Sovereign credit ratings and their impact on recent financial crises

Roman Kräussl

No 2000/04, CFS Working Paper Series from Center for Financial Studies (CFS)

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.

Keywords: Risk Management; Value at Risk; Density Forecasting; Predictive Likelihood (search for similar items in EconPapers)
JEL-codes: C22 C51 G10 (search for similar items in EconPapers)
Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/78065/1/755318943.pdf (application/pdf)

Related works:
Working Paper: Sovereign Credit Ratings and Their Impact on Recent Financial Crises (2003)
Working Paper: Sovereign Credit Ratings and Their Impact on Recent Financial 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:zbw:cfswop:200004

Access Statistics for this paper

More papers in CFS Working Paper Series from Center for Financial Studies (CFS) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().