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Please use this identifier to cite or link to this item: http://hdl.handle.net/2108/147

Title: Sovereign credit ratings and their impact on recent financial crises
Authors: Kräussl, Roman
Issue Date: Dec-2000
Publisher: CEIS
Series/Report no.: Quaderni CEIS; 135
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.
URI: http://hdl.handle.net/2108/147
Appears in Collections:Quaderni

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