English, Article, Journal or magazine article edition: Sovereign Ratings and Their Impact on Recent Financial Crises Roman Kraeussl

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Bookmark: http://trove.nla.gov.au/version/76835
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Sovereign Ratings and Their Impact on Recent Financial Crises
Author
  • Roman Kraeussl
Physical Description
  • preprint
Notes
  • This paper discusses the role of 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 ratings are responsible for pronounced boom-bust cycles in emerging-markets lending. Using a VAR system this paper examines how US dollar bond yield spreads and international liquidity react to an unexpected sovereign rating change. Contrary to common belief and previous studies, the empirical results suggest that an abrupt downgrade does not necessarily intensify financial crises.
  • Sovereign Ratings, Boom-Bust-Cycles, Financial Crises, VAR System
  • RePEc:crt:wpaper:0002
Language
  • English
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