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Ratings since the Asian Crisis

  • Reisen, Helmut

The increased importance of rating agencies for emerging-market finance has brought their work to the attention of a wider group of observers — and under criticism. This paper evaluates whether the importance of ratings for developing-country finance has changed since the Asian Crisis and whether rating agencies have modified the determinants for their rating decisions. It also provides an analysis on recent suggestions by the Basel Committee on Banking Supervision as these are very important for gauging the future role of sovereign ratings for foreign debt finance in developing countries. While the explanatory power of conventional rating determinants has declined since the Asian crisis, recent rating performance for Argentina and Turkey can still be qualified as lagging the markets, as variables of financial-sector strength and the endogenous effects of capital flows on macroeconomic variables seem to remain underemphasised in rating assessments. The market impact of sovereign ... L’importance accrue des agences de notation pour les marchés financiers des pays émergents a attiré l’attention d’un groupe élargi d’observateurs — et suscité des critiques. Ce document cherche à déterminer si l’influence des notations pour les capitaux des pays en développement a évolué depuis la crise asiatique et si les agences ont ou non modifié leurs critères de notation. Ce texte propose aussi une analyse des dernières propositions du Comité de Bâle sur le contrôle bancaire, déterminantes pour apprécier le rôle futur des notations du risque pays dans le financement des pays en développement par la dette extérieure. Alors que les critères classiques de notation ont perdu de leur pouvoir explicatif depuis la crise asiatique, les dernières notations de l’Argentine et de la Turquie semblent encore suivre l’évolution des marchés, dans la mesure où les variables du dynamisme du secteur financier et les effets endogènes des flux de capitaux sur les variables macro-économiques ...

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File URL: http://www.wider.unu.edu/stc/repec/pdfs/rp2002/dp2002-02.pdf
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Paper provided by World Institute for Development Economic Research (UNU-WIDER) in its series Working Paper Series with number UNU-WIDER Research Paper DP2002/02.

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Length: 20 pages
Date of creation: 2002
Date of revision:
Handle: RePEc:unu:wpaper:dp2002-02
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  1. Jonathan Eaton & Mark Gersovitz & Joseph E. Stiglitz, 1986. "The Pure Theory of Country Risk," NBER Working Papers 1894, National Bureau of Economic Research, Inc.
  2. Helmut Reisen & Julia von Maltzan, 1999. "Boom and Bust and Sovereign Ratings," OECD Development Centre Working Papers 148, OECD Publishing.
  3. 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.
  4. Graciela Kaminsky & Sergio L. Schmukler, 2002. "Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?," World Bank Economic Review, World Bank Group, vol. 16(2), pages 171-195, August.
  5. Mora, Nada, 2006. "Sovereign credit ratings: Guilty beyond reasonable doubt?," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2041-2062, July.
  6. Helmut Reisen, 1999. "After the Great Asian Slump: Towards a Coherent Approach to Global Capital Flows," OECD Development Centre Policy Briefs 16, OECD Publishing.
  7. Blum, Jurg & Hellwig, Martin, 1995. "The macroeconomic implications of capital adequacy requirements for banks," European Economic Review, Elsevier, vol. 39(3-4), pages 739-749, April.
  8. Guillermo Larraín & Helmut Reisen & Julia von Maltzan, 1997. "Emerging Market Risk and Sovereign Credit Ratings," OECD Development Centre Working Papers 124, OECD Publishing.
  9. Helmut Reisen, 1998. "Domestic Causes of Currency Crises: Policy Lessons for Crisis Avoidance," OECD Development Centre Working Papers 136, OECD Publishing.
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