Do credit rating agencies add to the dynamics of emerging market crises?

Journal of Financial Stability

Volumn 1, Issue 3, 2005, Pages 355-385

  Kräussl, Roman ^a  

^a VU UNIVERSITY AMSTERDAM   (Netherlands)

Author keywords

Credit ratings; Event study; Financial crises; Sovereign risk

Indexed keywords

EID: 21844462823     PISSN: 15723089     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfs.2005.02.005     Document Type: Conference Paper

References (25)

1. Aziz, J., Caramazza, F., Salgado, R., 2000. Currency Crises: In Search of Common Elements. Unpublished working paper, No. 00/67. International Monetary Found, Washington, DC.
2. G.A. Calvo, and E.G. Mendoza Rational contagion and the globalization of securities markets J. Int. Econ. 51 1 2000 79 113
3. J.Y. Campbell, A.W. Lo, and A.C. MacKinlay The Econometrics of Financial Markets 1997 Princeton University Press Princeton
4. R. Cantor, and F. Packer Determinants and impact of sovereign credit ratings J. Fixed Income 6 3 1996 76 91
5. G. Corsetti, P. Pesenti, and N. Roubini What caused the Asian currency and financial crisis? Jpn. World Econ. 11 3 1999 305 373
6. A. Drazen Interest rate defense against speculative attack as a signal: a primer M.P. Dooley J.A. Frankel Managing Currency Crises in Emerging Markets 2003 The University of Chicago Press Chicago Chapter 2, pp. 37-60
7. B. Eichengreen, A.K. Rose, and C. Wyplosz Contagious currency crises Scand. J. Econ. 98 2 1996 463 484
8. Erbas, S.N., 2004. Ambiguity, Transparency, and Institutional Strength. Unpublished working paper, No. 04/115. International Monetary Found, Washington, DC.
9. G. Ferri, L.-G. Liu, and J.E. Stiglitz The procyclical role of rating agencies: evidence from the east Asian crisis Econ. Notes 28 3 1999 335 355
10. J.A. Frankel, and A.K. Rose Currency crashes in emerging markets: an empirical treatment J. Int. Econ. 41 3/4 1996 351 366
11. Friedman, T.L., 1999. From Supercharged Financial Markets to Osama Bin Laden: The Emerging Global Order Demands a New Enforcer, That's America's New Burden. New York Times Magazine 40 (43).
12. R. Gropp, and A.J. Richards Rating agency actions and the pricing of debt and equity of European banks: what can we infer about private sector monitoring of bank soundness? Econ. Notes 30 3 2001 373 398
13. P. Hartmann, S. Straetmans, and C.G. de Vries Asset market linkages in crisis periods Rev. Econ. Stat. 86 1 2004 313 326
14. G.L. Kaminsky, and S.L. Schmukler Emerging markets instability: do sovereign ratings affect country risk and stock returns? R.M. Levich G. Majnoni C.M. Reinhart Ratings, Rating Agencies and the Global Financial System 2002 Kluwer Boston Chapter 9, pp. 227-250
15. Kräussl, R., 2000. Sovereign Ratings and Their Impact on Recent Financial Crises. Unpublished working paper, No. 2000/04. Center for Financial Studies, Frankfurt/Main.
16. R. Kräussl Sovereign Risk, Credit Ratings and the Recent Financial Crises in Emerging Markets: Empirical Analysis and Policy Implications 2003 Fritz Knapp Verlag Frankfurt/Main
17. Merrill Lynch, 1999. Why Do Bond Rating Agencies Exist? Extra Credit, November, New York.
18. Moody's Investors Service, 2001. Moody's Country Credit Statistical Handbook. Global Credit Research, January, New York.
19. F. Partnoy The paradox of credit ratings R.M. Levich G. Majnoni C.M. Reinhart Ratings, Rating Agencies and the Global Financial System 2002 Kluwer Boston Chapter 3, pp. 65-96
20. S. Radelet, and J.D. Sachs The east Asian financial crisis: diagnosis, remedies, prospects Brookings Pap. Econ. Activity 1 1998 1 74
21. H. Reisen, and J. von Maltzan Boom and bust and sovereign ratings Int. Finance 2 2 1999 273 293
22. Standard and Poor's, 1997. Sovereign Credit Ratings: A Primer. Credit Week, April 16, New York.
23. Standard and Poor's, 2000. Outlooks: The Sovereign Credit Weather Vane. Credit Week, January 12, New York.
24. R. Sylla A historical primer on the business of credit ratings R.M. Levich G. Majnoni C.M. Reinhart Ratings, Rating Agencies and the Global Financial System 2002 Kluwer Boston Chapter 1, pp. 19-40
25. L.J. White The credit rating industry: an industrial organization analysis R.M. Levich G. Majnoni C.M. Reinhart Ratings, Rating Agencies and the Global Financial System 2002 Kluwer Boston Chapter 2, pp. 41-64