Notation des émergents et fondamentaux. Des divergences dangereuses (notice n° 835392)
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| fixed length control field | 03607cam a2200193 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250123140421.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Miotti, Egidio Luis |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Notation des émergents et fondamentaux. Des divergences dangereuses |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2012.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 55 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | RésuméLe rôle des agences de notation a été fortement souligné dans la crise de dettes subprimes et a été également mis en cause dans les tensions autour des dettes souveraines européennes en 2011. Cet article s’intéresse à la notation du risque pays des économies émergentes dont les dégradations brusques de notation constituent également un fait stylisé. L’évolution des ratings souverains des trois principales agences de notation est comparée à deux indicateurs de l’état des fondamentaux des économies, construits à partir des indicateurs macroéconomiques et financiers associés à la perception du risque de défaut. L’évidence empirique qui s’obtient de l’estimation de deux modèles, en panel et en probit ordonné à effets aléatoires, suggère une réaction tardive des agences de notation à la dynamique des fondamentaux. Les tests non paramétriques mettent également en évidence la présence d’un biais dans la hiérarchie de la notation des agences. Les résultats invitent à poursuivre la recherche de mécanismes institutionnels de notation du risque et à mettre en question le degré d’influence des principales agences en ce qui concerne leur évaluation du risque pays. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | Emerging market sovereign ratings and macro-fundamentals : dangerous divergencesCredit rating agencies ( cras) have come under intensive scrutiny, having failed to assess the risk of mortgage-related structured products involved in the subprime crisis of 2008. Since 2010, the steady downgrading of European sovereign debt has also led to much criticism. This article focuses on the case of emerging markets country ratings, for which abrupt downgrades, preceded by long periods of inflated ratings, also constitute a stylised fact. The paper examines the degree of reactivity of emerging market country ratings to changes in the macro and financial environment, and thus in the debt repayment capacity. In a first stage, we build two synthetic indicators of “fundamentals” by means of transforming incumbent macro and financial data into a single dimension. The first specification is obtained through a k-means algorithm and the second by running a simple z-score rating. In a second stage, we estimate two econometric models linking country ratings to fundamentals as assessed by our indicators. Both the fixed-effects panel and the random-effects ordered probit estimations suggest country ratings are not opportunely correlated to changes in the fundamentals in the short term ; the positive association appearing only over the long run. Non-parametric tests also capture rigidities with respect to the ranking of ratings across countries, which seem insensitive to changes in the risk-order. The paper invites to pursue the research of alternative institutional mechanisms of country risk assessment calling into question the large influence of the main cras in the current international financial architecture.Classification JEL : G20, G24, F34, E44 |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Prat, Stéphanie |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Torija-Zane, Edgardo |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Revue économique | 63 | 5 | 2012-09-17 | p. 885-916 | 0035-2764 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/revue-economique-2012-5-page-885?lang=fr&redirect-ssocas=7080">https://shs.cairn.info/revue-economique-2012-5-page-885?lang=fr&redirect-ssocas=7080</a> |
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