Rating the Rating Agencies: Anticipating Currency Crises or Debt Crises

WPIEA1222003 Image
Price:  $15.00

Author/Editor: Amadou N. R. Sy
Release Date: © June, 2003
ISBN : 978-1-45185-451-0
Stock #: WPIEA1222003
English
Stock Status: Available

Languages and formats available

EnglishFrenchSpanishArabicRussianChinesePortuguese
PaperbackYes
PDFYes

Description

In contrast to the early-warning system literature, we find that currency and debt crises are not closely linked in emerging markets. We find that after 1994, credit ratings predict debt crises but fail to anticipate currency crises. When debt crises are defined as sovereign distress-when spreads are higher than 1,000 basis points-we find that countries experience reduced capital market access and high interest rates on their external debt for typically more than two quarters. We also find that lagged ratings and ratings changes, including negative outlooks and credit watches, anticipate such debt crises.

Taxonomy

Debt , Economic policy , Financial crisis , Fiscal policy , International financial system




More publications in this series: Working Papers


More publications by: Amadou N. R. Sy