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Essays in International Finance.

Bago, Laura Desplans.

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Essays in International Finance.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays in International Finance./
作者:	Bago, Laura Desplans.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2016,
面頁冊數:	106 p.
附註:	Source: Dissertation Abstracts International, Volume: 78-03(E), Section: A.
Contained By:	Dissertation Abstracts International78-03A(E).
標題:	Economic theory. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10157804
ISBN:	9781369128215

Essays in International Finance.
Bago, Laura Desplans.

Essays in International Finance. - Ann Arbor : ProQuest Dissertations & Theses, 2016 - 106 p.

Source: Dissertation Abstracts International, Volume: 78-03(E), Section: A.

Thesis (Ph.D.)--University of Rochester, 2016.

This dissertation studies sovereign credit ratings both empirically and theoretically. The first chapter uses an event study approach to examine the impact of sovereign credit ratings' announcements on interest rate spreads. I find that only rating downgrades are associated with statistically significant changes in the spread at the time an announcement is made. Moreover, on the days leading up to an announcement, there are statistically significant changes in the spread for both downgrades and upgrades, which could be either due to market participants anticipating the rating change or other events affecting the spread. Finally, this chapter also studies how changes in the spread differ across announcements of different type.

ISBN: 9781369128215Subjects--Topical Terms:

1556984
Economic theory.

Essays in International Finance.
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245 1 0 $a Essays in International Finance.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2016
300 $a 106 p.
500 $a Source: Dissertation Abstracts International, Volume: 78-03(E), Section: A.
500 $a Advisers: Yan Bai; George Alessandria.
502 $a Thesis (Ph.D.)--University of Rochester, 2016.
520 $a This dissertation studies sovereign credit ratings both empirically and theoretically. The first chapter uses an event study approach to examine the impact of sovereign credit ratings' announcements on interest rate spreads. I find that only rating downgrades are associated with statistically significant changes in the spread at the time an announcement is made. Moreover, on the days leading up to an announcement, there are statistically significant changes in the spread for both downgrades and upgrades, which could be either due to market participants anticipating the rating change or other events affecting the spread. Finally, this chapter also studies how changes in the spread differ across announcements of different type.
520 $a The second chapter begins by documenting two empirical regularities of sovereign credit ratings: on average, a country's spread increases sharply as its rating worsens and spread dispersion within a rating level is larger for worse ratings. Moreover, it shows that countries that suffer a downgrade face a higher probability of a sudden stop in capital inflows in the near future, even after accounting for fundamentals. I then incorporate sovereign credit ratings into a sovereign default model. Ratings play two roles in the model: first, they provide information about the country's fundamentals, and second, a downgrade increases the probability of a sudden stop. In a quantitative exercise calibrated to Greece, this model can capture the empirical regularities of ratings documented previously. Inspired by recent regulations in the European Union, this chapter studies the consequences of restricting the publication of ratings using the model. Under the benchmark calibration and without including their potential effects on the overall probability of sudden stops, these regulations increase the welfare of a country because they (i) provide insurance in the form of cheaper borrowing during times of bad economic fundamentals, and (ii) at the margin, reduce the number of sudden stops.
520 $a The third chapter begins by pointing out that credit rating agencies are explicit that rating stability, together with rating accuracy, is one of their objectives when they issue sovereign credit ratings. This chapter then shows that if rating stickiness is incorporated into the sovereign default model developed in the second chapter, the model no longer predicts excessively frequent changes in ratings. In the model, when ratings are sticky, their value does not only reflect the country's economic fundamentals but also the country's rating history. I show that when ratings are sticky, the model is not only able to replicate the average frequency of changes in ratings but it can also match the cyclical properties of ratings. Moreover, rating stickiness implies that ratings do not necessarily partition the space of spreads. Instead, the same spread may be labeled by several ratings, which is a feature of the data. Finally, this chapter evaluates the effect of regulations which restrict the publication of ratings. I find that when the model incorporates rating stickiness, it predicts lower welfare gains resulting from such regulations compared to the case in which this feature is not added.
590 $a School code: 0188.
650 4 $a Economic theory. $3 1556984
650 4 $a Finance. $3 542899
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710 2 $a University of Rochester. $b Economics. $3 3168372
773 0 $t Dissertation Abstracts International $g 78-03A(E).
790 $a 0188
791 $a Ph.D.
792 $a 2016
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10157804