Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72648
Authors: 
Kraeussl, Roman
Year of Publication: 
2003
Series/Report no.: 
CFS Working Paper 2003/18
Abstract: 
The experience in the period during and after the Asian crisis of 1997-98 has provoked an extensive debate about the credit rating agencies' evaluation of sovereign risk in emerging markets lending. This study analyzes the role of credit rating agencies in international financial markets, particularly whether sovereign credit ratings have an impact on the financial stability in emerging market economies. The event study and panel regression results indicate that credit rating agencies have substantial influence on the size and volatility of emerging markets lending. The empirical results are significantly stronger in the case of government's downgrades and negative imminent sovereign credit rating actions such as credit watches and rating outlooks than positive adjustments by the credit rating agencies while by the market participants' anticipated sovereign credit rating changes have a smaller impact on financial markets in emerging economies.
Subjects: 
Sovereign Risk
Credit Ratings
Financial Crises
JEL: 
E44
E47
G15
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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