Emerging Markets Instability : Do Sovereign Ratings Affect Country Risk and Stock Returns?

Financial market instability has been the focus of attention of both academic and policy circles. Rating agencies have been under particular scrutiny lately as promoters of financial excesses, upgrading countries in good times and downgrading them in bad times. Using a panel of emerging economie...

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Bibliographic Details
Main Authors:	Kaminsky, Graciela, Schmukler, Sergio L.
Format:	Journal Article
Language:	en_US
Published:	World Bank 2013
Subjects:	credit ratings emerging markets country risk stock returns financial markets spillover effects
Online Access:	http://hdl.handle.net/10986/16217

id	okr-10986-16217
recordtype	oai_dc
spelling	okr-10986-162172021-04-23T14:03:28Z Emerging Markets Instability : Do Sovereign Ratings Affect Country Risk and Stock Returns? Kaminsky, Graciela Schmukler, Sergio L. credit ratings emerging markets country risk stock returns financial markets spillover effects Financial market instability has been the focus of attention of both academic and policy circles. Rating agencies have been under particular scrutiny lately as promoters of financial excesses, upgrading countries in good times and downgrading them in bad times. Using a panel of emerging economies, this paper examines whether sovereign ratings affect financial markets. We find that changes in sovereign ratings have an impact on country risk and stock returns. We also find that these changes are transmitted across countries, with neighbor-country effects being more significant. Rating upgrades (downgrades) tend to occur following market rallies (downturns). Countries with more vulnerable economies, as measured by low ratings, are more sensitive to changes in U.S. interest rates. 2013-11-04T22:53:38Z 2013-11-04T22:53:38Z 2002-05-30 Journal Article World Bank Economic Review 1564-698X http://hdl.handle.net/10986/16217 en_US CC BY-NC-ND 3.0 IGO http://creativecommons.org/licenses/by-nc-nd/3.0/igo World Bank World Bank Journal Article East Asia and Pacific Latin America & Caribbean
repository_type	Digital Repository
institution_category	Foreign Institution
institution	Digital Repositories
building	World Bank Open Knowledge Repository
collection	World Bank
language	en_US
topic	credit ratings emerging markets country risk stock returns financial markets spillover effects
spellingShingle	credit ratings emerging markets country risk stock returns financial markets spillover effects Kaminsky, Graciela Schmukler, Sergio L. Emerging Markets Instability : Do Sovereign Ratings Affect Country Risk and Stock Returns?
geographic_facet	East Asia and Pacific Latin America & Caribbean
description	Financial market instability has been the focus of attention of both academic and policy circles. Rating agencies have been under particular scrutiny lately as promoters of financial excesses, upgrading countries in good times and downgrading them in bad times. Using a panel of emerging economies, this paper examines whether sovereign ratings affect financial markets. We find that changes in sovereign ratings have an impact on country risk and stock returns. We also find that these changes are transmitted across countries, with neighbor-country effects being more significant. Rating upgrades (downgrades) tend to occur following market rallies (downturns). Countries with more vulnerable economies, as measured by low ratings, are more sensitive to changes in U.S. interest rates.
format	Journal Article
author	Kaminsky, Graciela Schmukler, Sergio L.
author_facet	Kaminsky, Graciela Schmukler, Sergio L.
author_sort	Kaminsky, Graciela
title	Emerging Markets Instability : Do Sovereign Ratings Affect Country Risk and Stock Returns?
title_short	Emerging Markets Instability : Do Sovereign Ratings Affect Country Risk and Stock Returns?
title_full	Emerging Markets Instability : Do Sovereign Ratings Affect Country Risk and Stock Returns?
title_fullStr	Emerging Markets Instability : Do Sovereign Ratings Affect Country Risk and Stock Returns?
title_full_unstemmed	Emerging Markets Instability : Do Sovereign Ratings Affect Country Risk and Stock Returns?
title_sort	emerging markets instability : do sovereign ratings affect country risk and stock returns?
publisher	World Bank
publishDate	2013
url	http://hdl.handle.net/10986/16217
_version_	1764432536198447104

Emerging Markets Instability : Do Sovereign Ratings Affect Country Risk and Stock Returns?

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