Sovereign credit ratings
This paper describes sovereign credit ratings in emerging markets both for a specific year and over time, using quantitative explanatory variables. It turns out that rating adjustments have been worse than what economic fundamentals justify for some countries and also more frequently altered, questioning the long-term properties of sovereign ratings. The results support the view that rating changes during the Asian crisis have been procyclical rather than counter-cyclical. Omitted variables, such as soundness of banking sector, social and political factors, can be one reason for this misalignment but cannot explain all.
|Date of creation:||2002|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +49 69 910-31831
Fax: +49 69 910 31877
Web page: http://www.dbresearch.de/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:zbw:dbrrns:021. 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: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.