Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72653
Authors: 
Kraeussl, Roman
Year of Publication: 
2003
Series/Report no.: 
CFS Working Paper 2003/22
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

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