Sovereign Ratings and Migrations: Emerging Markets

Posted: 22 Oct 2010

See all articles by Rasha Alsakka

Rasha Alsakka

Bangor Business School

Owain Ap Gwilym

Bangor Business School

Date Written: March 1, 2010

Abstract

The demand for sovereign ratings in emerging economies has grown rapidly in recent years due to globalisation of financial markets, and investors’ increasing focus on international diversification. This paper investigates the quantitative determinants of sovereign ratings in emerging markets provided by six international agencies. The study also examines the effects of changes in economic and financial conditions of emerging countries on sovereign rating migrations. The findings show that a large set of economic fundamentals is essential in modelling levels and changes in emerging sovereign ratings. Rating behaviour varies across different economic/financial circumstances, highlighting the heterogeneity of emerging sovereign ratings. Evidence of different rating processes across agencies and dissimilar behaviour of upgrades and downgrades is presented.

Suggested Citation

Alsakka, Rasha and ap Gwilym, Owain, Sovereign Ratings and Migrations: Emerging Markets (March 1, 2010). Available at SSRN: https://ssrn.com/abstract=1695405

Rasha Alsakka (Contact Author)

Bangor Business School ( email )

Bangor Business School
College Road
Gwynedd LL57 2DG, Wales LL57 2DG
United Kingdom

Owain Ap Gwilym

Bangor Business School ( email )

Bangor Business School
College Road
Gwynedd LL57 2DG, Wales LL57 2DG
United Kingdom

HOME PAGE: http://www.bangor.ac.uk/business/staff/owain_ap_gwilym.php.en

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