Markets: The Credit Rating Agencies

White, Lawrence J.

doi:10.1257/jep.24.2.211

Cited by 461 publications

(255 citation statements)

References 25 publications

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“…4 Mora (2006) among others provides evidence of delayed sovereign rating announcements of credit rating agencies in the context of the Asian crisis. White (2010) provides an excellent overview of the literature on credit rating agencies including on the evidence of their sluggishness in making corporate rating announcements in the US. …”

Section: B Sequencing Of Rating Announcementsmentioning

confidence: 99%

Sovereign Rating News and Financial Markets Spillovers: Evidence From the European Debt Crisis

Candelon

Sy²,

Arezki³

2011

IMF Working Papers

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However, we also find evidence that downgrades to near speculative grade ratings for relatively large economies such as Greece have a systematic spillover effects. Rating-based triggers may help explain these results. Terms of use: Documents in EconStor mayJEL-Code: G150, F360.

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Section: B Sequencing Of Rating Announcementsmentioning

confidence: 99%

Sovereign Rating News and Financial Markets Spillovers: Evidence From the European Debt Crisis

Candelon

Sy²,

Arezki³

2011

IMF Working Papers

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“…See Eijffinger (2012), Pagano and Volpin (2010), White (2010), Ozturk (2015) and Paudyn (2013) for an excellent discussion.…”

Section: Hypothesis 1: Fiscal Indicators Are Negatively Associated Wimentioning

confidence: 99%

The role of sovereign credit ratings in fiscal discipline

Duygun

Öztürk

Shaban

2016

Emerging Markets Review

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This paper investigates several aspects of the relationship between sovereign credit ratings and fiscal discipline. The analysis of over one thousand country-year observations for 93 countries during the 1999-2010 period reveals that a country's debt level is likely to increase with higher ratings, confirming the existence of pro-cyclicality and path dependence of ratings. In addition, the study finds no evidence to support the theory of Political Business Cycle, which implies that political ambitions may lead to fiscal worsening following a rating upgrade. The study findings further demonstrate that institutional quality is an important factor in the ratings-fiscal discipline nexus.

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“…The motivations for using credit ratings as an instrument for market regulation are: (i) aiming at financial soundness via establishing prudential minimum credit quality for portfolio holdings (e.g. IMF, 2010;White, 2010); (ii) encouraging a minimum credit quality of securities issuance to protect investors (e.g. Coffee, 2006).…”

Section: Credit Ratings and Regulationmentioning

confidence: 99%

Sovereign rating actions and the implied volatility of stock index options

Tran

Alsakka

Gwilym

2014

International Review of Financial Analysis

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This paper examines the interaction between the equity index option market and sovereign credit ratings. S&P and Moody's signals exhibit strong impact on option-implied volatility while Fitch's influence is less significant. Moody's downgrades reduce the market uncertainty over the rated countries' equity markets. Strong causal relationships are found between movements in the option-implied volatility and all credit signals released by S&P and Fitch, but only actual rating changes by Moody's, implying differences in rating agencies' policies. The presence of additional ratings tends to reduce market uncertainty. The findings highlight the importance of rating information in the price discovery process and offer policy implications. JEL classification: G14; G15; G24

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Markets: The Credit Rating Agencies

Cited by 461 publications

References 25 publications

Sovereign Rating News and Financial Markets Spillovers: Evidence From the European Debt Crisis

Sovereign Rating News and Financial Markets Spillovers: Evidence From the European Debt Crisis

The role of sovereign credit ratings in fiscal discipline

Sovereign rating actions and the implied volatility of stock index options

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