scholarly journals Do Sovereign Credit Ratings Influence Regional Stock and Bond Market Interdependencies in Emerging Countries?

2017 ◽  
pp. 517-546
Author(s):  
Rachel Christopher ◽  
Suk-Joong Kim ◽  
Eliza Wu
Keyword(s):  
Credit Ratings ◽  
Emerging Countries ◽  
Bond Market ◽  
Sovereign Credit ◽  
Sovereign Credit Ratings

Sovereign credit ratings and bank funding cost: Evidence from Africa

2017 ◽  
Vol 42 ◽  
pp. 887-899 ◽  
Author(s):  
Mary Opoku Mensah ◽  
Elikplimi Komla Agbloyor ◽  
Simon Kwadzogah Harvey ◽  
Vera Ogeh Fiador
Keyword(s):  
Credit Ratings ◽  
Sovereign Credit ◽  
Sovereign Credit Ratings ◽  
Bank Funding ◽  
Funding Cost

Sovereign credit ratings, relative risk ratings and private capital flows: evidence from emerging and frontier markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Supriyo De ◽  
Sanket Mohapatra ◽  
Dilip Ratha
Keyword(s):  
Relative Risk ◽  
Capital Flows ◽  
Global Financial Crisis ◽  
Credit Ratings ◽  
Private Capital ◽  
Content Type ◽  
Sovereign Credit ◽  
Sovereign Credit Ratings ◽  
Private Capital Flows ◽  
The Impact

Purpose Relative risk ratings measure the degree by which a country’s sovereign rating is better or worse than other countries (Basu et al., 2013). However, the literature on the impacts of sovereign ratings on capital flows has not covered the role of relative risk ratings. This paper aims to examine the effect of relative risk ratings on private capital flows to emerging and frontier market economies is filled. In the analysis, the effect of relative risk ratings to that of absolute sovereign ratings in influencing private capital flows are compared. Design/methodology/approach This paper examines the influence of sovereign credit ratings and relative risk ratings on private capital flows to 26 emerging and frontier market economies using quarterly data for a 20-year period between 1998 and 2017. A dynamic panel regression model is used to estimate the relationship between ratings and capital flows after controlling for other factors that can influence capital flows such as growth and interest rate differentials and global risk conditions. Findings The analysis finds that while absolute sovereign credit ratings were an important determinant of net capital inflows prior to the global financial crisis in 2008, the influence of relative risk ratings increased in the post-crisis period. The post-crisis effect of relative ratings appears to be driven mostly by portfolio flows. The main results are robust to an alternate measure of capital flows (gross capital flows instead of net capital flows), to the use of fixed gross domestic product weights in calculating relative risk ratings and to the potential endogeneity of absolute and relative ratings. Originality/value This study advances the literature on being the first attempt to understand the impact of relative risk ratings on capital flows and also comparing the impact of absolute sovereign ratings and relative risk ratings on capital flows in the pre- and post-global financial crisis periods. The findings imply that emerging and frontier markets need to pay greater attention to their relative economic performance and not just their sovereign ratings.

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