English, Article, Journal or magazine article edition: Do Credit Rating Agencies Add to the Dynamics of Emerging Market Crises Roman Kraeussl

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Bookmark: http://trove.nla.gov.au/version/77114
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Do Credit Rating Agencies Add to the Dynamics of Emerging Market Crises?
Author
  • Roman Kraeussl
Physical Description
  • preprint
Notes
  • 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 financial 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 signifi¬cantly stronger in the case of government’s downgrades and negative imminent sover¬eign credit rating actions such as credit watches and rating outlooks than positive ad¬justments by the credit rating agencies while by the market participants’ anticipated sovereign credit rating changes have a smaller impact on financial markets in emerg¬ing economies.
  • RePEc:crt:wpaper:0304
  • Sovereign Risk, Credit Ratings, Financial Crises
  • RePEc:cfs:cfswop:wp200318
Language
  • English
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