Does sovereign creditworthiness affect bank valuations in emerging markets?

Allbwn ymchwil: Cyfraniad at gyfnodolynErthygl

Fersiynau electronig

Dogfennau

Dangosydd eitem ddigidol (DOI)

We analyse the impact of sovereign rating actions by SandP, 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 countries that experienced positive actions. Positive sovereign actions by SandP have the strongest impact on bank valuations. Both negative and positive new rating information, outlook and watch actions are associated with strong market impact. The findings identify clear evidence of links between emerging market governments’ external credit standing and banks’ market valuation.
Iaith wreiddiolSaesneg
Tudalennau (o-i)113-129
CyfnodolynJournal of International Financial Markets, Institutions and Money
Cyfrol36
Dynodwyr Gwrthrych Digidol (DOIs)
StatwsCyhoeddwyd - 10 Chwef 2015

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