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Sovereign Ratings and Migrations: Emerging Markets

Rasha Alsakka and Owain ap Gwilym

No 10009, Working Papers from Bangor Business School, Prifysgol Bangor University (Cymru / Wales)

Abstract: The demand for sovereign ratings in emerging economies has grown rapidly in recent years due to globalisation of financial markets, and investors’ increasing focus on international diversification. This paper investigates the quantitative determinants of sovereign ratings in emerging markets provided by six international agencies. The study also examines the effects of changes in economic and financial conditions of emerging countries on sovereign rating migrations. The findings show that a large set of economic fundamentals is essential in modelling levels and changes in emerging sovereign ratings. Rating behaviour varies across different economic/financial circumstances, highlighting the heterogeneity of emerging sovereign ratings. Evidence of different rating processes across agencies and dissimilar behaviour of upgrades and downgrades is presented.

Date: 2010-03
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