Foreign Currency Credit Ratings for Emerging Market Economies

Foreign Currency Credit Ratings for Emerging Market Economies

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This paper examines how ratings for emerging market economies have been set. Given the high degree of autocorrelation in ratings, we use estimators that yield consistent parameters in the presence of such correlation. The results show that rating changes for emerging market economies have been dominated by variables different from those suggested by the literature. We also conclude that some deterioration in the ratings was warranted during the recent crisis episodes in view of the behavior of economic fundamentals, but that the agencies overreacted for several key countries. We find evidence of a structural break: since the Asian crisis period, ratings have been influenced by reserves in relation to short-term debt.References Baig, Taimur and Ilan Goldfajn, 1999, aquot;Financial Market Contagion in the Asian Crisis, aquot; IMF Staff Papers, Vol. ... Cantor, Richard and Frank Parker, 1996, aquot;Determinants and Impacts of Sovereign Credit Ratings, aquot; Research Paper Noanbsp;...


Title:Foreign Currency Credit Ratings for Emerging Market Economies
Author: Christian B. Mulder, Roberto Perrelli
Publisher:International Monetary Fund - 2001-12-01
ISBN-13:

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