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Foreign Currency Credit Ratings for Emerging Market Economies, Roberto Perrelli, Christian Mulder

Label
Foreign Currency Credit Ratings for Emerging Market Economies, Roberto Perrelli, Christian Mulder
Language
eng
Abstract
This paper examines how ratings for emerging market economies have been set. Given the high degree of autocorrelation in ratings, we use estimators that yield consistent parameters in the presence of such correlation. The results show that rating changes for emerging market economies have been dominated by variables different from those suggested by the literature. We also conclude that some deterioration in the ratings was warranted during the recent crisis episodes in view of the behavior of economic fundamentals, but that the agencies overreacted for several key countries. We find evidence of a structural break: since the Asian crisis period, ratings have been influenced by reserves in relation to short-term debt
resource.governmentPublication
international or intergovernmental publication
Literary Form
non fiction
Main title
Foreign Currency Credit Ratings for Emerging Market Economies
Nature of contents
dictionaries
Responsibility statement
Roberto Perrelli, Christian Mulder
Series statement
IMF Working Papers
Content
Other version