Click here for search results
Emerging markets instability: do sovereign ratings affect country risk and stock returns?, Volume 1
Author:Kaminsky,Graciela; Schmukler,Sergio L.; Country:World;
Date Stored:2004/01/30Document Date:2001/09/30
Document Type:Policy Research Working PaperSubTopics:Financial Intermediation; Environmental Economics & Policies; Banks & Banking Reform; Payment Systems & Infrastructure; Insurance & Risk Mitigation; Economic Theory & Research
Language:EnglishRegion:The World Region
Report Number:WPS2678Collection Title:Policy, Research working paperWPS 2678
Volume No:1  

Summary: Financial market instability has been the focus of attention of 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 times. Using a panel of emerging economies, this paper examines whether sovereign ratings affect financial markets. The authors find that changes in sovereign ratings have an impact on country risk and stock returns. They also find that these changes are transmitted across countries, with neighbor-country effects being more significant. Rating upgrades (downgrades) tend to occur following market rallies (downturns). Countries with more vulnerable economies, as measured by low ratings, are more sensitive to changes in U.S. interest rates.

Official Documents
Official, scanned versions of documents (may include signatures, etc.)
File TypeDescriptionFile Size (mb)
PDF 35 pagesOfficial version*0.13
TextText version**
How To Order
Light-Weight Documents
Lighter (less MB) documents which may or may not be the final, official version
File TypeDescriptionFile Size (mb)

* The official version is derived from scanning the final, paper copy of the document and is the official,
archived version including all signatures, charts, etc.
** The text version is the OCR text of the final scanned version and is not an accurate representation of the final text.
It is provided solely to benefit users with slow connectivity.

Permanent URL for this page:

© 2016 The World Bank Group, All Rights Reserved. Legal