This paper analyzes alternative models for emerging sovereign ratings. Although a small number of economic fundamentals explain ratings reasonably well, variations in those economic fundamentals are themselves explained by a small number of world factors. On the other hand, global financial...

If rating agencies add no new information to markets, their actions are not a public policy concern. But as rating changes may be anticipated, testing whether ratings add value is not straightforward. This paper argues that ratings and spreads are both noisy signals of fundamentals and suggest...

If rating agencies add no new information to markets, their actions are not a public policy concern. But as rating changes may be anticipated, testing whether ratings add value is not straightforward. This paper argues that ratings and spreads are both noisy signals of fundamentals and suggest...

This paper analyzes alternative models for emerging sovereign ratings. Although a small number of economic fundamentals explain ratings reasonably well, variations in those economic fundamentals are themselves explained by a small number of world factors. On the other hand, global financial...

This paper examines the dynamic relationship between stock returns and exchange rate changes using daily data from March 3, 1995 to December 31, 2001 for six East Asian countries. We estimate conditional correlations using the multivariate GARCH-DCC model in order to disclose the relationship...

This paper investigates the occurrence of dependency between foreign exchange markets and stock markets in emerging market (EM) countries by testing volatility spillovers of asset returns using a BEKK GARCH (1,1) model. The author modifies the classical BEKK GARCH model in order to study the...

This paper deals with a wide scope of issues, starting with the post-crisis recovery of Russia's financial market. The author analyzes the market for shares issued by Russian companies, investigates dependence on the global conjuncture of prices and inflow and outflow of foreign portfolio...

This empirical study examined financial deepening and economic development in Nigeria between 1986 and 2007. The central focus is that a high level of financial deepening is a necessary condition for accelerating growth in an economy. This is because of the central role of the financial system...

This study investigates equity liquidity variation with a funding constraint across 38 countries and examines whether the effectiveness of a country’s legal institutions is systematically related to cross-country differences in fragile equity liquidity. Our results show that firms from...