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How credit ratings affect sovereign credit risk: cross-border evidence in Latin American emerging markets
| Content Provider | Semantic Scholar |
|---|---|
| Author | Ballester, Laura González-Urteaga, Ana |
| Copyright Year | 2017 |
| Abstract | This article builds upon previous literature by providing a better understanding of how contagion changes in bordering sovereign CDS emerging markets resulting from credit rating events. To that end, we follow the novel GVAR methodology using data from six Latin American emerging countries during an extensive sample period from 2004 to 2014. Our findings show evidence for the existence of significant and asymmetric cross-border effects. In particular, a competition effect is observed before the event occurs, indicating that non-event countries suffer (benefit) from upgrades (downgrades) in Brazil, Mexico and Chile (in Argentina and Brazil). In contrast, an imitation effect is observed after rating upgrades in Chile, to the benefit of bordering non-event countries. |
| Starting Page | 200 |
| Ending Page | 214 |
| Page Count | 15 |
| File Format | PDF HTM / HTML |
| DOI | 10.1016/j.ememar.2016.09.004 |
| Alternate Webpage(s) | https://efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2015-Amsterdam/papers/EFMA2015_0412_fullpaper.pdf |
| Alternate Webpage(s) | http://isiarticles.com/bundles/Article/pre/pdf/104114.pdf |
| Alternate Webpage(s) | https://academica-e.unavarra.es/bitstream/handle/2454/34754/2017_EMR%20CreditRatingSovereignCDS.pdf?isAllowed=y&sequence=1 |
| Alternate Webpage(s) | https://doi.org/10.1016/j.ememar.2016.09.004 |
| Volume Number | 30 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
