Sovereign credit ratings and their impact on recent financial crises

This paper discusses the role of the credit rating agencies during the recent financial crises. In particular, it examines whether the agencies can add to the dynamics of emerging market crises. Academics and investors o
This paper discusses the role of the credit rating agencies during the recent financial crises. In particular, it examines whether the agencies can add to the dynamics of emerging market crises. Academics and investors often argue that sovereign credit ratings are responsible for pronounced boom-bust cycles in emerging-markets lending. Using a vector autoregressive system this paper examines how US dollar bond yield spreads and the short-term international liquidity position react to an unexpected sovereign credit rating change. Contrary to common belief and previous studies, the empirical results suggest that an abrupt downgrade does not necessarily intensify a financial crisis.
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Metadaten
Author:Roman Kräussl
URN:urn:nbn:de:hebis:30-9698
Parent Title (German):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2000,04
Series (Serial Number):CFS working paper series (2000, 04)
Document Type:Working Paper
Language:English
Year of Completion:2000
Year of first Publication:2000
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2005/06/13
Tag:Density Forecasting; Predictive Likelihood; Risk Management; Value at Risk
SWD-Keyword:Kreditrisiko; Rating; Währungskrise
HeBIS PPN:199285276
Institutes:Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
JEL-Classification:C21 Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions (Updated!)
C51 Model Construction and Estimation
G10 General
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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