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Title:Sovereign credit ratings PDF Logo
Authors:Eliasson, Ann-Charlotte
Issue Date:2002
Series/Report no.:Research notes in economics & statistics 02-1
Abstract:This paper describes sovereign credit ratings in emerging markets both for a specific year and over time, using quantitative explanatory variables. It turns out that rating adjustments have been worse than what economic fundamentals justify for some countries and also more frequently altered, questioning the long-term properties of sovereign ratings. The results support the view that rating changes during the Asian crisis have been procyclical rather than counter-cyclical. Omitted variables, such as soundness of banking sector, social and political factors, can be one reason for this misalignment but cannot explain all.
Subjects:Dynamic model
panel data
sovereign credit ratings
emerging markets
JEL:C23
C51
G23
Document Type:Working Paper
Appears in Collections:Research Notes, Deutsche Bank Research

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