Sovereign credit ratings

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Research Notes ; No. 02-1

Classification and Topics

• Classification: 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
• Subject: Dynamic model ; panel data ; sovereign credit ratings ; emerging markets ; Länderrisiko ; Aufstrebende Märkte ; Schätzung ; Welt

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Eliasson, Ann-Charlotte
• Event: Veröffentlichung
• (who): Deutsche Bank Research
• (where): Frankfurt a. M.
• (when): 2002

Further information

• Handle: http://hdl.handle.net/10419/40267
• Last update: 10.03.2025, 11:44 AM CET