Sovereign Rating News and Financial Markets Spillovers PDF Download

Author: Mr.Rabah Arezki
Publisher: International Monetary Fund
ISBN: 1455227110
Category : Business & Economics
Languages : en
Pages : 29

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Book Description
This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However, we also find evidence that downgrades to near speculative grade ratings for relatively large economies such as Greece have a systematic spillover effects across Euro zone countries. Rating-based triggers used in banking regulation, CDS contracts, and investment mandates may help explain these results.

Author: Mr.Hamid R Tabarraei
Publisher: International Monetary Fund
ISBN: 1498301754
Category : Business & Economics
Languages : en
Pages : 33

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Book Description
We examine the spillover effects between sovereigns and banks in a model with a heterogeneous banking system. An increase in sovereign’s default risk affects financial intermediaries through two channels in this model. First, banks’ funding costs might increase, inducing higher interest rates on loans and bonds and a cut back in these assets. Second, financial regulator’s risk-weighted asset framework would assign higher weights to lower quality assets, implying a portfolio rebalancing and more deleveraging. While capital adequacy requirements weaken the impact of shocks emerging from the real economy, they amplify the effect of shocks on banks’ balance sheets.

Author: Sabri Boubaker
Publisher: World Scientific
ISBN: 9813236663
Category : Business & Economics
Languages : en
Pages : 828

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Book Description
The objective of this handbook is to provide the readers with insights about current dynamics and future potential transformations of global financial markets. We intend to focus on four main areas: Dynamics of Financial Markets; Financial Uncertainty and Volatility; Market Linkages and Spillover Effects; and Extreme Events and Financial Transformations and address the following critical issues, but not limited to: market integration and its implications; crisis risk assessment and contagion effects; financial uncertainty and volatility; role of emerging financial markets in the global economy; role of complex dynamics of economic and financial systems; market linkages, asset valuation and risk management; exchange rate volatility and firm-level exposure; financial effects of economic, political and social risks; link between financial development and economic growth; country risks; and sovereign debt markets.

Author: Mr.Udaibir S. Das
Publisher: International Monetary Fund
ISBN: 1475505531
Category : Business & Economics
Languages : en
Pages : 128

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Book Description
This paper provides a comprehensive survey of pertinent issues on sovereign debt restructurings, based on a newly constructed database. This is the first complete dataset of sovereign restructuring cases, covering the six decades from 1950–2010; it includes 186 debt exchanges with foreign banks and bondholders, and 447 bilateral debt agreements with the Paris Club. We present new stylized facts on the outcome and process of debt restructurings, including on the size of haircuts, creditor participation, and legal aspects. In addition, the paper summarizes the relevant empirical literature, analyzes recent restructuring episodes, and discusses ongoing debates on crisis resolution mechanisms, credit default swaps, and the role of collective action clauses.

Author: Suk-Joong Kim
Publisher: World Scientific Publishing Company
ISBN: 9789813223578
Category : Business & Economics
Languages : en
Pages : 626

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Book Description
The contents in this volume are based on the program Sets and Computations that was held at the Institute for Mathematical Sciences, National University of Singapore from 30 March until 30 April 2015. This special collection reports on important and recen

Author: Bang Nam Jeon
Publisher: Emerald Group Publishing
ISBN: 1783501715
Category : Business & Economics
Languages : en
Pages : 360

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Book Description
This edited volume on "Global Banking, Financial Markets and Crises" contains original papers that examine issues concerning the changing role of global banks in crises. The papers in this volume also address the impact of global financial crises on multinational banking, financial markets, and emerging economies.

Author: Raquel García Alcubilla
Publisher: OUP Oxford
ISBN: 0191640999
Category : Business & Economics
Languages : en
Pages : 320

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Book Description
Credit rating agencies have been criticized for their role in the financial crisis by understating credit risk. The US subprime mortgage crisis highlighted the systemic relevance of the rating agencies and the deficiencies in their activities; this led to an international consensus to regulate the rating business. Written by those involved in developing European Legislation, this book explains EU Regulation in the context of global initiatives undertaken by the G-20, the Financial Stability Board, and IOSCO to address failures within the rating industry. Through an in-depth analysis of the EU Regulation's requirements on governance, conflicts of interest, methodologies, and transparency, the book provides a clear explanation of how rating agencies operate and how the identified failures have been addressed. Moreover, it examines the supervisory and enforcement powers of ESMA, the EU authority in charge of the registration and oversight of rating agencies. This is complemented with an analysis of guidance from supervisors (ESMA and EBA), IOSCO's recommendations, and US legislation. The book discusses possible new regulatory developments in areas such as the agencies' business model, competition, civil liability, and ratings of sovereign debt, in light of the Euro debt sovereign crisis. It concludes with the authors' support for an enhanced regulatory and oversight coordination at international level and for the implementation of the necessary steps to reduce the existing over-reliance on ratings.

Author: International Monetary Fund. External Relations Dept.
Publisher: International Monetary Fund
ISBN: 1451922353
Category : Business & Economics
Languages : en
Pages : 61

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Book Description
This issue of F&D looks at the growing role of emerging markets. Analysis by the IMF's Ayhan Kose and Eswar Prasad, professor of trade policy at Cornell University, argues that their economic ascendance will enable emerging markets such as Brazil, China, India, and Russia to play a more significant part in global economic governance and take on more responsibility for economic and financial stability. And Vivek Arora and Athanasios Vamvakidis measure how China's economy is increasingly affecting the rest of the world not just its neighbors and main trading partners. In addition, F&D examines a variety of topics that are particularly relevant as the world struggles to shake off the crisis. Alan Blinder and Mark Zandi look at the positive effects of stimulus in the United States. Without it, they say, the United States would still be in recession. IMF researchers look at how countries can get debt under control, and what happens when government debt is downgraded. Other articles examine the human costs of unemployment, how inequality can lead over time to financial crisis, and what changes in the way banks do business could mean for the financial system. Two articles look at Islamic banking, which was put to the test during the global crisis and proved its mettle, and in Faces of the Crisis Revisited, we continue to track how the recession affected several individuals around the world. This issue of F&D profiles Princeton economic theorist Avinash Dixit in the regular People in Economics feature, and Back to Basics looks at externalities.

Author: Mr.Giovanni Dell'Ariccia
Publisher: International Monetary Fund
ISBN: 1484359623
Category : Business & Economics
Languages : en
Pages : 54

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Book Description
This paper reviews empirical and theoretical work on the links between banks and their governments (the bank-sovereign nexus). How significant is this nexus? What do we know about it? To what extent is it a source of concern? What is the role of policy intervention? The paper concludes with a review of recent policy proposals.

Author: Great Britain: Parliament: House of Lords: European Union Committee
Publisher: The Stationery Office
ISBN: 9780108473722
Category : Business & Economics
Languages : en
Pages : 52

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Book Description
The EU Economic and Financial Affairs and International Trade Sub-Committee's inquiry into the credit rating agencies' influence on the EU's sovereign debt crisis concludes that their role in the 2008 banking collapse, which was rightly criticised, should not colour assessments of their decisions on EU sovereign debt. The agencies have caused controversy each time they downgraded further the sovereign debt ratings of Greece, Ireland and Portugal. But the Committee says the downgrades reflect the seriousness of the problems in some Member States. The valid charge against the ratings agencies is not that they precipitated or exacerbated the euro area crisis, but rather that they failed to identify risks in some Member States which, in some cases, had been building for many years. Recommendations include: market investors must take responsibility for their own decisions and should not follow the agencies blindly as the basis for investment decisions; EU Governments should focus on correcting the flawed market structures which give undue weight to the rating agencies' opinions; credit rating agencies must learn from their failure to identify mounting risks in some euro area Member States; the European Commission should not press forward with proposals to establish a publicly funded European credit rating agency, but should consider launching a thorough competition inquiry into the credit rating industry; proposals to give sovereigns more advance warning of rating changes are flawed.