Research Catalog

Title

Emerging Market Risk and Sovereign Credit Ratings [electronic resource] / Guillermo Larraín, Helmut Reisen and Julia von Maltzan

Author

Larraín, Guillermo.

Publication

Paris : OECD Publishing, 1997.

Details

Additional Authors

• Reisen, Helmut.
• von Maltzan, Julia.

Description

28 p.; 21 x 29.7cm.

Summary

In principle, the sovereign credit rating industry could help mitigate the congestion externalities common to world capital markets that arise from the failure of market participants to internalise the social cost of external borrowings. This would require that modifications in ratings on government bonds convey new information to market participants, with changes in credit ratings leading to changes in country risk premia. Using panel data analysis and event studies this paper presents econometric evidence that changes in credit rating have a significant impact on international financial markets. In line with earlier studies, our event study finds a highly significant announcement effect when emerging-market sovereign bonds are put on review with negative outlook. Our findings imply that the sovereign rating industry has the potential to help dampen excessive private capital inflows into the emerging markets with negative rating announcements ...

Series Statement

OECD Development Centre Working Papers, 1815-1949 ; no.124

Uniform Title

OECD Development Centre Working Papers, no.124.

Subject

Development

LCCN

10.1787/004352173554

OCLC

oecd-lib

Author

Larraín, Guillermo.

Title

Emerging Market Risk and Sovereign Credit Ratings [electronic resource] / Guillermo Larraín, Helmut Reisen and Julia von Maltzan

Imprint

Paris : OECD Publishing, 1997.

Series

OECD Development Centre Working Papers, 1815-1949 ; no.124

OECD Development Centre Working Papers, 1815-1949 ; no.124.

Connect to:

Full text online available onsite at NYPL

Indexed Term

Development

Added Author

Reisen, Helmut.

von Maltzan, Julia.

Other Standard Identifier

10.1787/004352173554 doi