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.

Kräussl, R. (2000). Sovereign credit ratings and their impact on recent financial crises.

Sovereign credit ratings and their impact on recent financial crises

2000-12-01

Abstract

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.
dic-2000
Settore SECS-P/01 - ECONOMIA POLITICA
en
Kräussl, R. (2000). Sovereign credit ratings and their impact on recent financial crises.
Kräussl, R
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/147
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