Using Credit Ratings for Capital Requirements on Lending to Emerging Market Economies: Possible Impact of a New Basel Accord

Emerging market bond spreads and sovereign credit ratings: reconciling market views with economic fundamentals

“…Although credit ratings represent analysts' view ofa particular country's economic and political fundamentals, a number of studies (Cantor and Packer (1996), Ul Haque, Kumar, Mark, and Mathieson (1996), Juttner and McCarthy (1998), Monfort and Mulder (2000), and Mulder ( 2001)), have found a close association between credit ratings and a reduced number of macroeconomic variables. Nonetheless, the framework suggested in this paper is flexible enough to incorporate additional variables as well as disagreements with observed ratings.…”

Determinants of sovereign debt ratings in clusters of European countries – effects of the crisis

“…All these authors use the ordinary least squares methodology and a static estimation. Eliasson (2002), Monfort and Mulder (2000) use a dynamic estimation to determine the variables that explain the ratings of economies, and find that the ratings are explained by the ratio between debt and exports, the export growth rate, the fiscal balance, inflation and GDP.…”

Rating the Rating Agencies: Anticipating Currency Crises or Debt Crises?

“…A number of studies (Cantor and Packer (1996);Haque, Kumar, Mark, and Mathieson (1996); Juttner and McCarthy (1998); and Monfort and Mulder (2000)) have found a close association between credit ratings and a reduced number of macroeconomic variables. For instance, Cantor and Packer (1996) find that per capita GDP, inflation, the level of external debt, and indicators of default history and of economic development explain ratings well.…”