TY  - UNPD
A1  - Kräussl, Roman
T1  - Do changes in sovereign credit ratings contribute to financial contagion in emerging market crises?
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2003,22
N2  - Credit rating changes for long-term foreign currency debt may act as a wake-up call with upgrades and downgrades in one country affecting other financial markets within and across national borders. Such a potential (contagious) rating effect is likely to be stronger in emerging market economies, where institutional investors' problems of asymmetric information are more present. This empirical study complements earlier research by explicitly examining cross-security and cross-country contagious rating effects of credit rating agencies' sovereign risk assessments. In particular, the specific impact of sovereign rating changes during the financial turmoil in emerging markets in the latter half of the 1990s has been examined. The results indicate that sovereign rating changes in a ground-zero country have a (statistically) significant impact on the financial markets of other emerging market economies although the spillover effects tend to be regional.
T3  - CFS working paper series - 2003, 22 
KW  - Sovereign Risk
KW  - Credit Ratings
KW  - Financial Contagion
Y1  - 2003
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4457
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-10271
IS  - This version August 2003
ER  -