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...

This unique study employs a rich dataset of ratings from six international agencies to investigate the causes of sovereign split ratings in emerging countries. Three reasons are identified in explaining the relatively high frequency of disagreement across agencies on emerging sovereign ratings....

This paper examines the interaction between the equity index option market and sovereign credit ratings. S&P and Moody's signals exhibit strong impact on option-implied volatility while Fitch's influence is less significant. Moody's downgrades reduce the market uncertainty over the rated...

We analyse the impact of sovereign rating actions by S&P, Moody's and Fitch on bank valuations in emerging markets. We find strong evidence of a rating channel for the transmission of sovereign risk to bank valuations. Collateral and guarantee channels play modest roles, but are more relevant to...

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...