Foreign Currency Credit Ratings for Emerging Market Economies
IMF Working Papers, December 1, 2001
Source details
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- Foreign Currency Credit Ratings for Emerging Market Economies
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Bibliographic details
- Authors: Roberto Perrelli, Christian B. Mulder
- Published: December 1, 2001
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451859713.001
Overview
- This paper examines how ratings for emerging market economies have been set.
- Key focus areas include determinants of rating changes, estimation techniques that account for autocorrelation, and evaluation of ratings behavior during crisis episodes.
Methodology
- Given the high degree of autocorrelation in ratings, the authors use estimators that yield consistent parameters in the presence of such correlation.
- Emphasis on estimation techniques suited to ratings data (autocorrelated dependent variable).
Key Findings
- Rating changes for emerging market economies have been dominated by variables different from those suggested by the literature.
- Some deterioration in the ratings was warranted during the recent crisis episodes in view of the behavior of economic fundamentals.
- The agencies overreacted for several key countries.
- Evidence of a structural break: since the Asian crisis period, ratings have been influenced by reserves in relation to short-term debt.
Themes and Subject Areas Addressed
- Asset and liability management
- Credit ratings
- Debt rescheduling
- Emerging and frontier financial markets
- Financial crises
- Financial markets
- Inflation, Money, Prices
Keywords (as provided)
- Asia and Pacific, credit rating, Credit ratings, Debt rescheduling, default rating c, economic crises., Emerging and frontier financial markets, emerging market, Emerging markets, estimate, estimation technique, estimations of rating, foreign currency credit ratings, Inflation, model estimate, POLS estimation, rating, rating agency, rating change, ratio, Standard and Poor's, WP
Publication and Access Note
- Working Paper by Roberto Perrelli and Christian B. Mulder, dated December 1, 2001.
Roberto Perrelli, and Christian B. Mulder "Foreign Currency Credit Ratings for Emerging Market Economies", IMF Working Papers 2001, 191 (2001), accessed 9/17/2026, https://doi.org/10.5089/9781451859713.001
Content in this bundle
- Foreign Currency Credit Ratings for Emerging Market Economies - WP/01/191