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Rating Agencies and Sovereign Debt Rollover
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Mark Carlson
Veröffentlicht/Copyright:
13. September 2006
In order to explore how credit ratings may affect financial markets, we analyze a global game model of debt roll-over in which heterogeneous investors act strategically. We find that the addition of the rating agency has a non-monotonic effect on the probability of default and the magnitude of the response of capital flows to changes in fundamentals. We also establish that introducing a rating agency can bring multiple equilibria to a market that otherwise would have a unique equilibrium.
Published Online: 2006-9-13
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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Artikel in diesem Heft
- Topics Article
- Counter-Cyclical and Counter-Inflation Monetary Policy Rules and Comovement Properties of Money Growth
- Hicks Neutral Technical Change Revisited: CES Production Function and Information of General Order
- R&D Subsidies and the Surplus Appropriability Problem
- Literacy and Growth
- The Fed's Preference for Policy Rate Smoothing: Overestimation Due to Misspecification?
- Inflation Targeting in Western Europe
- On the Political Economy of Housing's Tax Status
- Rating Agencies and Sovereign Debt Rollover
- How Does the New Keynesian Monetary Model Fit in the U.S. and the Eurozone? An Indirect Inference Approach
- Fertility Choice and Semi-Endogenous Growth: Where Becker Meets Jones
- Equilibrium Wage Dispersion: An Example
- Exchange Rate Regimes, Specialization and Trade Volume
- A Refinement in the Specification of Empirical Macroeconomic Models as an Extension to the EBA Procedure
- Education, Growth, and Redistribution in the Presence of Capital Flight
- Measuring the Dissemination of Volatility across Levels of Development
Schlagwörter für diesen Artikel
credit rating;
rating agency;
sovereign debt;
sovereign default;
global game
Artikel in diesem Heft
- Topics Article
- Counter-Cyclical and Counter-Inflation Monetary Policy Rules and Comovement Properties of Money Growth
- Hicks Neutral Technical Change Revisited: CES Production Function and Information of General Order
- R&D Subsidies and the Surplus Appropriability Problem
- Literacy and Growth
- The Fed's Preference for Policy Rate Smoothing: Overestimation Due to Misspecification?
- Inflation Targeting in Western Europe
- On the Political Economy of Housing's Tax Status
- Rating Agencies and Sovereign Debt Rollover
- How Does the New Keynesian Monetary Model Fit in the U.S. and the Eurozone? An Indirect Inference Approach
- Fertility Choice and Semi-Endogenous Growth: Where Becker Meets Jones
- Equilibrium Wage Dispersion: An Example
- Exchange Rate Regimes, Specialization and Trade Volume
- A Refinement in the Specification of Empirical Macroeconomic Models as an Extension to the EBA Procedure
- Education, Growth, and Redistribution in the Presence of Capital Flight
- Measuring the Dissemination of Volatility across Levels of Development
