IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Boom and Bust and Sovereign Ratings

Listed author(s):
  • Helmut Reisen
  • Julia von Maltzan

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 ...

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: no

Paper provided by OECD Publishing in its series OECD Development Centre Working Papers with number 148.

in new window

Date of creation: 01 Mar 1999
Handle: RePEc:oec:devaaa:148-en
Contact details of provider: Postal:
2 rue Andre Pascal, 75775 Paris Cedex 16

Phone: 33-(0)-1-45 24 82 00
Fax: 33-(0)-1-45 24 85 00
Web page:

More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

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: ()

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 references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.

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

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.