IDEAS home Printed from https://ideas.repec.org/a/eee/matcom/v68y2005i5p449-462.html
   My bibliography  Save this article

Comparative analysis of risk ratings for the East European region

Author

Listed:
  • Hoti, Suhejla

Abstract

Following the aftermath of the 11 September 2001 events, the risks associated with engaging in international dealings have increased substantially, and become more difficult to analyse and predict for decision makers in the economic, financial and political sectors. The importance of country risk analysis is underscored by the existence of several prominent country risk rating agencies, which combine a wide range of qualitative and quantitative information regarding alternative measures of economic, financial and political risk into associated composite risk ratings. However, the accuracy of any rating agency with regard to any or all of these measures is open to question. For this reason, the paper provides a qualitative comparison of country risk rating systems used by seven leading rating agencies. The paper also provides a novel analysis of four risk ratings using univariate and multivariate volatility models for nine East European countries. These ratings are compiled by the International Country Risk Guide, which is the only risk rating agency to provide consistent monthly data for a large number of countries since 1984. The empirical results enable a comparative assessment of the conditional means and volatilities associated with county risk returns, defined as the rate of change in country risk ratings, across the nine East European countries. Moreover, the estimated constant conditional correlation coefficients provide useful information as to whether the countries are similar in terms of shocks to the four risk returns.

Suggested Citation

  • Hoti, Suhejla, 2005. "Comparative analysis of risk ratings for the East European region," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 68(5), pages 449-462.
  • Handle: RePEc:eee:matcom:v:68:y:2005:i:5:p:449-462
    DOI: 10.1016/j.matcom.2005.02.014
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378475405000455
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.matcom.2005.02.014?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Ling, Shiqing & McAleer, Michael, 2003. "Asymptotic Theory For A Vector Arma-Garch Model," Econometric Theory, Cambridge University Press, vol. 19(2), pages 280-310, April.
    2. Ling, Shiqing & McAleer, Michael, 2002. "NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS," Econometric Theory, Cambridge University Press, vol. 18(3), pages 722-729, June.
    3. Jeantheau, Thierry, 1998. "Strong Consistency Of Estimators For Multivariate Arch Models," Econometric Theory, Cambridge University Press, vol. 14(1), pages 70-86, February.
    4. Ling, Shiqing & McAleer, Michael, 2002. "Stationarity and the existence of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 106(1), pages 109-117, January.
    5. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665, National Bureau of Economic Research, Inc.
    6. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
    7. Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, vol. 6(3), pages 318-334, September.
    8. Suhejla Hoti & Michael McAleer, 2004. "An Empirical Assessment of Country Risk Ratings and Associated Models," Journal of Economic Surveys, Wiley Blackwell, vol. 18(4), pages 539-588, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. McAleer, Michael & da Veiga, Bernardo & Hoti, Suhejla, 2011. "Value-at-Risk for country risk ratings," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1454-1463.
    2. Qazi, Abroon & Simsekler, Mecit Can Emre, 2023. "Nexus between drivers of COVID-19 and country risks," Socio-Economic Planning Sciences, Elsevier, vol. 85(C).
    3. Hoti, Suhejla, 2005. "Modelling country spillover effects in country risk ratings," Emerging Markets Review, Elsevier, vol. 6(4), pages 324-345, December.
    4. Abroon Qazi & Mecit Can Emre Simsekler, 2022. "Prioritizing interdependent drivers of financial, economic, and political risks using a data-driven probabilistic approach," Risk Management, Palgrave Macmillan, vol. 24(2), pages 164-185, June.
    5. Zhou, Mei-Jing & Huang, Jian-Bai & Chen, Jin-Yu, 2022. "Time and frequency spillovers between political risk and the stock returns of China's rare earths," Resources Policy, Elsevier, vol. 75(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Suhejla Hoti & Felix Chan & Michael McAleer, 2003. "Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings," CIRJE F-Series CIRJE-F-203, CIRJE, Faculty of Economics, University of Tokyo.
    2. Suhejla Hoti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2009. "Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments," Econometric Reviews, Taylor & Francis Journals, vol. 28(6), pages 522-554.
    3. Lanza, Alessandro & Manera, Matteo & McAleer, Michael, 2006. "Modeling dynamic conditional correlations in WTI oil forward and futures returns," Finance Research Letters, Elsevier, vol. 3(2), pages 114-132, June.
    4. Suhejla Hoti & Michael McAleer & Laurent L. Pauwels, 2004. "Modelling Environmental Risk," IHEID Working Papers 08-2004, Economics Section, The Graduate Institute of International Studies.
    5. Felix Chan & Michael McAleer, 2002. "Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 509-534.
    6. Hoti, Suhejla, 2005. "Modelling country spillover effects in country risk ratings," Emerging Markets Review, Elsevier, vol. 6(4), pages 324-345, December.
    7. Massimiliano Caporin & Michael McAleer, 2011. "Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 65(2), pages 125-163, May.
    8. Chan, Felix & Marinova, Dora & McAleer, Michael, 2004. "Modelling the asymmetric volatility of electronics patents in the USA," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 169-184.
    9. Michael McAleer, 2009. "The Ten Commandments For Optimizing Value‐At‐Risk And Daily Capital Charges," Journal of Economic Surveys, Wiley Blackwell, vol. 23(5), pages 831-849, December.
    10. McAleer, Michael & Chan, Felix & Marinova, Dora, 2007. "An econometric analysis of asymmetric volatility: Theory and application to patents," Journal of Econometrics, Elsevier, vol. 139(2), pages 259-284, August.
    11. Li, Ming-Yuan Leon, 2008. "Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 511-520.
    12. Hoti, Suhejla & McAleer, Michael & Pauwels, Laurent L., 2008. "Multivariate volatility in environmental finance," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 189-199.
    13. Hoti, Suhejla & McAleer, Michael & Chan, Felix, 2005. "Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 69(1), pages 46-56.
    14. Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2010. "Modeling the Effect of Oil Price on Global Fertilizer Prices," KIER Working Papers 722, Kyoto University, Institute of Economic Research.
    15. Felix Chan & Dora Marinova & Michael McAleer, 2004. "Modelling the asymmetric volatility of anti-pollution patents in the USA," Scientometrics, Springer;Akadémiai Kiadó, vol. 59(2), pages 179-197, February.
    16. Michael McAleer & Bernardo da Veiga, 2008. "Single-index and portfolio models for forecasting value-at-risk thresholds," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 217-235.
    17. Shareef, Riaz & McAleer, Michael, 2008. "Modelling international tourism demand and uncertainty in Maldives and Seychelles: A portfolio approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 459-468.
    18. Chang, Chia-Lin, 2015. "Modelling a latent daily Tourism Financial Conditions Index," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 113-126.
    19. Markus Haas, 2018. "A note on the absolute moments of the bivariate normal distribution," Economics Bulletin, AccessEcon, vol. 38(1), pages 650-656.
    20. Chia-Lin Chang & Michael Mcaleer, 2009. "Daily Tourist Arrivals, Exchange Rates and Voatility for Korea and Taiwan," Korean Economic Review, Korean Economic Association, vol. 25, pages 241-267.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:matcom:v:68:y:2005:i:5:p:449-462. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.