Boom and Bust and Sovereign Ratings:
The 1990s have witnessed pronounced boom-bust cycles in emerging-markets lending, culminating in the Asian financial and currency crisis of 1997-98. By examining the links between sovereign credit ratings and dollar bond yield spreads over 1989-97, this paper aims at broad empirical content for judg...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
1999
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| Schriftenreihe: | OECD Development Centre Working Papers
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| Online-Zugang: | kostenfrei |
| Zusammenfassung: | The 1990s have witnessed pronounced boom-bust cycles in emerging-markets lending, culminating in the Asian financial and currency crisis of 1997-98. By examining the links between sovereign credit ratings and dollar bond yield spreads over 1989-97, this paper aims at broad empirical content for judging whether the three leading rating agencies - Moody's, Standard ' Poor's and Fitch IBCA - can intensify or attenuate boom-bust cycles in emerging-market lending. First, an event study exploring the market response for 30 trading days before and after rating announcements finds a significant impact of imminent upgrades and implemented downgrades for a combination of ratings by the three leading agencies, despite strong anticipation of rating events. Second, a Granger causality test, by correcting for joint determinants of ratings and yield spreads, finds that changes in sovereign ratings are mutually interdependent with changes in bond yields. These findings are based on many more ... |
| Beschreibung: | 1 Online-Ressource (21 Seiten) 21 x 29.7cm |
| DOI: | 10.1787/251521656447 |
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| spelling | Reisen, Helmut Verfasser aut Boom and Bust and Sovereign Ratings Helmut Reisen and Julia von Maltzan Paris OECD Publishing 1999 1 Online-Ressource (21 Seiten) 21 x 29.7cm txt rdacontent c rdamedia cr rdacarrier OECD Development Centre Working Papers The 1990s have witnessed pronounced boom-bust cycles in emerging-markets lending, culminating in the Asian financial and currency crisis of 1997-98. By examining the links between sovereign credit ratings and dollar bond yield spreads over 1989-97, this paper aims at broad empirical content for judging whether the three leading rating agencies - Moody's, Standard ' Poor's and Fitch IBCA - can intensify or attenuate boom-bust cycles in emerging-market lending. First, an event study exploring the market response for 30 trading days before and after rating announcements finds a significant impact of imminent upgrades and implemented downgrades for a combination of ratings by the three leading agencies, despite strong anticipation of rating events. Second, a Granger causality test, by correcting for joint determinants of ratings and yield spreads, finds that changes in sovereign ratings are mutually interdependent with changes in bond yields. These findings are based on many more ... Development von Maltzan, Julia ctb https://doi.org/10.1787/251521656447 Verlag kostenfrei Volltext |
| spellingShingle | Reisen, Helmut Boom and Bust and Sovereign Ratings Development |
| title | Boom and Bust and Sovereign Ratings |
| title_auth | Boom and Bust and Sovereign Ratings |
| title_exact_search | Boom and Bust and Sovereign Ratings |
| title_exact_search_txtP | Boom and Bust and Sovereign Ratings |
| title_full | Boom and Bust and Sovereign Ratings Helmut Reisen and Julia von Maltzan |
| title_fullStr | Boom and Bust and Sovereign Ratings Helmut Reisen and Julia von Maltzan |
| title_full_unstemmed | Boom and Bust and Sovereign Ratings Helmut Reisen and Julia von Maltzan |
| title_short | Boom and Bust and Sovereign Ratings |
| title_sort | boom and bust and sovereign ratings |
| topic | Development |
| topic_facet | Development |
| url | https://doi.org/10.1787/251521656447 |
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