Emerging market instability: Do sovereign ratings affect country risk and stock returns?

World Bank Economic Review

Volumn 16, Issue 2, 2002, Pages 171-195

  Kaminsky, Graciela ^a   Schmukler, Sergio L ^b  

^a GEORGE WASHINGTON UNIVERSITY   (United States)

^b WORLD BANK   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

DEBT; ECONOMIC INSTABILITY; FINANCIAL MARKET; MARKET CONDITIONS;

EID: 0036921404     PISSN: 02586770     EISSN: None     Source Type: Journal    
DOI: 10.1093/wber/16.2.171     Document Type: Article

References (35)

1. Anderson, T., and C. Hsiao. 1982. "Formulation and Estimation of Dynamic Models Using Panel Data." Journal of Econometrics 18(1):47-82.
2. Calvo, G., and E. Mendoza. 2000. "Rational Contagion and the Globalization of Securities Markets." Journal of International Economics 51(1):79-114.
3. Calvo, G., L. Leiderman, and C. Reinhart. 1993. "Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors." Staff Papers International Monetary Fund 40(1):108-51.
4. Cantor, R., and F. Packer. 1996. "Determinants and Impact of Sovereign Credit Ratings." Federal Reserve Bank of New York. Economic Policy Review 2(2):37-53.
5. Corsetti, G., P. Pesenti, and N. Roubini. 2000. "Competitive Devaluations: A Welfare-Based Approach." Journal of International Economics 51(1):217-41.
6. Cruces, J. 2001. "Statistical Properties of Sovereign Credit Ratings." Universidad de San Andrés, Buenos Aires, Argentina.
7. Dooley, M. 1998. "A Model of Crises in Emerging Markets." NBER Working Paper 6300. National Bureau of Economic Research, Cambridge, Mass.
8. Eichengreen, B., and A. Mody. 1998. "What Explains Changing Spreads on Emerging Market Debt: Fundamentals or Market Sentiment?" NBER Working Paper 6408. National Bureau of Economic Research, Cambridge, Mass.
9. Erb, C., C. Harvey, and T. Viskanta. 1996a. "Expected Returns and Volatility in 135 Countries." Journal of Portfolio Management 22(3):46-58.
10. Erb, C. 1996b. "The Influence of Political, Economic and Financial Risk on Expected Fixed Income Returns." Journal of Fixed Income 6(1):7-31.
11. Erb, C. 1996c. "Political Risk, Financial Risk and Economic Risk." Financial Analysts Journal 52(6):28-46.
12. Ferri, G., G. Liu, and J. Stiglitz. 1999. "The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis." Economic Notes 28(3):335-55.
13. Frankel, J., S. Schmukler, and L. Serven. 2000. "Global Transmission of Interest Rates: Monetary Independence and the Currency Regime." World Bank Working Paper 2424. World Bank, Washington, D.C.
14. Hand, J., R. Holthausen, and R. Leftwich. 1992. "The Effect of Bond Rating Agency Announcements on Bond and Stock Prices." Journal of Finance 157(2):733-52.
15. Herrera, S., and G. Perry. 2000. "Determinants of Latin Spreads in the New Economy Era: The Role of U.S. Interest Rates and Other External Variables." Latin American and the Caribbean Region, World Bank, Washington, D.C.
16. Kamin, S., and K. von Kleist. 1999. "The Evolution and Determinants of Emerging Market Credit Spreads in the 1990s." International Finance Discussion Paper 1999-653. Federal Reserve Board, Washington, D.C.
17. Kaminsky, G., and C. Reinhart. 2000a. "The Center and the Periphery: The Globalization of Financial Turmoil." IMF Working Paper, International Monetary Fund, Washington, D.C., forthcoming.
18. Kaminsky, G., 2000b. "On Crises, Contagion, and Confusion." Journal of International Economics 51(1):145-68.
19. Kaminsky, G., and S. Schmukler. 1999. "What Triggers Market Jitters?" Journal of International Money and Finance 18(4):537-60.
20. Kaminsky, G. 2001. "Emerging Markets Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?" World Bank Policy Research Working Paper 2678. World Bank, Washington, D.C. Available online at http://www.worldbank.org/research.
21. Kaminsky, G., R. Lyons, and S. Schmukler. 2000. "Managers, Investors, and Crisis: Mutual Fund Strategies in Emerging Markets." NBER Working Paper 7855. National Bureau of Economic Research, Cambridge, Mass.
22. Krugman, P. 1998. "Saving Asia: It Is Time to Get Radical." Fortune (September 7):74-80.
23. Larrain, G., H. Reisen, and J. von Maltzan. 1997. "Emerging Market Risk and Sovereign Credit Rating." OECD Development Centre Technical Paper 124. Organisation for Economic Co-operation and Development, Paris.
24. Masson, P. 1998. "Contagion: Monsoonal Effects, Spillovers, and Jumps between Multiple Equilibria." International Monetary Fund Working Paper WP/98/142. IMF, Washington, D.C.
25. Mora, N. 2001. "Sovereign Credit Ratings: Guilty Beyond Reasonable Doubt?" Department of Economics, MIT, Cambridge, Mass.
26. McKinnon, R., and H. Pill. 1997. "Credible Economic Liberalizations and Overborrowing." American Economic Review 87(2):189-93.
27. Mehrez, G., and D. Kaufmann. 2000. "Transparency, Liberalization, and Banking Crises." World Bank Policy Research Working Paper 2286. World Bank, Governance, Regulation, and Finance, World Bank Institute, Washington, D.C.
28. Reinhart, C. 2001. "Do Sovereign Credit Ratings Anticipate Financial Crises? Evidence from Emerging Markets." School of Public Affairs, University of Maryland, College Park.
29. Reisen, H., and J. von Maltzan. 1999. "Boom and Bust and Sovereign Ratings." OECD Development Centre Technical Paper 148. Organisation for Economic Co-operation and Development, Paris.
30. Richards, A. 1996. "Winner-Loser Reversals in National Stock Market Indices: Can They Be Explained?" Journal of Finance 52(5):2129-44.
31. Richards, A., and D. Deddouche. 1999. "Bank Rating Changes and Bank Stock Returns: Puzzling Evidence from Emerging Markets." IMF Working Paper. International Monetary Fund, Washington, D.C.
32. Rigobon, R. 1997. "Informational Speculative Attacks: Good News Is No News." Sloan School of Management, MIT, Cambridge, Mass.
33. Rouwenhorst, G. 1998. "International Momentum Strategies." Journal of Finance 53(1):267-84.
34. Stiglitz, J. 2000. "Capital Market Liberalization, Economic Growth, and Instability." World Development 28(6):1075-86.
35. Stulz, R. 1999. "Globalization of Capital Markets and the Cost of Capital: The Case of Nestle." Journal of Applied Corporate Finance 8(3):30-38.