TY  - UNPD
A1  - Kräussl, Roman
T1  - Sovereign credit ratings and their impact on recent financial crises
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2000,04
N2  - 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.
T3  - CFS working paper series - 2000, 04 
KW  - Risk Management
KW  - Value at Risk
KW  - Density Forecasting
KW  - Predictive Likelihood
KW  - Kreditrisiko
KW  - Rating
KW  - Währungskrise
Y1  - 2000
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4524
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-9698
ER  -