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Sovereign Ratings and Migrations: Emerging Markets

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  • Rasha Alsakka

    (Bangor University)

  • Owain ap Gwilym

    (Bangor University)

Abstract

The demand for sovereign ratings in emerging economies has grown rapidly in recent years due to globalisation of financial markets, and investors’ increasing focus on international diversification. This paper investigates the quantitative determinants of sovereign ratings in emerging markets provided by six international agencies. The study also examines the effects of changes in economic and financial conditions of emerging countries on sovereign rating migrations. The findings show that a large set of economic fundamentals is essential in modelling levels and changes in emerging sovereign ratings. Rating behaviour varies across different economic/financial circumstances, highlighting the heterogeneity of emerging sovereign ratings. Evidence of different rating processes across agencies and dissimilar behaviour of upgrades and downgrades is presented.

Suggested Citation

  • Rasha Alsakka & Owain ap Gwilym, 2010. "Sovereign Ratings and Migrations: Emerging Markets," Working Papers 10009, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    • Handle: RePEc:bng:wpaper:10009
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    References listed on IDEAS

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    Cited by:

    1. Sahibzada, Irfan Ullah & Rizwan, Muhammad Suhail & Qureshi, Anum, 2022. "Impact of sovereign credit ratings on systemic risk and the moderating role of regulatory reforms: An international investigation," Journal of Banking & Finance, Elsevier, vol. 145(C).
    2. Alsakka, Rasha & ap Gwilym, Owain, 2012. "Rating agencies' credit signals: An analysis of sovereign watch and outlook," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 45-55.
    3. Apergis, Nicholas, 2015. "Newswire messages and sovereign credit ratings: Evidence from European countries under austerity reform programmes," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 54-62.

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