de notation — Moody’s, Standard ' Poor’s et Fitch IBCA — amplifient ou atténuent les cycles d’expansion-contraction des opérations de prêt sur les marchés émergents. En premier lieu, la réponse du marché avant et après la diffusion des notations est étudiée sur 30 jours ouvrables. Il en ressort que, en dépit d’une anticipation élevée des annonces, l’impact des hausses pressenties et des notations à la baisse est important, pour une combinaison des cotes des trois agences ...

Suggested Citation

  • Helmut Reisen & Julia von Maltzan, 1999. "Boom and Bust and Sovereign Ratings," OECD Development Centre Working Papers 148, OECD Publishing.
  • Handle: RePEc:oec:devaaa:148-en
    DOI: 10.1787/251521656447
    as

    Download full text from publisher

    File URL: https://doi.org/10.1787/251521656447
    Download Restriction: no

    File URL: https://libkey.io/10.1787/251521656447?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    More about this item

    Keywords

    credit rating; currency crisis; emerging markets; sovereign risk;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • G2 - Financial Economics - - Financial Institutions and Services

    Statistics

    Access and download statistics

    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:oec:devaaa:148-en. 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/dcoecfr.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.

    We have no bibliographic references for this item. You can help adding them by using 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: (email available below). General contact details of provider: https://edirc.repec.org/data/dcoecfr.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.