Abstract

http://ssrn.com/abstract=1997736
 
 

Citations (1)



 


 



Are Rating Agencies Powerful? An Investigation into the Impact and Accuracy of Sovereign Ratings


John Kiff


International Monetary Fund

Sylwia Barbara Nowak


affiliation not provided to SSRN

Liliana B. Schumacher


International Monetary Fund (IMF) - Asia and Pacific Department; George Washington University - Department of International Business

January 2012

IMF Working Paper No. NO.12/23

Abstract:     
We find that Credit Rating Agencies (CRA)'s opinions have an impact in the cost of funding of sovereign issuers and consequently ratings are a concern for financial stability. While ratings produced by the major CRAs perform reasonably well when it comes to rank ordering default risk among sovereigns, there is evidence of rating stability failure during the recent global financial crisis. These failures suggest that ratings should incorporate the obligor's resilience to stress scenarios. The empirical evidence also supports: (i) reform initiatives to reduce the impact of CRAs' certification services; (ii) more stringent validation requirements for ratings if they are to be used in capital regulations; and (iii) more transparency with regard to the quantitative parameters used in the rating process.

Number of Pages in PDF File: 35

Keywords: Sovereign Ratings, Credit Rating Agencies, Credit Default Swap, Credit Risk, Risk Management, Sovereign Debt

JEL Classification: G20, G24, G38

working papers series





Download This Paper

Date posted: February 2, 2012  

Suggested Citation

Kiff, John and Nowak, Sylwia Barbara and Schumacher, Liliana B., Are Rating Agencies Powerful? An Investigation into the Impact and Accuracy of Sovereign Ratings (January 2012). IMF Working Paper No. NO.12/23. Available at SSRN: http://ssrn.com/abstract=1997736

Contact Information

John Kiff (Contact Author)
International Monetary Fund ( email )
700 19th Street, N.W.
Washington, DC 20431
United States
Sylwia Barbara Nowak
affiliation not provided to SSRN
No Address Available
Liliana Schumacher
International Monetary Fund (IMF) - Asia and Pacific Department ( email )
700 19th Street NW
Washington, DC 20431
United States
George Washington University - Department of International Business ( email )
2023 G Street NW
Washington, DC 20052
United States
202-244-3971 (Phone)
202-244-3971 (Fax)
Feedback to SSRN


Paper statistics
Abstract Views: 1,043
Downloads: 265
Download Rank: 68,110
Citations:  1

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.328 seconds