Rating the Rating Agencies: Anticipating Currency Crises or Debt Crises?
By A. Sy. Social Science Research Network, 2003
152 citations recorded by the source corpus.
In contrast to the early-warning system literature, we find that currency and debt crises are not closely linked in emerging markets. We find that after 1994, credit ratings predict debt crises but fail to anticipate currency crises. When debt crises are defined as sovereign distress - when spreads are higher than 1,000 basis points - we find that countries experience reduced capital market access and high interest rates on their external debt for typically more than two quarters. We also find that lagged ratings and ratings changes, including negative outlooks and credit watches, anticipate such debt crises.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/5be2545a9e885853f7cfa159431fab0a1faebcfb
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Citations in the corpus
- How Well Do Social Ratings Actually Measure Corporate Social Responsibility? (2008, unknown): “…Journal Compilation C© 2009 Wiley Periodicals, Inc. Journal of Economics & Management Strategy, Volume 18, Number 1, Spring 2009, 125–169 126 Journal of Economics & Management Strategy responsibility as well as for studies that relate social responsibility ratings to financial performance.”
- Sovereign Defaults: The Price of Haircuts (2011, background): “While some authors argue that agencies add fundamental value above and beyond market prices (e.g. Cavallo, Powell and Rigobon 2008, Sy 2004), others have criticized them for reacting to public information with delay (see Kaminsky and Schmukler 2002, among others).”
- Has the CDS Market Influenced the Borrowing Cost of European Countries During the Sovereign Crisis (2012, unknown): “…emerging sovereign spreads' dynamics, several studies which investigate emerging sovereign spreads (see McGuire and Schrilvers (2003), Sy (2001), Sy (2003), Hartelius and Kodres (2008) and Hilscher and Nosbrusch (2010)) or the relationship between emerging sovereign CDS premia and underlying…”
- An introduction to recent research on credit ratings (2004, background): “Sy (2004) revisits the question of whether sovereign ratings predict financial crises.”
- Costs of Sovereign Default (2006, background): “And Sy (2004) defines a sovereign debt crisis to occur when sovereign spreads over US Treasuries rise to 1,000 basis points (10 percent) or more.”