Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/72653 
Authors: 
Year of Publication: 
2003
Series/Report no.: 
CFS Working Paper No. 2003/22
Publisher: 
Goethe University Frankfurt, Center for Financial Studies (CFS), Frankfurt a. M.
Abstract: 
Credit rating changes for long-term foreign currency debt may act as a wake-up call with up-grades and downgrades in one country affecting other financial markets within and across national borders. Such a potential (contagious) rating effect is likely to be stronger in emerg-ing market economies, where institutional investors' problems of asymmetric information are more present. This empirical study complements earlier research by explicitly examining cross-security and cross-country contagious rating effects of credit rating agencies' sovereign risk assessments. In particular, the specific impact of sovereign rating changes during the fi-nancial turmoil in emerging markets in the latter half of the 1990s has been examined. The results indicate that sovereign rating changes in a ground-zero country have a (statistically) significant impact on the financial markets of other emerging market economies although the spillover effects tend to be regional.
Subjects: 
Sovereign Risk
Credit Ratings
Financial Contagion
JEL: 
E44
E47
G15
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
276.4 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.