Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?
研究了主权债务评级和展望变化如何影响新兴经济体的金融市场，发现评级变动不仅影响债券，还影响股票，并引发跨国传染，尤其在危机和不透明经济体中影响更强。
Changes in sovereign debt ratings and outlooks affect financial markets in emerging economies. They affect not only the instrument being rated (bonds) but also stocks. They directly impact the markets of the countries rated and generate cross-country contagion. The effects of rating and outlook changes are stronger during crises, in nontransparent economies, and in neighboring countries. Upgrades tend to take place during market rallies, whereas downgrades occur during downturns, providing support to the idea that credit rating agencies contribute to the instability in emerging financial markets. Copyright 2002, Oxford University Press.