Sovereign Ratings and Their Impact on Recent Financial Crises

Roman Kraeussl
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Roman Kraeussl: Center for Financial Studies, Frankfurt am Main, Germany
Authors registered in the RePEc Author Service: Roman Kräussl

No 2, Working Papers from University of Crete, Department of Economics

Abstract: 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.

Keywords: Sovereign Ratings; Boom-Bust-Cycles; Financial Crises; VAR System (search for similar items in EconPapers)
JEL-codes: E44 E47 G15 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2000-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Journal Article: Sovereign ratings and their impact on recent financial crises (2001)
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