Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/78065
Authors: 
Kräussl, Roman
Year of Publication: 
2000
Series/Report no.: 
CFS Working Paper 2000/04
Abstract: 
This paper discusses the role of the credit rating agencies during the recent financial crises. In particular, it examines whether the agencies can add to the dynamics of emerging market crises. Academics and investors often argue that sovereign credit ratings are responsible for pronounced boom-bust cycles in emerging-markets lending. Using a vector autoregressive system this paper examines how US dollar bond yield spreads and the short-term international liquidity position react to an unexpected sovereign credit rating change. Contrary to common belief and previous studies, the empirical results suggest that an abrupt downgrade does not necessarily intensify a financial crisis.
Subjects: 
Risk Management
Value at Risk
Density Forecasting
Predictive Likelihood
JEL: 
C22
C51
G10
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
213.55 kB





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