Arbeitspapier
Sovereign credit ratings
This paper describes sovereign credit ratings in emerging markets both for a specific year and over time, using quantitative explanatory variables. It turns out that rating adjustments have been worse than what economic fundamentals justify for some countries and also more frequently altered, questioning the long-term properties of sovereign ratings. The results support the view that rating changes during the Asian crisis have been procyclical rather than counter-cyclical. Omitted variables, such as soundness of banking sector, social and political factors, can be one reason for this misalignment but cannot explain all.
- Sprache
-
Englisch
- Erschienen in
-
Series: Research Notes ; No. 02-1
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Model Construction and Estimation
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- Thema
-
Dynamic model
panel data
sovereign credit ratings
emerging markets
Länderrisiko
Aufstrebende Märkte
Schätzung
Welt
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Eliasson, Ann-Charlotte
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bank Research
- (wo)
-
Frankfurt a. M.
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Eliasson, Ann-Charlotte
- Deutsche Bank Research
Entstanden
- 2002
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