| 000 | 02276cam a2200181 4500500 | ||
|---|---|---|---|
| 005 | 20250121113935.0 | ||
| 041 | _afre | ||
| 042 | _adc | ||
| 100 | 1 | 0 |
_aMiotti, Egidio Luis _eauthor |
| 700 | 1 | 0 |
_a Prat, Stéphanie _eauthor |
| 700 | 1 | 0 |
_a Torija-Zane, Edgardo _eauthor |
| 245 | 0 | 0 | _aEmerging Market Sovereign Ratings and Macro-Fundamentals: Dangerous Divergences |
| 260 | _c2012. | ||
| 500 | _a54 | ||
| 520 | _a"Credit rating agencies (CRAs) have come under intensive scrutiny, having failed to assess the risk of mortgage-related structured products involved in the subprimes crisis of 2008. Since 2010, the steady downgrading of European sovereign debt has also led to much criticism. This paper focuses on the case of emerging markets country ratings, for which abrupt downgrades, preceded by long periods of inflated ratings, also constitute a stylized 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 the search for 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" | ||
| 786 | 0 | _nRevue économique | 63 | 5 | 2012-09-17 | p. 885-916 | 0035-2764 | |
| 856 | 4 | 1 | _uhttps://shs.cairn.info/journal-revue-economique-2012-5-page-885?lang=en&redirect-ssocas=7080 |
| 999 |
_c546093 _d546093 |
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