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Autoren: 
Eliasson, Ann-Charlotte
Datum: 
2002
Reihe/Nr.: 
Research Notes 02-1
Zusammenfassung: 
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.
Schlagwörter: 
Dynamic model
panel data
sovereign credit ratings
emerging markets
JEL: 
C23
C51
G23
Dokumentart: 
Working Paper
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