Суверенные кредитные рейтинги и эффекты заражения на финансовых рынках азиатского региона

Вестник Московского Университета Серия 6 Экономика, МГУ. 2020. № 6.

Pivnitskaya N., Teplova T.

This article studies the contagion effects on the emerging financial markets of the Asian region. The contagion effect is manifested in the change of interconnection degree of financial markets after the shock is realized in one of the countries of the region. In our work, we consider the information about a potential or actual change in the sovereign credit rating as shock leading to the contagion effect. Our sample includes data for 7 Asian countries and covers the period from 2000 to 2018. We use the DCC-GARCH model which allows us to take into account the peculiarities of the behavior of financial data. We want to show the effect of inconsistencies in ratings assigned by various agencies on strengthening or weakening the processes of contagion on the stock markets of Asian countries. We also study the impact of historical inconsistencies between credit rating outlooks and actual rating changes on the level of «trust» to credit outlooks in the future. In assessing the impact of discrepancies we assume that the market remembers more recent events better rather than more distant in time. We were able to confirm the impact of inconsistencies in the ratings given by different rating agencies for the following countries: China, Hong Kong, and India. In addition, we found that the presence of inconsistencies between the outlooks and actual rating updates in the past tend to weaken the trust regarding positive outlooks rather than negative ones.

Keywords: развивающиеся финансовые рынки, кредитные рейтинги, кредитные рейтинговые агентства