Georgetown University LogoGeorgetown University Library LogoDigitalGeorgetown Home
    • Login
    View Item 
    •   DigitalGeorgetown Home
    • Georgetown University Institutional Repository
    • McCourt School of Public Policy
    • Graduate Theses and Dissertations - Public Policy
    • View Item
    •   DigitalGeorgetown Home
    • Georgetown University Institutional Repository
    • McCourt School of Public Policy
    • Graduate Theses and Dissertations - Public Policy
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    SOVEREIGN CREDIT RATING NEWS AND FINANCIAL MARKETS FLUCTUATIONS: EVIDENCE FROM THE EUROPEAN MARKET

    Cover for SOVEREIGN CREDIT RATING NEWS AND FINANCIAL MARKETS FLUCTUATIONS: EVIDENCE FROM THE EUROPEAN MARKET
    View/Open
    View/Open: Lai_georgetown_0076M_12204.pdf (800kB) Bookview

    Creator
    Lai, Yun
    Advisor
    Christian, John T
    Abstract
    Since the 2008 financial crisis, credit rating agencies have faced criticism that their ratings led to and exacerbated the financial crisis rather than helping the market have better knowledge of potential risks embedded in the institutions and products and prevent the crisis from happening.
     
    This paper analyzed whether rating news (upgraded or downgraded ratings, positive or negative outlook or watch announcements) from major credit rating agencies, such as Standard & Poor's (S&P), Fitch, and Moody's, enlarged fluctuation in the markets. The research uses a modified Speculative Market Pressure (SMP) index (Kraussl, 2003) as a key measurement for market fluctuation. Credit rating news of 26 European countries from the three major rating agencies was included. An ordinary least squares (OLS) analysis showed that credit rating news provides predictive information on market fluctuation, especially upgraded rating changes, but not downgraded ratings, positive outlook/watch news, or negative outlook/watch news. In addition, this research discusses what regulation policies could be introduced to mitigate abnormal fluctuations, especially in a financial crisis.
     
    Description
    M.P.P.
    Permanent Link
    http://hdl.handle.net/10822/558644
    Date Published
    2013
    Subject
    credit rating agencies; European; fluctuation; Finance; Economics; Public policy; Finance; Economics; Public policy;
    Type
    thesis
    Publisher
    Georgetown University
    Extent
    36 leaves
    Collections
    • Graduate Theses and Dissertations - Public Policy
    Metadata
    Show full item record

    Related items

    Showing items related by title, author, creator and subject.

    • Cover for The Effect of Macroeconomic Fluctuations on Health:  Evidence from 2000-2010

      The Effect of Macroeconomic Fluctuations on Health: Evidence from 2000-2010 

      Giovannelli, Justin (Georgetown University, 2013)
      Recessions are broadly understood to impose negative consequences on the populations who experience them, but recent scholarship shows, counterintuitively, that some measures of health improve as the economy worsens. Using ...
    Related Items in Google Scholar

    Georgetown University Seal
    ©2009 - 2023 Georgetown University Library
    37th & O Streets NW
    Washington DC 20057-1174
    202.687.7385
    digitalscholarship@georgetown.edu
    Accessibility
     

     

    Browse

    All of DigitalGeorgetownCommunities & CollectionsCreatorsTitlesBy Creation DateThis CollectionCreatorsTitlesBy Creation Date

    My Account

    Login

    Statistics

    View Usage Statistics

    Georgetown University Seal
    ©2009 - 2023 Georgetown University Library
    37th & O Streets NW
    Washington DC 20057-1174
    202.687.7385
    digitalscholarship@georgetown.edu
    Accessibility