Are rating agencies powerful? : an investigation into the impact and accuracy of sovereign ratings /

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Bibliographic Details
Author / Creator:	Kiff, John, author.
Imprint:	[Washington, D.C.] : International Monetary Fund, ©2012.
Description:	1 online resource (35 pages) : illustrations
Language:	English
Series:	IMF working paper, 1018-5941 ; WP/12/23 IMF working paper ; WP/12/23.
Subject:	Credit ratings -- Econometric models. Country risk -- Econometric models. Country risk -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12499962

Hidden Bibliographic Details
Other authors / contributors:	Nowak, Sylwia, author. Schumacher, Liliana, author. International Monetary Fund. Monetary and Capital Markets Department, issuing body.
ISBN:	1463931859 9781463931858 9781463931858
Notes:	At head of title: Monetary and Capital Markets Department. Title from PDF title page (IMF Web site, viewed January 20, 2012). Includes bibliographical references.
Summary:	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.
Other form:	Print Version: 9781463931858
Standard no.:	10.5089/9781463931858.001

Table of Contents:

Cover; Contents; I. Introduction; II. Do Ratings Matter?; A. The issues; B. Literature Review; C. Data Description and Methodology; Tables; 1. Univariate Regressions of Log Spreads on Rating Categories; Figures; 1. Average CDS Spread and Ratings for Countries Rated by Moody's, 2005-2010; D. Results; 2. The Empirical Tests of Rating Information Value; 2. Impact of Change in Sovereign Ratings and Outlooks on CDS Spread; III. Accuracy and Stability of Ratings; A. What do Ratings Measure; 3. Multi-Agency Rating Dynamics; B. An Examination of Rating Accuracy.
3. Ratings One Year Prior to Sovereign Default, 1975-20094. Sovereign Foreign-Currency Rating Performance by Standard & Poor's; C. An Examination of Rating Stability; 5. Average Proportion of S & P Sovereign Ratings Unchanged Over One Year; 6. Average Proportion of S & P Sovereign Ratings Downgraded More Than Two Notches Over One Year; 7. Asian Crisis: Sovereigns Rated by Moody's between July 31, 1997 and December 31, 1998; 4. Sovereign Rating "Failures" during the 1997-1998 Asiain Crisis; 8. Current Crisis: Sovereigns Rated by Moody's between July 31, 2007 and June 30, 2010.
IV. Some Policy Recommendations5. Sovereign Rating "Failures" during the 2008-2010 Crisis; References; Appendixes; 1. Analysis of One-year Fitch and S & P Sovereign Rating Changes; 2. Sovereign Downgrades and Upgrades During the Asian and Global Crisis.

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