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Displaying results 1 to 19 of 19.

  1. Sovereign default, domestic banks, and financial institutions
    Author: Gennaioli, Nicola; Martin, Alberto; Rossi, Stefano
    Published: [2012]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Language: English
    Media type: Book
    Format: Online
    Edition: This version: February, 2012
    Series: Working paper series / IGIER ; n. 462
    Subjects: Sovereign Risk; Capital Flows; Institutions; Financial Liberalization; Sudden Stops
    Scope: 1 Online-Ressource (circa 60 Seiten), Illustrationen
  2. South Africa
    the financial sector-sovereign nexus
    Author: Hesse, Heiko; Miyajima, Ken
    Published: 2022 MAR
    Publisher:  International Monetary Fund, [Washington, D.C.]

    Globally, financial institutions have increased their holdings of domestic sovereign debt, tightening the linkage between the health of the financial system and the level of sovereign debt, or the "financial sector-sovereign nexus," during the... more

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    Orient-Institut Beirut
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    Globally, financial institutions have increased their holdings of domestic sovereign debt, tightening the linkage between the health of the financial system and the level of sovereign debt, or the "financial sector-sovereign nexus," during the ongoing COVID-19 pandemic. In South Africa, the nexus is still relatively moderate, albeit rising, and the increased focus of the Prudential Authority on the associated risks provide reassurance. Options to mitigate such risks through the use of regulatory measures can be explored. However, absent the necessary fiscal consolidation and structural reforms, risks from the nexus to both the financial system and the sovereign will increase

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9798400205446
    Other identifier:
    Series: Working paper / International Monetary Fund ; WP/22, 51
    Subjects: South Africa; Financial Sector; Bank-Sovereign Nexus; Home Bias; Financial Stability; Banking Risk; Sovereign Risk; Capital Flows; Bank Regulation; Sovereign Debt; Banks; Depository Institutions; Financial Markets and the Macroeconomy; Micro Finance Institutions; Mortgages; Industries: Financial Services; Investments: Bonds; Economics: General; Public Finance; Investments: General; Banks and Banking; Financial Institutions and Services: Government Policy and Regulation; Debt; Debt Management; Macroeconomics; General Financial Markets: General (includes Measurement and Data); Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill; Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors; Economic & financial crises & disasters; Economics of specific sectors; Public finance & taxation; Investment & securities; Financial services law & regulation; Finance; Public debt; Sovereign bonds; Financial institutions; Domestic debt; Credit risk; Financial regulation and supervision; Currency crises; Informal sector; Economics; Debts, Public; Bonds; Government securities; Financial risk management; Financial services industry
    Scope: 1 Online-Ressource (circa 21 Seiten), Illustrationen
  3. Welfare gains of bailouts in a sovereign default model
    Author: Pancrazi, Roberto; Seoane, Hernán D.; Vukotic, Marija
    Published: 18 December 2019
    Publisher:  Bank of Finland, Helsinki

    We examine the welfare effects of bailouts in economies exposed to sovereign default risk. When a government of a small open economy requests a bailout from an international financial institution, it receives a non-defaultable loan of size G that... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 685
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    We examine the welfare effects of bailouts in economies exposed to sovereign default risk. When a government of a small open economy requests a bailout from an international financial institution, it receives a non-defaultable loan of size G that comes with imposed debt limits. The government endogenously asks for the bailout during recessions and repays it when the economy recovers. Hence, the bailout acts as an imperfect state contingent asset that makes the economy better off. The bailout duration is endogenous and increases with its size. The bailout size creates non-trivial tradeoffs between receiving a larger amount of relatively cheap resources precisely in times of need on the one hand, and facing longer-lasting financial constraints and accumulated interest payments, on the other hand. We characterize and quantify these tradeoffs and document that welfare gains of bailouts are hump-shaped in the size of bailout loans.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789523233072
    Other identifier:
    hdl: 10419/212459
    Series: Bank of Finland research discussion papers ; 2019, 25
    Subjects: Default; Sovereign Risk; Bailouts
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  4. Covid 19: a new challenge for the EMU?
    Author: Delatte, Anne-Laure; Guillaume, Alexis
    Published: [2020]
    Publisher:  CEPII, Paris

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / CEPII ; no 2020, 08 (July 2020)
    Subjects: Sovereign Risk; European Monetary Union; Covid; Public Policy
    Scope: 1 Online-Ressource (circa 25 Seiten), Illustrationen
  5. The core, the periphery, and the disaster
    corporate-sovereign nexus in COVID-19 times
    Author: Jappelli, Ruggero; Pelizzon, Loriana; Plazzi, Alberto
    Published: 2021
    Publisher:  Swiss Finance Institute, Geneva

    We show that the COVID-19 pandemic triggered a surge in the elasticity of non-financial corporate to sovereign credit default swaps in core EU countries, characterized by strong fiscal capacity. For peripheral countries with lower budgetary... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We show that the COVID-19 pandemic triggered a surge in the elasticity of non-financial corporate to sovereign credit default swaps in core EU countries, characterized by strong fiscal capacity. For peripheral countries with lower budgetary slackness, the pandemic had essentially no impact on such elasticity. This evidence is consistent with the disaster-induced repricing of government support, which we model through a rare-disaster asset pricing framework with bailout guarantees and defaultable public debt. The model implies that risk-adjusted guarantees in the core were 2.6 times those in the periphery, suggesting that fiscal capacity buffers provide relief to firms’ financing costs

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Edition: First draft: January 2021
    Series: Research paper series / Swiss Finance Institute ; no 21, 30
    Subjects: COVID-19; Credit Risk; Sovereign Risk; Fiscal Capacity; Bailout
    Scope: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  6. The core, the periphery, and the disaster
    corporate-sovereign nexus in COVID-19 times
    Author: Jappelli, Ruggero; Pelizzon, Loriana; Plazzi, Alberto
    Published: [2021]
    Publisher:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, [Frankfurt am Main]

    We show that the COVID-19 pandemic triggered a surge in the elasticity of non-financial corporate to sovereign credit default swaps in core EU countries, characterized by strong fiscal capacity. For peripheral countries with lower budgetary... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We show that the COVID-19 pandemic triggered a surge in the elasticity of non-financial corporate to sovereign credit default swaps in core EU countries, characterized by strong fiscal capacity. For peripheral countries with lower budgetary slackness, the pandemic had essentially no impact on such elasticity. This evidence is consistent with the disaster-induced repricing of government support, which we model through a rare-disaster asset pricing framework with bailout guarantees and defaultable public debt. The model implies that risk-adjusted guarantees in the core were 2.6 times those in the periphery, suggesting that fiscal capacity buffers provide relief to firms' financing costs.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/247667
    Series: SAFE working paper ; no. 331 (December 2021)
    Subjects: COVID-19; Credit Risk; Sovereign Risk; Fiscal Capacity; Bailout
    Scope: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  7. Four essays on financial markets and sovereign risk: how the Euro crisis, commodities and climate change affect countries' financing costs
    Author: Böhm, Hannes
    Published: 2021

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    Source: Union catalogues
    Contributor: Eichler, Stefan (AkademischeR BetreuerIn); Thum, Marcel (AkademischeR BetreuerIn)
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    RVK Categories: QR 500
    Subjects: Financial Markets; Sovereign Risk; Climate Change; Euro crisis
    Scope: 1 Online-Ressource (circa 263 Seiten), Illustrationen
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    Dissertation, Technische Universität Dresden, 2021
  8. Global commodity markets and sovereign risk across 150 years
    Author: Domínguez-Cardoza, Angélica; Garamow, Adelina; Meyer, Josefin
    Published: 2022
    Publisher:  DIW Berlin, German Institute for Economic Research, Berlin

    How do commodity price movements affect sovereign default risk over the long-run? Using a novel dataset covering 41 countries and 42 raw commodities, we take a comprehensive long-run view to shed light on this so far understudied relationship between... more

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    How do commodity price movements affect sovereign default risk over the long-run? Using a novel dataset covering 41 countries and 42 raw commodities, we take a comprehensive long-run view to shed light on this so far understudied relationship between commodity risk and sovereign risk across 150 years. We create a novel country-specific commodity price index that allows us to take advantage of countries’ variation in their commodity export compositions. Our results are twofold: first, commodity price fluctuations show a persistent association with sovereign borrowing costs for countries that are commodity export dependent across the last one and a half centuries. Second, historically this relationship was driven by agricultural price movements; today it is driven by mineral and energy price movements.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/272218
    Series: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 2020
    Subjects: Sovereign Risk; Commodity prices
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  9. Transmission of sovereign risk in the euro crisis
    Author: Brutti, Filippo; Filippo, Sauré
    Published: 2012
    Publisher:  Study Center Gerzensee, Gerzensee

    We assess the role of financial linkages for the transmission of sovereign risk in the Euro Crisis. Building on the narrative approach by Romer and Romer (1989), we use financial news to identify structural shocks in a VAR model of daily sovereign... more

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    We assess the role of financial linkages for the transmission of sovereign risk in the Euro Crisis. Building on the narrative approach by Romer and Romer (1989), we use financial news to identify structural shocks in a VAR model of daily sovereign CDS for eleven European countries. To estimate how these shocks transmit across borders, we use data on cross-country bank exposures to sovereign debt. Our results indicate that exposure to Greek sovereign debt and debt of Greek banks constitute important transmission channels. Overall, financial linkages explain up to two thirds of transmission of sovereign debt in the Euro Crisis.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/128074
    Series: Working paper / Study Center Gerzensee ; 12.01
    Subjects: Länderrisiko; Ansteckungseffekt; Haushaltsdefizit; Staatsbankrott; Griechenland; Schock; Haushaltsdefizit; Eurozone; EU-Staaten; Cross-country Transmission; Sovereign Risk; Financial Linkages; Euro Crisis; Narrative Approach
    Scope: Online-Ressource (45 S.), graph. Darst.
  10. ECB interventions in distressed sovereign debt markets : The case of Greek bonds
    Author: Trebesch, Christoph; Zettelmeyer, Jeromin
    Published: 2018
    Publisher:  Kiel Institute for the World Economy (IfW), Kiel

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  11. South Africa
    the financial sector-sovereign nexus
    Author: Hesse, Heiko; Miyajima, Ken
    Published: 2022 MAR
    Publisher:  International Monetary Fund, [Washington, D.C.]

    Globally, financial institutions have increased their holdings of domestic sovereign debt, tightening the linkage between the health of the financial system and the level of sovereign debt, or the "financial sector-sovereign nexus," during the... more

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    Globally, financial institutions have increased their holdings of domestic sovereign debt, tightening the linkage between the health of the financial system and the level of sovereign debt, or the "financial sector-sovereign nexus," during the ongoing COVID-19 pandemic. In South Africa, the nexus is still relatively moderate, albeit rising, and the increased focus of the Prudential Authority on the associated risks provide reassurance. Options to mitigate such risks through the use of regulatory measures can be explored. However, absent the necessary fiscal consolidation and structural reforms, risks from the nexus to both the financial system and the sovereign will increase

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9798400205446
    Other identifier:
    Series: Working paper / International Monetary Fund ; WP/22, 51
    Subjects: South Africa; Financial Sector; Bank-Sovereign Nexus; Home Bias; Financial Stability; Banking Risk; Sovereign Risk; Capital Flows; Bank Regulation; Sovereign Debt; Banks; Depository Institutions; Financial Markets and the Macroeconomy; Micro Finance Institutions; Mortgages; Industries: Financial Services; Investments: Bonds; Economics: General; Public Finance; Investments: General; Banks and Banking; Financial Institutions and Services: Government Policy and Regulation; Debt; Debt Management; Macroeconomics; General Financial Markets: General (includes Measurement and Data); Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill; Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors; Economic & financial crises & disasters; Economics of specific sectors; Public finance & taxation; Investment & securities; Financial services law & regulation; Finance; Public debt; Sovereign bonds; Financial institutions; Domestic debt; Credit risk; Financial regulation and supervision; Currency crises; Informal sector; Economics; Debts, Public; Bonds; Government securities; Financial risk management; Financial services industry
    Scope: 1 Online-Ressource (circa 21 Seiten), Illustrationen
  12. Repatriation of debt in the Euro crisis
    evidence for the secondary market theory
    Author: Brutti, Filippo; Sauré, Philip
    Published: 2014
    Publisher:  Swiss National Bank, Zurich

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    Series: SNB working papers ; 2014,3
    Subjects: Debt Repatration; Sovereign Risk; Secondary Markets; Euro Crisis; Portfolio Home-Bias
    Scope: 50 S., graph. Darst.
    Notes:

    Parallel als Online-Ausg. erschienen
  13. Sovereign risk and asset market dynamics in the euro area
    Author: Perego, Erica
    Published: [2018]
    Publisher:  CEPII, Paris

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 606
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / CEPII ; no 2018, 18 (November 2018)
    Subjects: Currency Union; International Financial Markets; Sovereign Risk; General Equilibrium
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  14. Repatriation of debt in the Euro crisis
    evidence for the secondary market theory
    Author: Brutti, Filippo; Sauré, Philip
    Published: 2014
    Publisher:  Swiss National Bank, Zurich

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    1 B 158979
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 1558 (2014,3)
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    Series: SNB working papers ; 2014,3
    Subjects: Debt Repatration; Sovereign Risk; Secondary Markets; Euro Crisis; Portfolio Home-Bias
    Scope: 50 S., graph. Darst.
    Notes:

    Parallel als Online-Ausg. erschienen
  15. Contingent liabilities and sovereign risk
    evidence from banking sectors
    Author: Arslanalp, Serkan; Liao, Yin
    Published: 2013
    Publisher:  Centre for Applied Macroeconomic Analysis, The Australian National Univ., Canberra

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Keine Speicherung
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CAMA working paper series ; 2013,43
    Subjects: Bankrisiko; Schuldenübernahme; Haftung; Vergleich; Länderrisiko; Welt; Contingent Liabilities; Sovereign Risk; Banking Sector
    Scope: Online-Ressource (52 S.)
  16. A critique on the proposed use of external sovereign credit ratings in Basel II
    Author: Kräussl, Roman
    Published: 2003
    Publisher:  Center for Financial Studies, Frankfurt, Main

    This paper deals with the proposed use of sovereign credit ratings in the Basel Accord on Capital Adequacy (Basel II) and considers its potential effect on emerging markets financing. It investigates in a first attempt the consequences of the planned... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    This paper deals with the proposed use of sovereign credit ratings in the Basel Accord on Capital Adequacy (Basel II) and considers its potential effect on emerging markets financing. It investigates in a first attempt the consequences of the planned revisions on the two central aspects of international bank credit flows: the impact on capital costs and the volatility of credit supply across the risk spectrum of borrowers. The empirical findings cast doubt on the usefulness of credit ratings in determining commercial banks capital adequacy ratios since the standardized approach to credit risk would lead to more divergence rather than convergence between investment-grade and speculative-grade borrowers. This conclusion is based on the lateness and cyclical determination of credit rating agencies sovereign risk assessments and the continuing incentives for short-term rather than long-term interbank lending ingrained in the proposed Basel II framework.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/72649
    Series: CFS Working Paper ; 2003/23
    Subjects: Sovereign Risk; Credit Ratings; Basel II
    Scope: Online-Ressource (38 S.), graph. Darst.
  17. Do changes in sovereign credit ratings contribute to financial contagion in emerging market crises?
    Author: Kräussl, Roman
    Published: 2003
    Publisher:  Center for Financial Studies, Frankfurt, Main

    Credit rating changes for long-term foreign currency debt may act as a wake-up call with up-grades and downgrades in one country affecting other financial markets within and across national borders. Such a potential (contagious) rating effect is... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 108 (2003,22)
    Inter-library loan:
    No inter-library loan

     

    Credit rating changes for long-term foreign currency debt may act as a wake-up call with up-grades and downgrades in one country affecting other financial markets within and across national borders. Such a potential (contagious) rating effect is likely to be stronger in emerg-ing market economies, where institutional investors problems of asymmetric information are more present. This empirical study complements earlier research by explicitly examining cross-security and cross-country contagious rating effects of credit rating agencies sovereign risk assessments. In particular, the specific impact of sovereign rating changes during the financial turmoil in emerging markets in the latter half of the 1990s has been examined. The results indicate that sovereign rating changes in a ground-zero country have a (statistically) significant impact on the financial markets of other emerging market economies although the spillover effects tend to be regional.

     
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    Content information
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/72653
    Series: CFS Working Paper ; 2003/22
    Subjects: Sovereign Risk; Credit Ratings; Financial Contagion
    Scope: Online-Ressource (42 S.), graph. Darst.
  18. Do credit rating agencies add to the dynamics of emerging market crises?
    Author: Kräussl, Roman
    Published: 2003
    Publisher:  Center for Financial Studies, Frankfurt, Main

    The experience in the period during and after the Asian crisis of 1997-98 has provoked an extensive debate about the credit rating agencies evaluation of sovereign risk in emerging markets lending. This study analyzes the role of credit rating... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 108 (2003,18)
    Inter-library loan:
    No inter-library loan

     

    The experience in the period during and after the Asian crisis of 1997-98 has provoked an extensive debate about the credit rating agencies evaluation of sovereign risk in emerging markets lending. This study analyzes the role of credit rating agencies in international financial markets, particularly whether sovereign credit ratings have an impact on the financial stability in emerging market economies. The event study and panel regression results indicate that credit rating agencies have substantial influence on the size and volatility of emerging markets lending. The empirical results are significantly stronger in the case of government s downgrades and negative imminent sovereign credit rating actions such as credit watches and rating outlooks than positive adjustments by the credit rating agencies while by the market participants anticipated sovereign credit rating changes have a smaller impact on financial markets in emerging economies.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/72648
    Series: CFS Working Paper ; 2003/18
    Subjects: Sovereign Risk; Credit Ratings; Financial Crises
    Scope: Online-Ressource (47 S.), graph. Darst.
  19. Government default, bonds, and bank lending around the world
    what do the data say?
    Author: Gennaioli, Nicola; Martin, Alberto; Rossi, Stefano
    Published: July 2016
    Publisher:  GSE, Graduate School of Economics, Barcelona

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Barcelona GSE working paper series ; no 910
    Subjects: Sovereign Risk; Sovereign Default; Government Bonds
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen