3. Electronic Theses and Dissertations (ETDs) - All submissions
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Item Credit rating downgrades and its impact on a states national economic security(2020) Correia, DominiqueIn the last 35 years, all three major credit rating agencies (Moody’s, Standard & Poor and Fitch), have downgraded over 17 states to ‘junk status’ from an investment grading, with only 8 states recovering back to an investment grade, which has taken between a 1 to 16 years. Hence, the dreaded rating of ‘junk status’ continues to spark fear, dictating news headlines across the globe, as it is said to have a huge implications on national economy and investment in the country, thus, creating a cycle of high economic insecurity which is challenging to overcome. Therefore, my research aimed to investigate: what ways credit rating downgrades impact upon a state’s national economic security. While there is various research on the impact of credit rating agencies, particularly on emerging economies, there remains a gap in literature drawing on the debate on whether downgrades to junk status by all three major credit rating agencies (Moody’s, S&P, and Fitch), impact upon a state’s national economic security, particularly using a qualitative case study analysis. Hence, my study aimed to investigate and draw the causal pathway between the implementation of ‘junk status’, and a state’s national economic security, which focus on economic indicators of: exchange rate, inflation, FDI, debt and government bonds as a measure. I used 3 case studies: Greece, Brazil, and Azerbaijan, providing an in-depth analysis on the impact of a downgrade to ‘junk status’, using a before and after logic restricted within a 6 month time frameItem The effect of credit ratings on emerging market volatility(2017) Bales, Kyle TerrenceThrough the use of an EGARCH model and a fixed effects panel regression, the reaction of emerging market stock and bond volatility to sovereign credit ratings changes is examined. The daily data covers the period of 1990 to 2016 and emerging market crises, such as the 1994 Mexican peso crisis, 1997 Asian financial crises and the global 2008 financial crises. The estimations provide evidence of an asymmetric effect of rating changes on stock volatilities, whereby downgrades have a significant impact, while upgrades have no such effect. For bonds the effect is ambiguous with both upgrades and downgrades having an effect. Downgrades are found to increase both stock and bond market volatility. On aggregate, contagion effects amongst stocks are found for emerging markets, as well as for the continents of Asia and Europe. No such evidence is found for bonds.