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 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.
| Author: | Roman KräusslORCiDGND |
|---|---|
| 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 |
| GND Keyword: | Kreditrisiko; Rating; Währungskrise |
| HeBIS-PPN: | 199285276 |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| JEL-Classification: | C Mathematical and Quantitative Methods / C2 Single Equation Models; Single Variables / C21 Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions (Updated!) |
| C Mathematical and Quantitative Methods / C5 Econometric Modeling / C51 Model Construction and Estimation | |
| Licence (German): |  Deutsches Urheberrecht |
