Please use this identifier to cite or link to this item:
Kraeussl, Roman
Year of Publication: 
Series/Report no.: 
CFS Working Paper 2003/22
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.
Sovereign Risk
Credit Ratings
Financial Contagion
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
276.4 kB

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