Financial crises, credit ratings, and bank failures : emerging market instability - do sovereign ratings affect country risk and stock returns?
By Graciela L. Kaminsky, S. Schmukler. 2002
138 citations recorded by the source corpus.
View Paper: https://www.semanticscholar.org/paper/bd8ba78927ff090db4c06387217273b42f644ad7
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Citations in the corpus
- Political Rights and the Cost of Debt (2010, unknown): “Thus, countries with better political rights may provide greater 4 For more on sovereign ratings see Cantor and Packer (1996a and 1996b), Kaminsky and Schmukler (2002), and Gande and Parsley (2007). freedom of the press, which may in turn improve information acquisition.”
- The Role of Portfolio Constraints in the International Propagation of Shocks (2008, background): “5See Kaminsky and Schmukler (2002) and Rigobon (2002).”
- Do Markets Care About Central Bank Governor Changes? Evidence from Emerging Markets (2010, background): “…MSCI index - the combined decline in domestic stock and foreign exchange markets amounts to about 1.6 percent.24 Comparing these results to those of Kaminsky and Schmukler (2002) for the impact of changes in sovereign ratings, for example, shows that the magnitude of announcing a central bank…”
- The Impact of Macroeconomic Announcements on Emerging Market Bonds (2005, methodology): “We use the country sub-indices of the Emerging Market Bond Index–Global (EMBI Global) provided by JP Morgan to calculate the dependent variable.5 The dependent variable 4 Kaminsky and Schmukler (2002) confirm that rating and outlook changes have stronger effects during crises.”
- Finding the “Democratic Advantage” in Sovereign Bond Ratings: The Importance of Strong Courts, Property Rights Protection, and the Rule of Law (2012, background): “…information relevant to the investment climate in a country and therefore affect FDI and nonsovereign PI inflows ~see Ferri, Liu, and Stiglitz 1999; Kaminsky and Schmukler 2002; and Setty and Dodd 2003!+ CRAs also are seen as a potential weapon in preventing future financial global crises…”
- Does sovereign debt ratings news spill over to international stock markets (2007, background): “Kaminsky and Schmukler (2002) show that emerging market sovereign rating news is contagious for bond and stock markets in emerging markets, particularly during periods of turmoil and particularly for neighboring countries.”
- Leads and lags in sovereign credit ratings. (2010, background): “Kaminsky and Schmukler (2002) find that sovereign ratings news causes reactions in bond and stock markets in emerging countries, particularly neighbouring countries.”