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

Schmukler, Sergio ; Kaminsky, Graciela

World Bank, Washington, DC

关键词: ACCOUNTING STANDARDS;    ASYMMETRIC INFORMATION;    BENCHMARK;    BONDS;    CAPITAL FLOWS;   

DOI  :  10.1596/1813-9450-2678
RP-ID  :  WPS2678

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

Financial market instability has beenthe focus of attention of both academic and policy circles.Rating agencies have been under particular scrutiny latelyas promoters of financial excesses, upgrading countries ingood times and downgrading them in bad times. Using a panelof emerging economies, this paper examines whether sovereignratings affect financial markets. The authors find thatchanges in sovereign ratings have an impact on country riskand stock returns. They also find that these changes aretransmitted across countries, with neighbor-country effectsbeing more significant. Rating upgrades (downgrades) tend tooccur following market rallies (downturns). Countries withmore vulnerable economies, as measured by low ratings, aremore sensitive to changes in U.S. interest rates.