Series: IMF Working Papers
Author(s): Roberto Perrelli , and Christian Mulder
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 December 2001
Keywords: foreign currency credit ratings, economic crises., statistics, autocorrelation, equation, short-term debt, covariance, International Lending and Debt Problems, General Financial Markets: Government Policy and Regulation, Economic Crises,
This paper examines how ratings for emerging market economies have been set. Given the high degree of autocorrelation in ratings, we use estimators that yield consistent parameters in the presence of such correlati...