Do Global Credit Rating Agencies Think Globally? The Information Content of Firm Ratings around the World [PDF]
What is the information content of firm ratings? We disentangle the relative contribution to firms? ratings of sovereign risks and individual firms? performance indicators, reportedly employed by rating agencies. We reach three conclusions.
Ferri, Giovanni, Li-Gang Liu
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Do sovereign credit ratings influence regional stock and bond market interdependencies in emerging countries? [PDF]
, 2012 We investigate the permanent and transitory effects of sovereign credit ratings on time-varying stock and bond market correlations with their respective regional markets for a sample of up to nineteen emerging countries over the period from 1 January ...
Christopher, R, Kim, SJ, Wu, E
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PIGS or Lambs? The European Sovereign Debt Crisis and the Role of Rating Agencies [PDF]
This paper asks whether rating agencies played a passive role or were an active driving force during Europe's sovereign debt crisis. We address this by estimating relationships between sovereign debt ratings and macroeconomic and structural variables. We
Griesbach, Bjoern +2 more
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Directional mobility of debt ratings [PDF]
, 2007 In this paper we describe a method to decompose a well-known measure of debt ratings mobility into it’s directional components. We show, using sovereign debt ratings as an example, that this directional decomposition allows us to better understand the ...
Bhaumik, SK, Landon-Lane, JS
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Sovereign Bankruptcy in the Perspective of the ASEAN Integration
Recoletos Multidisciplinary Research Journal, 2015 This paper recognizes the presence of sovereign debt as primary means of financing its expenditures. It practically covers the gaps between cash outflows and inflows from a country’s revenues such as those coming from taxes.
Yener C. Cabalida +3 more
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Rating the Rating Agencies [PDF]
In this study, we begin by assessing the ability of sovereign credit ratings to anticipate crises. In addition, given the wave of sovereign credit ratings downgrades that have followed the crises in Asia, we investigate formally the extent to which ...
Goldstein, Morris +2 more
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Sovereign credit ratings and their impact on recent financial crises [PDF]
, 2000 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.
Kräussl, Roman
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The effects of ratings-contingent regulation on international bank lending behaviour: Evidence from the Basel 2 Accord [PDF]
, 2014 We investigate the effects of credit ratings-contingent financial regulation on foreign bank lending behavior. We examine the sensitivity of international bank flows to debtor countries’ sovereign credit rating changes before and after the implementation
Eliza Wu, Iftekhar Hasan, Suk-Joong Kim
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Estimating Default Probabilities of Emerging Market Sovereigns: A New Look at a Not-So-New Literature [PDF]
The January 2001 proposal for a New Basel Capital Accord has renewed the interest in obtaining default probabilities for various types of borrowers. This paper uses a panel logit model to estimate default probabilities of 78 emerging market countries ...
Marcel Peter
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A Continuous-Time Inequality Measure Applied to Financial Risk: The Case of the European Union
International Journal of Financial Studies, 2018 In this paper, we apply information theory measures and Markov processes in order to analyse the inequality in the distribution of the financial risk in a pool of countries.
Guglielmo D’Amico +3 more
doaj +1 more source