Do Credit Rating Agencies Add to the Dynamics of Emerging Market Crises

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

No 304, Working Papers from University of Crete, Department of Economics

Abstract: 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.

Keywords: Sovereign Risk; Credit Ratings; Financial Crises (search for similar items in EconPapers)
JEL-codes: E44 E47 G15 (search for similar items in EconPapers)
Pages: 48 pages
New Economics Papers: this item is included in nep-mac and nep-sea
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://economics.soc.uoc.gr/wpa/docs/cfs_rating_1.doc First version (application/msword)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to economics.soc.uoc.gr:443 (Bad file descriptor) (http://economics.soc.uoc.gr/wpa/docs/cfs_rating_1.doc [302 Found]--> https://economics.soc.uoc.gr/wpa/docs/cfs_rating_1.doc)

Related works:
Journal Article: Do credit rating agencies add to the dynamics of emerging market crises? (2005)
Working Paper: Do Credit Rating Agencies Add to the Dynamics of Emerging Market Crises? (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:crt:wpaper:0304

Access Statistics for this paper

More papers in Working Papers from University of Crete, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Kostis Pigounakis ().