Do sovereign credit ratings matter? The relationship between ratings and capital flows before and after the great recession

被引：1
|
作者：
Baumann, Robert [1 ]
Staveley-O'Carroll, Olena [1 ]
Violante, Gregory [1 ]
机构：
[1] Coll Holy Cross, Dept Econ & Accounting, Worcester, MA 01610 USA
来源：
APPLIED ECONOMICS LETTERS | 2022年 / 29卷 / 11期
关键词：
Sovereign credit ratings; capital flows; equity investment; bond investment;
D O I：
10.1080/13504851.2021.1904098
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We examine the relationship between sovereign credit ratings and international equity and bond inflows pre- and post-Great Recession using 1996-2016 annual data for 53 countries. The ratings are statistically significant for both equity and debt inflows in the full sample. After splitting the data into pre- and post-crisis periods, we find that ratings go from being significant in the 1996-2007 subsample to insignificant in the 2010-2016 period. These results support the hypothesis that adverse reputational effects weakened the value of rating agencies in investors' decision-making process after the Great Recession.
引用
收藏
页码：966 / 973
页数：8
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