IDEAS home Printed from https://ideas.repec.org/a/vls/rojfme/v12y2024i1p115-125.html
   My bibliography  Save this article

The Impact Of Sovereign Credit Ratings On Interest Rates In Emerging Economies – Case From Georgia

Author

Listed:
  • LOMADZE, Davit

    (Caucasus University, Caucasus School of Business, Tbilisi, Georgia)

  • BERISHVILI, Vakhtang

    (Caucasus University, Caucasus School of Business, Tbilisi, Georgia)

Abstract

This study examines the impact of sovereign credit ratings on corporate loan interest rates in Georgia, focusing on the relationship between credit rating announcements and economic variables. Utilizing event study methodology and multiple linear regression with dummy variables, the research analyzes 32 Fitch credit rating announcements from July 2007 to January 2024. The study uses abnormal return analysis by Constant return and Market-adjusted models based on data of corporate loan interest rates and incorporates market rates based on U.S. Treasury bond yields. Key findings reveal a strong correlation (0.82) between Fitch's credit rating scores and corporate loan interest rates, with regression models demonstrating statistically significant results when incorporating two-month anticipation and three-month adjustment periods. Research is unique for Georgian context and provides noteworthy information for financial market participants, policy makers and academics.

Suggested Citation

  • LOMADZE, Davit & BERISHVILI, Vakhtang, 2024. "The Impact Of Sovereign Credit Ratings On Interest Rates In Emerging Economies – Case From Georgia," Journal of Financial and Monetary Economics, Centre of Financial and Monetary Research "Victor Slavescu", vol. 12(1), pages 115-125, October.
    • Handle: RePEc:vls:rojfme:v:12:y:2024:i:1:p:115-125
    as

    Download full text from publisher

    File URL: http://www.icfm.ro/RePEc/vls/vls_pdf_jfme/vol12i1p115-125.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    country risk; sovereign credit ratings; event study; corporate loan interest rates; abnormal return analysis;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    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:vls:rojfme:v:12:y:2024:i:1:p:115-125. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Daniel Mateescu (email available below). General contact details of provider: https://edirc.repec.org/data/cfiarro.html .

    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.