"Do credit rating agencies add to the dynamics of emerging market crises?"
- The experience in the period during and after the Asian crisis of 1997-98 has provoked an extensive debate about the credit rating agencies' evaluation of sovereign risk in emerging markets lending. This study analyzes the role of credit rating agencies in international finan-cial markets, particularly whether sovereign credit ratings have an impact on the financial stability in emerging market economies. The event study and panel regression results indicate that credit rating agencies have substantial influence on the size and volatility of emerging markets lending. The empirical results are significantly stronger in the case of government's downgrades and negative imminent sovereign credit rating actions such as credit watches and rating outlooks than positive adjustments by the credit rating agencies while by the market participants' anticipated sovereign credit rating changes have a smaller impact on financial markets in emerging economies.
Author: | Roman KräusslORCiDGND |
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URN: | urn:nbn:de:hebis:30-10230 |
Parent Title (German): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2003,18 |
Series (Serial Number): | CFS working paper series (2003, 18) |
Document Type: | Working Paper |
Language: | English |
Year of Completion: | 2003 |
Year of first Publication: | 2003 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2005/06/13 |
Tag: | Credit Ratings; Financial Crises; Sovereign Risk |
GND Keyword: | Rating; Wirtschaftskrise; Schwellenländer; Kreditmarkt; Ratingagentur |
Issue: | This version August 2003 |
HeBIS-PPN: | 211240389 |
Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Licence (German): | Deutsches Urheberrecht |