Author : Sergio L. Schmukler
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.36/5 ( download)
Book Synopsis Emerging Markets Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns? by : Sergio L. Schmukler
Download or read book Emerging Markets Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns? written by Sergio L. Schmukler and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: September 2001 Changes in sovereign ratings affect country risk and stock returns. And these changes are transmitted across countries, with neighbor-country effects being more significant. Financial market instability has received attention from 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. Using a panel of emerging economies, Kaminsky and Schmukler examine whether sovereign ratings affect financial markets. The authors find that changes in sovereign ratings affect country risk and stock returns. They also find that these changes are transmitted across countries, with neighbor-country effects being more significant. Rating upgrades tend to follow market rallies; downgrades tend to follow market downturns. Countries with more vulnerable economies, as measured by low ratings, are more sensitive to changes in U.S. interest rates. This paper--a product of Macroeconomics and Growth, Development Research Group--is part of a larger effort in the group to understand how financial markets work in developing countries. The authors may be contacted at [email protected] or [email protected].